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

DBRS Ratings Limited (DBRS) has today confirmed the AAA (sf) rating on the Class A notes of Aggregator of Loans Backed by Assets (A.L.B.A.) 2012-1 Plc. The transaction is backed by a portfolio of sub-prime, mostly variable rate, first-lien mortgage loans secured by residential properties in the United Kingdom.

Confirmation of the ratings on the Class A notes is based upon 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 A 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 3.74%. The cumulative net default ratio was 0.92% of the original collateral balance.

Credit enhancement as a percentage of the principal balance of loans to the Class A notes has increased since the initial rating from 49.00% to 56.02%. Credit enhancement for the Class A notes is provided by subordination of the Class B1 and Class B2 notes, overcollateralization and the General Reserve Fund. The General Reserve Fund is equal to the current target of GBP 6.06 million.

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 euros 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 and can be found 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” 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 22 April 2014, when the rating on the Class A 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 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 remain at AAA (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 BBB (high) (sf).

Class A 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 AAA (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 (low) (sf)
-- 50% increase in LGD and 25% increase in PD, expected rating of A (high) (sf)
-- 50% increase in LGD and 50% increase in PD, expected rating of BBB (high) (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: 21 March 2012
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: 22 April 2014

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Diana Turner

DBRS Ratings Limited
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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
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