DBRS Confirms and Upgrades Notes on Aggregator of Loans Backed by Assets 2015-1 Plc

DBRS Ratings Limited (DBRS) took rating actions on the Class A, B, C, D and E Notes (the Rated Notes) issued by Aggregator of Loans Backed by Assets 2015-1 Plc (ALBA 2015-1) as follows:

-- Class A Notes confirmed at AAA (sf)
-- Class B Notes upgraded to AA (high) (sf) from AA (sf)
-- Class C Notes upgraded to A (high) (sf) from A (sf)
-- Class D Notes upgraded to BBB (sf) from BBB (low) (sf)
-- Class E Notes confirmed at B (sf)

The rating actions followed an annual review of the transaction and were based on the following analytical considerations, as described more fully below:

-- Portfolio performance in terms of delinquencies and defaults.
-- Portfolio default rate (PD), loss given default rate (LGD) and expected loss assumptions for the remaining collateral pool.
-- Current credit enhancement (CE) available to the Rated Notes to cover the expected losses at their respective rating levels.

The ALBA 2015-1 transaction closed in April 2015 and is a securitisation of UK non-conforming residential mortgages originated by Edeus Mortgage Creators Limited, GMAC-RFC Limited (currently known as Paratus AMC Limited), Amber Homeloans Limited and Kensington Mortgage Company Limited. Pepper (U.K.) Limited is the Servicer of the mortgage portfolio. All loans are well seasoned, with a majority of the loans being Interest-Only loans.

PORTFOLIO PERFORMANCE AND ASSUMPTIONS
The performance of the collateral pool is stable and within DBRS’s expectations. As of 31 October 2017, the loans more than 90 days delinquent as a percentage of the outstanding collateral pool balance were at 2.6%, down from 3.4% twelve months prior. Cumulative repossessions as a percentage of the collateral balance at the transaction closing increased to 3.5% and cumulative losses were at 0.9%. The portfolio pool factor is currently at 79.5%. DBRS has updated its base case PD and LGD assumptions from the previous rating action and based on the current portfolio composition to 21.7% and 24.0% respectively.

CREDIT ENHANCEMENT AND RESERVE
The CE to the Rated Notes has increased as the transaction is deleveraging. As of the November 2017 payment date, the CE to the Class A, B, C, D and E Notes increased to 47.1%, 37.5%, 27.8%, 19.6%, and 9.9% from 43.0%, 34.2%, 25.4%, 17.9%, and 9.0%, respectively, 12 months prior. The sources of CE to each of the Rated Notes are their respective subordinated Notes as well as the overcollateralisation. The increase in CE prompted the rating actions herein. Furthermore, the Notes benefit from a Reserve Fund providing liquidity as well as credit support to the Rated Notes. The Reserve Fund is currently at its target amount of GBP 8.2 million.

Citibank N.A., London Branch, is the Account Bank in the transaction and has a DBRS private rating that complies with the Account Bank Minimum Institution Rating criteria, given the rating assigned to the Class A Notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in British pound sterling unless otherwise noted.

The principal methodology applicable to the ratings is: “Master European Structured Finance Surveillance Methodology.”

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

A review of the transaction legal documents was not conducted as the documents have remained unchanged since the most recent rating action.

Other methodologies referenced in the transaction are listed at the end of this press release. These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.

The sources of data and information used for these rating actions include the investor reports and the loan- by-loan data provided by Citibank N.A., Agency and Trust.

DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial rating, DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action took place on 20 December 2016, when DBRS confirmed its ratings on the Rated Notes following the publication of DBRS’s “European RMBS Insight: U.K. Addendum” methodology.

Information regarding DBRS ratings, including definitions, policies and methodologies, is available at www.dbrs.com.

To assess the impact of 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):

-- The base case PD and LGD assumptions for the remaining collateral pool are 21.7% and 24.0%, respectively. At the AAA (sf) rating level, the corresponding PD and LGD are 53.1% and 51.2%, respectively. At the AA (high) (sf) rating level, the corresponding PD and LGD are 50.7% and 49.4%, respectively. At the A (high) (sf) rating level, the corresponding PD and LGD are 44.9% and 43.7%, respectively. At the BBB (sf) rating level, the corresponding PD and LGD are 37.0% and 35.8%, respectively. At the B (sf) rating level, the corresponding PD and LGD are 21.7% and 24.0%, respectively.

-- 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 rating on the Class A Notes would be expected to be at AA (high) (sf), assuming no change in the PD. If the PD increases by 50%, the rating on the Class A Notes would be expected to be at AA (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating on the Class A Notes would be expected to be at A (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 (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)

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

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

Class D Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of BBB (low) (sf)
-- 50% increase in LGD, expected rating of BB (high) (sf)
-- 25% increase in PD, expected rating of BB (high) (sf)
-- 50% increase in PD, expected rating of BB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BB (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BB (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (low) (sf)

Class E Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of B (sf)
-- 50% increase in LGD, expected rating of below B (sf)
-- 25% increase in PD, expected rating of B (sf)
-- 50% increase in PD, expected rating of below B (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of below B (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of below B (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of below B (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of below B (sf)

For further information on DBRS historical default rates published by the European Securities and Markets Authority (“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 and US regulations only.

Lead Analyst: Kevin Ma, Assistant Vice President
Rating Committee Chair: Vito Natale, Senior Vice President
Initial Rating Date: 7 April 2015

DBRS Ratings Limited
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London EC3M 3BY
United Kingdom
Registered in England and Wales: No. 7139960

The rating methodologies 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
-- European RMBS Insight Methodology
-- European RMBS Insight: U.K. Addendum
-- Operational Risk Assessment for European Structured Finance Servicers
-- Interest Rate Stresses for European Structured Finance Transactions

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.