DBRS Confirms Ratings to Aggregator of Loans Backed by Assets (A.L.B.A.) 2012-1

DBRS Ratings Limited (“DBRS”) has reviewed Aggregator of Loans Backed by Assets (A.L.B.A.) 2012-1 (ALBA 2012-1) and confirms the ratings for the Class A Notes at AAA (sf). ALBA 2012-1 is a portfolio of non-conforming UK residential mortgages originated by GMAC-RFC. The portfolio is serviced by Lapithus Servicing LLP, the Delegate Servicer is Crown Mortgage Management Limited and the Back-Up Servicer is Target servicing Limited.

Confirmation of the ratings for the Class A Notes is based upon the following analytical considerations:
-Portfolio performance, in terms of delinquencies and losses, as of the 17 March 2014 payment date.
-Updated default, loss given default, and loss assumptions of the remaining balance of the portfolio.
-Current credit available credit enhancement to the Class A Notes to cover the expected losses at the AAA (sf) rating level.

As of the 17 March 2014 payment date, the current 90+ delinquency ratio as a percentage of the portfolio balance was 5.57%. The value has increased from 3.60% at the close of the transaction in March 2012. The current cumulative default ratio was at a low level of 0.64% while the cumulative loss ratio on liquidated loans was 0.13%.

The Class A Notes are supported by subordination of the Class B1 and Class B2 Notes as well as a Cash Reserve Fund. Credit enhancement for the Class A Notes (as a percentage of the collateral balance) has increased from 49.00% to 51.46% since transaction close. The Cash Reserve Fund is equal to the current target of GBP 6.065 million which can amortise subject to certain portfolio triggers. The Notes are further supported to a Liquidity Reserve Fund which is equal to 2.50% of the rated Notes.

Citibank N.A./London Branch is the Account Bank for the transaction. The DBRS Private Rating of Citibank N.A./London Branch is at least equal to the Minimum Institution Rating given the rating assigned to the Class A Notes as described in the DBRS Legal Criteria for European Structured Finance.

Notes:
All figures are in GBP unless otherwise noted.
The principal methodology applicable is Master European Structured Finance Surveillance Methodology.

Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of information used for this rating include periodic investor reports and loan level data received from Citibank N.A.

DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this transaction took place on 26 February 2013, when the ratings for the Class A Notes were confirmed.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):
-DBRS expected Base Case Probability of Default (PD) and Loss Given Default (LGD) for the current portfolio. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-The Base Case PD and LGD of the current portfolio are 27.43% and 32.11%, respectively. At the AAA (sf) rating level, the corresponding PD is 63.97% and the LGD is 54.15%.
-The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the ratings for the Class A Notes would be expected to be lowered to AA (high) (sf), all else equal. If the PD increases by 50%, the ratings for the Class A Notes would be expected to be lowered to AA (high) (sf), all else equal. Furthermore, if both the PD and LGD increase by 50%, the ratings for the Class A Notes would be expected to decrease to AA (low) (sf).

Class A Notes Risk Sensitivity:
-25% increase in LGD, expected rating of AAA (sf)
-50% increase in LGD, expected rating of AA (high) (sf)
-25% increase in PD, expected rating of AAA (sf)
-50% increase in PD, expected rating of AA (high) (sf)
-25% increase in LGD and 25% increase in PD, expected rating of AA (high) (sf)
-25% increase in LGD and 50% increase in PD, expected rating of AA (sf)
-50% increase in LGD and 25% increase in PD, expected rating of AA (sf)
-50% increase in LGD and 50% increase in PD, expected rating of AA (low) (sf)

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Initial Lead Analyst: Alastair Bigley
Initial Rating Date: 12 March 2012
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Keith Gorman
Rating Committee Chair: Diana Turner

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960

The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

Legal Criteria for European Structured Finance Transactions
Master European Structured Finance Surveillance Methodology
Operational Risk Assessment for European Structured Finance Servicers
Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
Unified Interest Rate Model for European Securitisations