DBRS Confirms Ratings on Aggregator of Loans Backed by Assets (ALBA) 2011-RP1 PL

DBRS Ratings Limited (DBRS) has reviewed Aggregator of Loans Backed by Assets (ALBA) 2011-RP1 PL and confirms the ratings on the Class A1 Notes at AAA (sf). The transaction is backed by a portfolio of subprime, mostly variable rate, first-lien mortgage loans secured by residential properties in the United Kingdom.

In November 2013, the named Servicer on the ALBA transaction was formally changed to Engage Credit Limited (Engage) from Lapithus Servicing LLP and, subsequently, all servicing-related activities migrated to Engage. Following completion of the acquisition of Engage and its sister company, Oakwood Global Finance LLP, by the Pepper Group in February 2014, the U.K. operations including Engage were renamed Pepper (UK) Limited (Pepper UK). Engage will continue to be used by Pepper UK for trading purposes.

Confirmation of the ratings on the Class A1 Notes is based on the following analytical considerations:
-- Portfolio performance, in terms of severities and losses, as of the March 2015 payment date.
-- Updated default, severity and loss assumptions on the remaining balance of the collateral portfolio.
-- Current available credit enhancement to the Class A1 Notes to cover the expected losses at the AAA (sf) rating level.

As of the 20 March 2015 payment date, the 90+ delinquency ratio was 23.60%. The cumulative net default ratio was 2.14% of the original collateral balance.

Credit enhancement as a percentage of the principal balance of loans to the Class A1 Notes has increased since the initial rating to 80.06% from 66.59%. Credit enhancement for the Class A1 Notes is provided by subordination of the Class A2, Class B, Class C and Class D Notes; overcollateralisation; the General Reserve Fund; and the Class A Reserve Fund. The General Reserve Fund is equal to the current target of GBP 36.1 million and the Class A Reserve Fund is equal to the current target of GBP 5.3 million.

Citibank N.A./London Branch (Citibank London) is the Account Bank for the transaction. The DBRS private rating of Citibank London is at least equal to the Minimum Institution Rating, given the rating assigned to the Class A1 Notes as described in the DBRS “Legal Criteria for European Structured Finance.”

Notes:
All figures are in euros otherwise noted.

The principal methodology applicable is Master European Structured Finance Surveillance Methodology, which can be found on www.dbrs.com at
http://www.dbrs.com/about/methodologies. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

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” at http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include periodic reports 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 7 April 2014, when the rating on the Class A1 Notes was 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 with 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 pool based on a review of the transaction performance. Adverse changes to asset performance may cause stresses to base-case assumptions and may, therefore, have a negative effect on credit ratings.
-- The base-case PD and LGD of the current pool of receivables are 76.40% and 34.31%, respectively.
-- The Risk Sensitivity overview below illustrates the ratings expected for the Class A1 Notes if the PD and the LGD increase by a certain percentage over the base-case assumption. For example, if the LGD increases by 50%, the rating for the Class A1 Notes would be expected to remain at AAA (sf), all else equal. If the PD increases by 50%, the rating for the Class A1 Notes would be expected to remain at AAA (sf), all else being equal. If both the LGD and PD increase by 50%, the rating of the Class A1 Notes would be expected to remain at AAA (sf), all else being equal.

Class A1 Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 25% increase in LGD and 25% increase in PD, expected rating of AAA (sf)
-- 25% increase in LGD and 50% increase in PD, expected rating of AAA (sf)
-- 50% increase in LGD and 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in LGD and 50% increase in PD, expected rating of AAA (sf)

For further information on DBRS historic default rates published by the European Securities and Markets Administration 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: 17 June 2011
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: 7 April 2014

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Quincy Tang

DBRS Ratings Limited
1 Minster Court, 10th Floor
Mincing Lane
London
EC3R 7AA
United Kingdom

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
-- Derivative 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