Fitch up­grades 23 tranches of 18 UK NC RMBS deals

The Pak Banker - - Front Page -


Global rat­ing agency Fitch has up­graded 23 tranches and af­firmed all other tranches of 18 UK non-con­form­ing RMBS se­ries: Kens­ing­ton Mort­gage Se­cu­ri­ties (KMS), Money Part­ners Se­cu­ri­ties (MPS), South­ern Pa­cific Fi­nanc­ing (SPF), South­ern Pa­cific Se­cu­ri­ties (SPS) and the Pre­ferred se­ries. The af­fir­ma­tions re­flect the con­tin­ued sta­ble per­for­mance of all 18 trans­ac­tions over the past year. Based on in­vestor re­ports dated Septem­ber 2012, loans in ar­rears by more than three months ranged be­tween 20.1% (SPF05B) and 36.0% (SPS06-1). The high lev­els of ar­rears, par­tic­u­larly for the SPS se­ries, sug­gests a weaker per­for­mance across the UK NC space. How­ever, Fitch notes that the three-month ar­rears fig­ures re­ported for the mort­gage pools ser­viced by Acen­den Lim­ited (‘RPS2+’/’RSS2’) i.e. the SPF, SPS and Pre­ferred se­ries, takes into ac­count of out­stand­ing mort­gage fees and charges in­de­pen­dent of whether the bor­rower is cur­rent on its monthly mort­gage pay­ments.

The ma­jor­ity of trans­ac­tions have delever­aged to less than one-third of their re­spec­tive ini­tial bal­ances. Pre­pay­ment rates, although not as high as lev­els seen in pre-2010 pe­ri­ods, still av­er­age about 5% to 10% for most trans­ac­tions. This en­ables the notes, par­tic­u­larly the se­nior tranches, to ben­e­fit from a steady build-up in credit en­hance­ment. As a re­sult, Fitch has up­graded a num­ber of se­nior tranches in­clud­ing Class B1a of Pre­ferred 05-1, Class B of Pre­ferred 8, Class C of SPS05-1 and SPS05-2, Class B of SPS05-3 and Class B1c of SPS06-1 to ‘AAAsf’ from ‘AAsf’. Th­ese tranches cur­rently have credit en­hance­ment lev­els of ap­prox­i­mately 40% or more and are ex­pected to build up fur­ther given the se­quen­tial amor­ti­sa­tion of the notes. Some mez­za­nine and ju­nior tranches have also been up­graded due to suf­fi­cient lev­els of credit sup­port, com­bined with the sta­ble per­for­mance and fully funded re­serve funds that are no longer per­mit­ted to amor­tise or ex­pected to be drawn in the near fu­ture. Ad­di­tion­ally, the un­col­lat­er­alised tranche of Pre­ferred 06-1, Class FTc, has been up­graded to ‘CCCsf’ from ‘CCsf’ as it has be­gun amor­tis­ing fol­low­ing the full re­demp­tion of Class ETc last quar­ter.

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