Barclays PLC BARC

PRESS RELEASE: S&P Takes Rtg Actions In Auburn Securities U.K. RMBS Deals

 
 
The following is a press release from Standard & Poor's: 
 
OVERVIEW 
 
     -- We have carried out our credit and cash flow analysis, applying our 
U.K. RMBS criteria. 
     -- As a result, we have taken various rating actions in Auburn Securities 
3, 4, and 5. 
     -- Auburn Securities 3, 4, and 5 are U.K. RMBS transactions backed by 
first-ranking mortgages throughout the U.K. 
 
LONDON (Standard & Poor's) May 28, 2012--Standard & Poor's Ratings Services 
today took various credit rating actions in Auburn Securities 3 PLC (Auburn 
3), Auburn Securities 4 PLC (Auburn 4), and Auburn Securities 5 PLC (Auburn 5) 
(see list below). 
 
Today's rating actions follow our credit and cash flow analysis of the most 
recent transaction information that we have received (March 2012). Our 
analysis reflects the application of our U.K. residential mortgage-backed 
securities (RMBS) criteria (see "U.K. RMBS Methodology And Assumptions," 
published on Dec. 9, 2011). 
 
Auburn 3, 4, and 5 are U.K. buy-to-let transactions, originated by Capital 
Home Loans Ltd., a subsidiary of Irish Life & Permanent PLC. Each pool also 
has a significant portion of flexible mortgages, with redraw facilities in 
place to address the related risk. All three transactions have fully funded 
reserve funds, which currently represent 11.2%, 3.9%, and 2.4% of the 
outstanding balance of notes in Auburn 3, 4, and 5, respectively. Principal 
redemption in all three transactions is sequential. 
 
The liquidity and redraw facilities in each transaction have been drawn to 
cash and are held in a bank account, in the issuer's name. Each of the bank 
account agreements are in line with our 2010 counterparty criteria, so there 
is no restriction on the maximum potential rating on the notes for this 
counterparty support. 
 
The interest rate swaps in each transaction are not in line with our 2010 
counterparty criteria, so we gave no benefit to the swaps in our analysis (see 
"Counterparty And Supporting Obligations Methodology And Assumptions," 
published on Dec. 6, 2010). We considered appropriate cash flow stresses to 
address interest rate and basis risk in each of the transactions. 
 
AUBURN 3 
 
The credit enhancement level for both classes of notes has increased 
significantly since closing, given a low pool factor of 18%. Credit 
enhancement for the class M notes has increased to 11.2%, from 1.0% at 
closing. 
 
Total arrears, at 1.57%, are on average lower for Auburn 3 than for other U.K. 
RMBS transactions that we rate; cumulative losses to date of five basis points 
(bps) are negligible. 
 
However, prepayment levels remain low and the transaction is unlikely to pay 
down significantly in the near term, in our opinion. 
 
AUBURN 4 AND AUBURN 5 
 
The increase in credit enhancement levels has not been as significant for 
these transactions, particularly for Auburn 5, given pool factors of 32% and 
52% in Auburn 4 and Auburn 5, respectively. 
 
Total arrears, at 1.64% and 1.38% in Auburn 4 and Auburn 5 respectively, are 
on average lower than for other U.K. RMBS transactions that we rate, being 
well below our U.K. prime RMBS index. Cumulative losses to date are 14 bps and 
46 bps, respectively, which although higher than in Auburn 3, are well within 
our expectations. 
 
On Feb. 7, 2012, we placed on CreditWatch negative our ratings on the class 
A2, M, B, and C notes in Auburn 4, and the ratings on the class A2 and M notes 
in Auburn 5 due to the expiry of various remedy periods (see "122 Ratings In 
43 European RMBS Transactions Placed On CreditWatch Negative After Expiry Of 
Counterparty Remedy Periods"). The documented required short-term rating for a 
bank account provider was 'A-1+', and for Auburn 4 and Auburn 5, the 
documented required short-term rating for a liquidity and redraw facility 
provider was 'A-1+'. Barclays Bank PLC (A+/Stable/A-1) is a bank account 
provider in each of the Auburn transactions and the liquidity facility and 
re-draw facility provider in Auburn 4 and Auburn 5. As a result of the 
lowering of the short-term rating on Barclays Bank below 'A-1+', the issuer 
amended the relevant bank agreements to reflect our 2010 counterparty 
criteria, and drew the liquidity and re-draw facilities in each of Auburn 4 
and 5 to cash. 
 
APPLICATION OF CRITERIA 
 
After applying our U.K. RMBS criteria, our credit analysis results show an 
increase in the weighted-average loss severity (WALS) for each rating level. 
The change in the WALS is mainly due to the application of our revised 
market-value decline assumptions. The change in the weighted-average 
foreclosure frequency (WAFF) at each rating level in each of the transactions 
has not been as consistent; however, the overall effect of the application of 
our criteria is an increase in the required credit coverage for each rating 
level. 
 
As a result of the application of our U.K. RMBS and 2010 counterparty 
criteria, we have raised and removed from CreditWatch negative our ratings on 
the class A2, M, and B notes in Auburn 4. In Auburn 5, we have raised and 
removed from CreditWatch negative our ratings on the class A2 and M notes. We 
have also affirmed and removed from CreditWatch negative our rating on the 
class C notes in Auburn 4, based on our credit and cash flow analysis. 
 
The application of our U.K. RMBS criteria has led us to raise our ratings on 
the class B, C, and D notes in Auburn 5. We have also affirmed our ratings on 
the class A2 and M notes in Auburn 3, the class D and E notes in Auburn 4, and 
the class E notes in Auburn 5. 
 
Auburn 3, 4, and 5 are U.K. RMBS transactions backed by first ranking 
mortgages on properties throughout the U.K., closing in November 2002, October 
2004, and September 2005 respectively. Each transaction securitizes mortgages 
originated by Capital Home Loans Ltd. 
 
CREDIT STABILITY 
 
Our credit stability analysis indicates that the maximum projected 
deterioration that we would expect at each rating level for time horizons of 
one year and three years, under moderate stress conditions, are in line with 
our credit stability criteria (see "Methodology: Credit Stability Criteria," 
published on May 3, 2010). 
 
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT 
 
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating 
relating to an asset-backed security as defined in the Rule, to include a 
description of the representations, warranties and enforcement mechanisms 
available to investors and a description of how they differ from the 
representations, warranties and enforcement mechanisms in issuances of similar 
securities. The Rule applies to in-scope securities initially rated (including 
preliminary ratings) on or after Sept. 26, 2011. 
 
If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this 
credit rating report are available at 
http://standardandpoorsdisclosure-17g7.com. 
 
RELATED CRITERIA AND RESEARCH 
 
     -- U.K. Prime RMBS Index Report Q1 2012: Collateral Performance Begins To 
Show Signs Of Incremental Strain, May 9, 2012 
     -- European Structured Finance Scenario And Sensitivity Analysis: The 
Effects Of The Top Five Macroeconomic Factors, March 14, 2012 
     -- S&P Resolves 207 European RMBS Counterparty-Related CreditWatch 
Negative Placements, Feb. 21, 2012 
     -- 122 Ratings In 43 European RMBS Transactions Placed On CreditWatch 
Negative After Expiry Of Counterparty Remedy Periods, Feb. 7, 2012 
     -- Ratings On 305 Tranches In 120 European RMBS Transactions Placed On 
CreditWatch Negative After Bank Rating Actions, Dec. 21,2011 
     -- Ratings On 764 Tranches In 119 U.K. RMBS Transactions Placed On 
CreditWatch Negative After U.K. RMBS Criteria Update, Dec. 12, 2011 
     -- U.K. RMBS Methodology And Assumptions, Dec. 9, 2011 
     -- Global Structured Finance Scenario And Sensitivity Analysis: The 
Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011 
     -- S&P Resolves 516 European Structured Finance Counterparty Criteria 
CreditWatch Placements (July 19, 2011 Review), July 19, 2011 
     -- Ratings On 1,979 EMEA Structured Finance Tranches Placed On 
CreditWatch Negative After Counterparty Criteria Update, Jan. 18, 2011 
     -- Counterparty And Supporting Obligations Update, Jan. 13, 2011 
     -- Counterparty And Supporting Obligations Methodology And Assumptions, 
Dec. 6, 2010 
     -- Methodology: Credit Stability Criteria, May 3, 2010 
     -- Ratings In Auburn Securities 3, 4, And 5 Removed From CreditWatch 
Positive And Affirmed, June 13, 2008 
     -- Ratings Raised on Auburn Securities 4 Class B, C, D, And E Notes; A2 
And M Notes Affirmed, March 29, 2007 
     -- New Issue: Auburn Securities 5 PLC, Oct. 7, 2005 
     -- Rating Raised On Auburn Securities 3's Class M Notes As Credit 
Enhancement Increases, June 3, 2005 
     -- New Issue: Auburn Securities 4 PLC, Dec. 14, 2004 
     -- New Issue: Auburn Securities 3 PLC, Sept. 1, 2003 
 
RATINGS LIST 
 
Class                      Rating 
                 To                  From 
 
RATINGS RAISED AND REMOVED FROM CREDITWATCH NEGATIVE 
 
Auburn Securities 4 PLC 
GBP1 Billion Mortgage-Backed Floating-Rate Notes 
 
A2               AAA (sf)            AA (sf)/Watch Neg 
M                AAA (sf)            AA (sf)/Watch Neg 
B                AAA (sf)            AA (sf)/Watch Neg 
 
Auburn Securities 5 PLC 
GBP450 Million Mortgage-Backed Floating-Rate Notes 
 
A2               AAA (sf)            AA (sf)/Watch Neg 
M                AAA (sf)            AA (sf)/Watch Neg 
 
RATINGS RAISED 
 
Auburn Securities 5 PLC 
GBP450 Million Mortgage-Backed Floating-Rate Notes 
 
B                AA (sf)             A+ (sf) 
C                A (sf)              BBB (sf) 
D                BBB- (sf)           BB- (sf) 
 
RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE 
 
Auburn Securities 4 PLC 

GBP1 Billion Mortgage-Backed Floating-Rate Notes 
 
C                AA (sf)             AA (sf)/Watch Neg 
 
RATINGS AFFIRMED 
 
Auburn Securities 3 PLC 
GBP400 Million Mortgage-Backed Floating-Rate Notes 
 
A2               AAA (sf) 
M                AA- (sf) 
 
Auburn Securities 4 PLC 
GBP1 Billion Mortgage-Backed Floating-Rate Notes 
 
D                BBB (sf( 
E                BB- (sf) 
 
Auburn Securities 5 PLC 
GBP450 Million Mortgage-Backed Floating-Rate Notes 
 
E                BB- (sf) 
 
Surveillance Credit Analyst: Elton Eakins, London (44) 20-7176-3698; 
                             elton_eakins@standardandpoors.com 
Additional Contact: Structured Finance Europe; 
                    StructuredFinanceEurope@standardandpoors.com 
 
 
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(END) Dow Jones Newswires

May 28, 2012 09:21 ET (13:21 GMT)