|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)|
- 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 (%)|
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.
- General Criteria: Environmental, Social, And Governance Principles In Credit Ratings, Oct. 10, 2021
- Criteria | Structured Finance | General: Global Framework For Payment Structure And Cash Flow Analysis Of Structured Finance Securities, Dec. 22, 2020
- 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: Global Framework For Assessing Operational Risk In Structured Finance Transactions, Oct. 9, 2014
- General Criteria: Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings, Oct. 1, 2012
- General Criteria: Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012
- General Criteria: Principles Of Credit Ratings, Feb. 16, 2011
- Criteria | Structured Finance | General: Methodology For Servicer Risk Assessment, May 28, 2009
- Cost Of Living Crisis: U.K. RMBS 2.0 Has Built-In Resilience, Sept. 6, 2022
- U.K. RMBS And ABS LIBOR Transition: Beware Of Early Success, Sept. 5, 2022
- EMEA Structured Finance Chart Book: August 2022, Aug. 5, 2022
- European RMBS Index Report Q2 2022, Aug. 2, 2022
- European Housing Markets: Soft Landing Ahead, July 13, 2022
- U.K. Economic Outlook For Q3 2022 Signals The Great Inflation Squeeze, June 27, 2022
- Global Macro Update: Growth Forecasts Lowered On Longer Russia-Ukraine Conflict And Rising Inflation, May 17, 2022
- Asset Price Risks: Inflated Property Values Mean Higher Loss Assumptions In European RMBS And Covered Bonds, March 21, 2022
- Various Rating Actions Taken In U.K. Nonconforming RMBS Transaction Eurosail-UK 2007-3BL Following Review, Feb. 13, 2018
- 2017 EMEA RMBS Scenario And Sensitivity Analysis, July 6, 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;|
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