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Mansard Mortgages 2007-2 Class B1a And B2a RMBS Ratings Raised; Other Ratings Affirmed

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Mansard Mortgages 2007-2 Class B1a And B2a RMBS Ratings Raised; Other Ratings Affirmed

Overview

  • Following our review of Mansard Mortgages 2007-2, we have raised our ratings on the class B1a and B2a notes.
  • At the same time, we have affirmed our ratings on the class A1a, A2a, M1a, and M2a notes.
  • The transaction is backed by a pool of buy-to-let and nonconforming mortgage loans on properties in the U.K. and originated by Rooftop Mortgages.

LONDON (S&P Global Ratings) Nov. 25, 2021--S&P Global Ratings today raised to 'A (sf)' from 'BBB+ (sf)' and to 'BBB+ (sf)' from 'BB+ (sf)' its credit ratings on Mansard Mortgages 2007-2 PLC's class B1a class B2a notes, respectively. At the same time, we affirmed our 'A (sf)' ratings on the class A1a, A2a, M1a, and M2a notes.

Today's rating actions reflect the improvement in the overall credit performance and the increase in available credit enhancement.

The performance of the loans in the collateral pool has improved since our previous full review in November 2019 (see "Related Research"). Based on our calculation methodology, total arrears decreased to 7.9% from 8.9% between the September 2021 and June 2019 cutoff dates. This has resulted in a decrease in our weighted-average foreclosure frequency (WAFF) at the 'AAA', 'AA', and 'A' rating levels. The WAFF has increased at the 'BBB', 'BB', and 'B' rating levels due to an increase in the severe arrears. Our weighted-average loss severity (WALS) assumptions have decreased at all rating levels, mainly due to a lower weighted-average current loan-to-value (LTV) ratio.

The overall effect from our credit analysis results is a decrease in the required credit coverage for the 'AAA', 'AA', 'A', 'BBB', and 'BB' rating levels, and a marginal increase at the 'B' rating level.

Mansard 2007-2 PLC
Rating level WAFF (%) WALS (%)
AAA 32.19 46.21
AA 24.69 38.51
A 20.62 25.37
BBB 16.57 17.34
BB 12.27 12.24
B 11.30 8.70
WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average los severity.

Both the liquidity facility and the reserve fund are at their required levels and are non-amortizing.

Barclays Bank PLC is the guaranteed investment contract (GIC) account provider for Mansard Mortgages 2007-2. Under our counterparty criteria, our ratings on these notes are capped at our 'A' long-term issuer credit rating (ICR) on Barclays Bank PLC following its loss of an 'A-1' short-term rating and failure to take remedy action.

Following the application of our criteria, we have determined that our assigned ratings on this transaction's classes of notes should be the lower of (i) the rating as capped by our counterparty criteria, or (ii) the rating that the class of notes can attain under our global residential loans criteria.

Our credit and cash flow results for the class Ala, A2a, M1a, and M2a notes indicate that these notes could withstand our stresses at higher ratings than those assigned. However, the ratings are capped at our 'A' long-term ICR on the GIC account provider. We have therefore affirmed our 'A (sf)' ratings on the class A1a, A2a, M1a, and M2a notes.

Under our credit and cash flow analysis, the class B1a notes could withstand our stresses at a higher rating than that assigned. However, the ratings are capped at our 'A' long-term ICR on the GIC account provider. We have therefore raised to 'A (sf)' from 'BBB+ (sf)' our rating on the class B1a notes.

Under our credit and cash flow analysis, the class B2a notes could withstand our stresses at a higher rating than that assigned. As part of our analysis, we have run sensitivities with foreclosure frequencies increased by 1.1x and 1.3x, pro rata priority of payments, and delayed the time to recovery. We also considered this class of notes' relative position in the capital structure and the significantly lower credit enhancement for the subordinated class compared with that of the senior notes. We have therefore raised to 'BBB+ (sf)' from 'BB+ (sf)' our rating on the class B2a notes.

Mansard Mortgages 2007-2 is a RMBS transaction backed by a pool of buy-to-let and nonconforming mortgage loans on properties in the U.K. and originated by Rooftop Mortgages Ltd.

Related Criteria

Related Research

Primary Credit Analyst:Nicola Dobson, London + 44 20 7176 3879;
nicola.dobson@spglobal.com

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