DBRS Discontinues Rating on Cape Funding No 1 Plc

DBRS Ratings Limited (DBRS) has today discontinued its rating on the Class A1P variable funding note (VFN) credit facility issued by Cape Funding No 1 Plc.

The rating action reflects the full redemption of the Class A1P VFN as of the payment date on 17 February 2017. Prior to its repayment, the Class A1P drawn amount was at its maximum limit of GBP 1,912,000,000 and the rating of the Class A1P VFN was AAA (sf).

Notes:
All figures are in British pounds unless otherwise noted.

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

In DBRS’s opinion, a Discontinued-Repaid rating action does not warrant the application of the entire principal methodology, as the bond has been repaid in full. Other methodologies referenced in this 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 the 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 data and information used for this rating include information provided by TSB Bank Plc.

DBRS did not rely upon third-party due diligence in order to conduct its analysis. At the time of the initial rating, DBRS was not 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 this rating 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 on this transaction took place on 20 December 2016, when DBRS confirmed the rating of the Class A1P VFN at AAA (sf), following the publication of the U.K. Addendum to the European RMBS Insight Methodology on 2 November 2016.

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

For further information on DBRS historic 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 regulations only.

Lead Analyst: Andrew Lynch, Assistant Vice President
Initial Rating Date: 22 May 2014

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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
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- European RMBS Insight Methodology
-- European RMBS Insight: U.K. Addendum
-- Unified Interest Rate Model for European Securitisations

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