DBRS Assigns Ratings to Thrones 2013-1 Plc Notes

DBRS Ratings Limited (DBRS) has today assigned a AAA (sf) rating to the Class A notes issued by Thrones 2013-1 Plc (“Thrones, issuer”).

Thrones is a securitisation of a portfolio of first ranking UK non-conforming residential mortgages funded by the issuance of Class A mortgage-backed notes and Certificates. The mortgages were originated by Heritable Bank Plc (“Heritable”), currently under administration. Heritable was an active lender in the non-conforming UK mortgage sector and went into administration in October 2008.

On the closing date, the issuer purchased the beneficial interest of the mortgage portfolio from Cherub Funding Limited with the legal title of the mortgage portfolio being held with Mars Capital Finance Limited (Mars, Legal Title Holder). The latter purchased the mortgage portfolio from the administrators of Heritable in May 2013. The mortgage portfolio will be serviced by Oakwood Global Finance LLP.

The credit enhancement and liquidity for the Class A notes are provided by over-collateralisation of 27.5% and a fully-funded reserve fund which can amortise. The liquidity for payment of interest on the Class A notes is also supported by the use of principal receipts.

The ratings are based upon DBRS review of the following analytical considerations:

• The transaction’s capital structure and the form and sufficiency of available credit enhancement. Relevant credit enhancement is in the form of subordination, a reserve fund, and excess spread.
• The credit quality of the mortgages backing the notes and the ability of the servicer to perform collection activities on the collateral.
• The transaction parties’ capabilities with respect to originations, underwriting, servicing and financial strength.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the transaction documents.
• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in GBP unless otherwise noted.

The principal methodologies applicable are:
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Legal Criteria for European Structured Finance Transactions
• Operational Risk Assessment for European Operational Risk Servicers
• Unified Interest Rate Model Methodology for European Securitisations

These can be found on www.dbrs.com under 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”.

The sources of information used for this rating include historical performance data of the mortgage portfolio, documents provided by the issuer, historical performance data of UK non-conforming mortgage portfolios from Intex. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality. The information provided to us was subjected to a reasonableness review but has not been verified.

These ratings newly issued financial instruments.

This is the first DBRS rating on these financial instruments.

For additional information on this rating, please see the linking document which is located at http://www.dbrs.com/research/259608/linking-document-thrones-2013-1-plc.pdf

For further information on DBRS’s 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: Kali Sirugudi
Initial Rating Date: 31/07/2013
Rating Committee Chair: Quincy Tang
Lead Surveillance Analyst: Keith Gorman
Previous Rating Date: Not applicable as no previous rating date

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