| Ratings List | ||
|---|---|---|
| Class | Rating to | Rating from |
| A | AAA (sf) | AAA (sf) |
| B | AA+ (sf) | AA (sf) |
| C-Dfrd | AA (sf) | A+ (sf) |
| D-Dfrd | A+ (sf) | A (sf) |
| E-Dfrd | A- (sf) | BBB+ (sf) |
Overview
- We have reviewed Stanlington No. 1 following the implementation of our revised assumptions for rating U.K. RMBS transactions.
- Stanlington No. 1 is a U.K. nonconforming RMBS transaction securitizing loans that Paratus AMC Ltd. originated. The transaction closed in March 2017.
LONDON (S&P Global Ratings) Nov. 5, 2019--S&P Global Ratings today raised its credit ratings on four classes of notes issued by Stanlington No. 1 PLC. At the same time, we affirmed our rating on the class A notes (see list above).
Today's rating actions follow the implementation of our assumptions for assessing pools of residential loans (see "Related Criteria"). They also reflect our full analysis of the most recent transaction information that we have received and the transaction's current structural features.
Upon revising our U.K. RMBS criteria, we placed our ratings on classes B, C-Dfrd, D-Dfrd, and E-Dfrd under criteria observation. Following our review of the transaction's performance and after applying our updated assumptions for rating U.K. RMBS transactions, our ratings on these notes are no longer under criteria observation.
Since closing, performance in this transaction has been worse than our U.K. nonconforming RMBS index (see "U.K. RMBS Index Report Q2 2019," published Aug. 27, 2019) with 90-plus day delinquency levels above 13% (including loans with capitalized arrears) since closing. The level of performing arrangements has increased to 23.24% from 10.5% at closing, with 80% of those still in arrears.
After applying our updated U.K. RMBS criteria, the overall effect in our credit analysis results in a decrease in the weighted-average foreclosure frequency (WAFF) at the 'AAA' rating level and an increase in the WAFF at all lower rating levels. This increase is driven mainly by the updated arrears analysis in which the arrears adjustment factor is now higher at lower rating levels and the presence of 47.5% of self-employed borrowers that before were not penalized. We have also noticed that about 23.2% of the pool comprises loans that went through a performance arrangement, and most of these are in arrears. We do not deem this percentage to be material to apply the reperforming adjustment; however, we have applied a loan-level originator adjustment because we believe those borrowers are more vulnerable to an economic downturn. Our weighted-average loss severity assumptions have decreased at all rating levels, driven by the revised jumbo valuation thresholds and the decrease of the current loan-to-value to 60.43% from 62.92%.
| Credit Analysis Results | ||||||
|---|---|---|---|---|---|---|
| Rating level | WAFF (%) | WALS (%) | ||||
| AAA | 45.97 | 43.85 | ||||
| AA | 39.78 | 35.36 | ||||
| A | 36.19 | 21.67 | ||||
| BBB | 31.64 | 14.03 | ||||
| BB | 25.95 | 9.65 | ||||
| B | 24.38 | 6.63 | ||||
| WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity. | ||||||
The sequential amortization of the notes, combined with a nonamortizing reserve fund, has increased the transaction's available credit enhancement since closing.
The results of our cash flow analysis support the currently assigned rating on the class A notes. We have therefore affirmed our 'AAA (sf)' rating on these notes.
The class B notes pass our credit and cash flow stresses at the 'AAA' level. However, we considered the difference in credit enhancement compared with the class A notes together with the notes' sequential payments and the nature of the assets, which are nonconforming. We also considered the high percentage of interest-only notes, and we believe these factors constrain the rating on this class of notes. We have therefore raised to 'AA+ (sf)' from 'AA (sf)' our rating on the class B notes.
Our analysis indicates that the class C-Dfrd to E-Dfrd notes can withstand our stresses at higher ratings than those currently assigned. Following our credit and cash flow stresses, we have raised to 'AA (sf)', 'A+ (sf)', and 'A- (sf)', from 'A+ (sf)', 'A (sf)', and 'BBB+ (sf)', our ratings on the class C-Dfrd, D-Dfrd, and C-Dfrd notes, respectively.
Stanlington No. 1 is a U.K. nonconforming RMBS transaction securitizing loans that Paratus AMC Ltd. originated. The transaction closed in March 2017.
Related Criteria
- Criteria | Structured Finance | General: Methodology To Derive Stressed Interest Rates In Structured Finance, Oct. 18, 2019
- Criteria | Structured Finance | General: Counterparty Risk Framework: Methodology And Assumptions, March 8, 2019
- Criteria | Structured Finance | General: Incorporating Sovereign Risk In Rating Structured Finance Securities: Methodology And Assumptions, Jan. 30, 2019
- Criteria | Structured Finance | RMBS: Global Methodology And Assumptions: Assessing Pools Of Residential Loans, Jan. 25, 2019
- Legal Criteria: Structured Finance: Asset Isolation And Special-Purpose Entity Methodology, March 29, 2017
- Criteria | Structured Finance | General: Structured Finance Temporary Interest Shortfall Methodology, Dec. 15, 2015
- Criteria | Structured Finance | General: Methodology: Criteria For Global Structured Finance Transactions Subject To A Change In Payment Priorities Or Sale Of Collateral Upon A Nonmonetary EOD, March 2, 2015
- Criteria - Structured Finance - General: Global Framework For Cash Flow Analysis Of Structured Finance Securities, Oct. 9, 2014
- Criteria | Structured Finance | General: Global Framework For Assessing Operational Risk In Structured Finance Transactions, Oct. 9, 2014
- General Criteria: Methodology Applied To Bank Branch-Supported Transactions, Oct. 14, 2013
- Criteria - Structured Finance - General: Criteria Methodology Applied To Fees, Expenses, And Indemnifications, July 12, 2012
- General Criteria: Methodology: Credit Stability Criteria, May 3, 2010
- Criteria - Structured Finance - General: Standard & Poor's Revises Criteria Methodology For Servicer Risk Assessment, May 28, 2009
Related Research
- U.K. RMBS Index Report Q2 2019, Aug. 27, 2019
- Outlook Assumptions For The U.K. Residential Mortgage Market, Sept. 4, 2018
- European Economic Snapshots: Domestic Demand Still A Safety Net, April 12, 2019
- Ratings On The United Kingdom Affirmed At 'AA/A-1+'; Outlook Remains Negative, Oct. 26, 2018
- Criteria And Guidance: Understanding The Difference, Dec. 15, 2017
- Updated 2017 Scenario And Sensitivity Analysis Reports For European Structured Finance Ratings Published, July 6, 2017
- Ratings Assigned To U.K. Nonconforming RMBS Transaction Stanlington No. 1, March 9, 2017
- Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016
- European Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016
| Primary Credit Analyst: | Nicola Dobson, London (44) 20-7176-3879; nicola.dobson@spglobal.com |
| Secondary Contact: | Soledad Martinez-Tercero, Madrid (34) 91-389-6954; soledad.martinez-tercero@spglobal.com |
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