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Eurosail-UK 2007-3BL PLC Ratings Raised On Class A And B U.K. RMBS Notes; Class C To E Notes Affirmed

Ratings List
Eurosail-UK 2007-3BL PLC
Class Rating to Rating from
A3a AA+ (sf) AA (sf)
A3c AA+ (sf) AA (sf)
B1a A+ (sf) BBB (sf)
B1c A+ (sf) BBB (sf)
C1a B (sf) B (sf)
C1c B (sf) B (sf)
D1a B- (sf) B- (sf)
E1c B- (sf) B- (sf)

Overview

  • Following our review of Eurosail UK 2007-3BL, we raised our ratings on the class A3a, A3c, B1a, and B1c notes.
  • At the same time, we affirmed our ratings on the class C1a, C1c, D1a, and E1c notes.
  • Eurosail UK 2007-3BL is a U.K. RMBS transaction, which closed in July 2007 and securitizes a pool of nonconforming loans secured on first- and second-ranking U.K. mortgages.

LONDON (S&P Global Ratings) Sept. 14, 2022--S&P Global Ratings today took various credit rating actions on the notes issued by Eurosail-UK 2007-3BL PLC (see list above).

In this transaction, our ratings address timely receipt of interest and ultimate repayment of principal for all classes of notes.

Today's rating actions reflect the transaction's stable credit performance and the increased credit enhancement for the outstanding notes following sequential amortization and the non-amortizing reserve fund.

Compared with our previous review, the weighted-average foreclosure frequency (WAFF) has decreased at all ratings levels, mainly due to fewer loans in arrears between 30 and 60 days and over 90 days. In addition, the weighted-average loss severity (WALS) reduced, driven by lower current loan-to-value ratios (see "Related Research")

WAFF And WALS Levels
Rating level WAFF (%) WALS (%)
AAA 50.50 32.24
AA 42.01 25.40
A 37.24 15.37
BBB 32.34 10.28
BB 27.04 7.41
B 25.84 5.16

Our analysis of operational, legal, and counterparty risk remains unchanged since our previous full review.

Our credit and cash flow analysis indicates that the available credit enhancement for the class A3a, A3c, B1a, and B1c notes is commensurate with higher ratings than those currently assigned. We have therefore raised to 'AA+ (sf)' from 'AA (sf)' our ratings on the class A3a and A3c notes. We have limited the upgrade of the class B1a and B1c notes to 'A+ (sf)' from 'BBB (sf)' as we have considered the nonconforming borrowers in this transaction will generally have lower resilience to the current inflationary and interest rate pressures and these notes are sensitive to a deterioration in the WAFF.

Our cash flow analysis indicates the available credit enhancement for the class C1a and C1c notes is commensurate with the currently assigned ratings. Therefore, we have affirmed our 'B (sf)' ratings on these notes.

In our cash flow analysis, the class D1a and E1c notes did not pass our 'B' rating level stresses in several cash flow scenarios. Consequently, we performed a qualitative assessment of the key variables under our criteria for assigning 'CCC' category ratings, together with analysis of performance and market data (see "Related Criteria"). In our view, timely repayment of interest and ultimate principal on these classes of notes does not depend on favorable business, financial, and economic conditions. We have therefore affirmed our 'B- (sf)' ratings on the class D1a and E1c notes as we give credit in our analysis to the undrawn reserve fund and the excess spread generation.

Eurosail UK 2007-3BL is a U.K. RMBS transaction, which closed in July 2007 and securitizes a pool of nonconforming loans secured on first- and second-ranking U.K. mortgages.

Related Criteria

Related Research

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

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