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Mortgage Funding 2008-1 PLC U.K. RMBS Rating Raised On One Class; Two Ratings Affirmed


  • Following our review of Mortgage Funding 2008-1, we have raised our rating on the class A3 notes.
  • At the same time, we affirmed our ratings on the class A1 and A2 notes.
  • The transaction is backed by a pool of nonconforming assets originated by Alliance & Leicester, Southern Pacific Mortgages, Preferred Mortgages, and The London Mortgage Company.

LONDON (S&P Global Ratings) Nov. 25, 2021--S&P Global Ratings today raised to 'AAA (sf)' from 'AA (sf)' its credit rating on Mortgage Funding 2008-1 PLC's class A3 notes. At the same time, we have affirmed our 'AAA (sf)' ratings on the class A1 and A2 notes.

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

The transaction's total arrears have fallen. Based on our calculation methodology, total arrears decreased to 28.3% from 30.9% between the September 2021 and June 2019 cutoff dates. However, there has been a small increase in severe arrears since our previous review. The credit enhancement in this transaction has significantly increased due to the class A1 notes' partial amortization.

The overall performance of the loans in the collateral pool has improved since our previous full review in November 2019 (see "Related Research"). However, the increase in severe arrears has resulted in an increase in our weighted-average foreclosure frequency (WAFF) at all rating levels apart from at 'AAA', where it has slightly decreased. 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.

Credit Analysis Results
Rating level WAFF (%) WALS (%)
AAA 50.26 45.24
AA 44.97 38.32
A 41.76 26.88
BBB 38.37 20.13
BB 34.53 15.22
B 33.66 11.51

The overall effect on our credit analysis is a decrease in the required credit coverage at the 'AAA', 'AA', and 'A' rating levels and an increase at the 'BBB', 'BB', and 'B' rating levels.

The transaction bank account, the guaranteed investment contract (both held with HSBC Bank PLC), and the collection bank account (Barclays Bank UK PLC) are all in line with our counterparty criteria.

Our credit and cash flow analysis results for the class A1 and A2 notes are in line with the currently assigned ratings. We have therefore affirmed our 'AAA (sf)' ratings on these classes of notes.

Under our credit and cash flow analysis, the class A3 notes could withstand our stresses at a higher rating than that assigned. As part of our analysis, we have additionally run sensitivities with foreclosure frequencies increased by 1.1x and 1.3x, and delayed the time to recovery. We have therefore raised to 'AAA (sf)' from 'AA (sf)' our rating on the class A3 notes.

Mortgage Funding 2008-1 is backed by a pool of nonconforming assets originated by Alliance & Leicester PLC, Southern Pacific Mortgages Ltd., Preferred Mortgages Ltd., and The London Mortgage Company.

Related Criteria

Related Research

Primary Credit Analyst:Nicola Dobson, London + 44 20 7176 3879;

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