Kroll Bond Rating Agency Europe Limited (KBRA) assigns preliminary ratings to five classes of notes from Towd Point Mortgage Funding 2018 - Auburn 12 Plc (TPMF 2018-AU12), a UK RMBS transaction secured predominantly by seasoned Buy-to-Let (BTL) mortgages. This transaction is the 12th securitisation under the Auburn shelf, and the first European rated RMBS securitisation for KBRA.

TPMF 2018-AU12 is a static RMBS securitisation. The £393.1 million mortgage pool was originated by Capital Home Loans Limited (CHL) between 1994 and 2008, and CHL has sponsored several transactions that use the Auburn label. The TPMF 2018-AU12 transaction is being issued to refinance the remaining collateral that was securitised in Auburn Securities 9 Plc.

CHL is a mortgage loan servicer incorporated as a limited company in England and Wales. Prior to 2008, CHL operated as a large specialist lender for BTL mortgages, during which time it originated the collateral securing TPMF 2018-AU12. The company, which was established in 1987, was the subject of two acquisitions over its history, and is currently owned by Promontoria (Lansdowne) Limited. This entity is an affiliate of Cerberus Capital Management (Cerberus), as is FirstKey Mortgage, LLC (FKM), which serves as a co-sponsor of TPMF 2018-AU12. CHL’s business has evolved over the years, and it currently focuses on servicing portfolios of legacy UK mortgage loans in the portfolios of entities acquired by Cerberus.

KBRA’s rating approach incorporates a review and analysis of the loan originator, servicer and other key transaction counterparties, a review of the Agreed Upon Procedure Report, use of the KBRA European Mortgage Model (KEMM) for UK mortgages to analyse collateral and borrower attributes, an assessment of the securitisation framework from a structural and legal perspective, and ongoing surveillance of the transaction. This analysis is further described in KBRA’s European RMBS Rating Methodology.

For complete details on the analysis, please see our pre-sale report, Towd Point Mortgage Funding 2018 – Auburn 12 Plc (TPMF 2018-AU12), which was published on July 23, 2018 on www.kbra.com.

Representations & Warranties Disclosure

All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC Rule 17g-7, to provide a description of a transaction’s representations, warranties and enforcement mechanisms that are available to investors when issuing credit ratings. KBRA’s disclosure for this transaction can be found in the report available here.

Disclosures

Further disclosures relating to this rating action are available in the EU Information Disclosure Form. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

Related Publications: (available at www.kbra.com)

  • TPMF 2018-AU12 Pre-Sale Report
  • TPMF 2018-AU12 Pre-Sale ReportTPMF 2018-AU12 Tear Sheet
  • TPMF 2018-AU12 Pre-Sale ReportTPMF 2018-AU12 Tear SheetEuropean RMBS Rating Methodology
  • European RMBS Rating Methodology Country Addendum: United Kingdom

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About KBRA and KBRA Europe

KBRA is a full service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider and a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.

Analytical:Kroll Bond Rating AgencyStephen Kemmy, +353 (1) 669-2678Director (Lead Analyst)skemmy@kbra.comorGopal Narsimhamurthy, +353 (1) 669-2682Associate Directorgnarsimhamurthy@kbra.comorEd DeVito, +1-646-731-2319Senior Directoredevito@kbra.comorJack Kahan, +1-646-731-2486Managing Director (Rating Committee Chair)jkahan@kbra.com