articles Ratings /ratings/en/research/articles/231109-mansard-mortgages-2007-1-plc-class-b2a-u-k-nonconforming-rmbs-rating-lowered-other-ratings-affirmed-12865046.cshtml content esgSubNav
In This List

Mansard Mortgages 2007-1 PLC Class B2a U.K. Nonconforming RMBS Rating Lowered; Other Ratings Affirmed


U.S. BSL CLO Obligors: Corporate Rating Actions Tracker 2023 (As Of Dec. 1)


Credit FAQ: China To Avert 'Lost Decade', With Bright Spots Ahead


Table Of Contents: S&P Global Ratings Credit Rating Models


Servicer Evaluation: KeyBank Real Estate Capital

Mansard Mortgages 2007-1 PLC Class B2a U.K. Nonconforming RMBS Rating Lowered; Other Ratings Affirmed


  • Following our review of Mansard Mortgages 2007-1 under our relevant criteria, we have lowered to 'B- (sf)' from 'B+ (sf)' our rating on the class B2a notes.
  • At the same time, we affirmed our ratings on the class A2a, M1a, M2a, and B1a notes.

LONDON (S&P Global Ratings) Nov. 9, 2023--S&P Global Ratings today lowered to 'B- (sf)' from 'B+ (sf)' its credit ratings on Mansard Mortgages 2007-1 PLC's class B2a notes. At the same time, we affirmed our 'A+ (sf)' ratings on the class A2a, M1a, and M2a notes and our 'BBB (sf)' rating on the class B1a notes.

Today's rating actions reflect the transaction's performance, with higher arrear balances compared with our previous analysis, although there has been a modest increase in available credit enhancement for all classes of notes (due to pro rata amortization) (see "Related Research").

The transaction is backed by a pool of buy-to-let and nonconforming mortgage loans on properties in the U.K.

Based on our calculation methodology, total arrears increased to 24.4% from 16.10% between the October 2020 and July 2023 cutoff dates and is currently above our U.K. nonconforming index for pre-2014 originations. This has resulted in an increase in our weighted-average foreclosure frequency (WAFF) at all rating levels. 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 pool has showed stable performance and pool-level characteristics. Compared with our previous analysis, the performance of the portfolio has deteriorated, mainly due to the increase in arrears.

Available credit enhancement in this transaction has increased modestly since our previous review, due to the pro rata priority of payments and the nonamortizing reserve fund.

The overall effect from our credit analysis results is a increase in the required credit coverage for the 'AAA', 'AA', 'A', and 'BBB' rating levels due to increases in the WAFF (due to increases in arrears), and a marginal decrease at other rating levels due to decreases in the WALS (due to increases in house prices).

Mansard 2007-2 PLC
Rating level WAFF (%) WALS (%)
AAA 44.08 32.70
AA 38.54 23.41
A 34.88 9.80
BBB 30.30 3.82
BB 25.33 2.00
B 24.21 2.00
WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity.

The liquidity facility is nonamortizing. It was drawn to cash upon the liquidity facility provider's (Danske Bank A/S) loss of the required rating in 2009. Both the liquidity facility and the reserve fund are at their required levels.

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

Macroeconomic forecasts and forward-looking analysis

We expect U.K. inflation to remain high for the rest of 2023 and forecast the year-on-year change in house prices in fourth-quarter 2023 to be 6.6% and 4.9% in first-quarter 2024 (see "European Housing Markets: Sustained Correction Ahead," published on July 20, 2023). Although high inflation is overall credit negative for all borrowers, inevitably some borrowers will be more negatively affected than others, and to the extent inflationary pressures materialize more quickly or more severely than currently expected, risks may emerge.

We consider the borrowers to be nonconforming and as such are generally less resilient to inflationary pressure than prime borrowers.

Given our current macroeconomic forecasts and forward-looking view of the U.K. residential mortgage market, we performed additional sensitivities related to higher levels of defaults due to increased arrears and house price declines. We have also performed additional sensitivities with extended recovery timing due to observed delays to repossession owning to court backlogs in the U.K. and the recent repossession grace period announced by the U.K. government under the Mortgage Charter.

Our credit and cash flow results for the class 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 therefore affirmed our 'A+ (sf)' ratings on the class A2a, M1a, and M2a notes.

We also affirmed our rating on the class B1a notes. These notes could withstand our stresses at a higher rating than that assigned. However, the rating is constrained by additional factors that we considered. First, we factored the sensitivity of this class to tail-end risk due to any potential increase in defaults from the high level of exposure to interest-only loans and high arrears. In addition, we considered this class of notes' relative position in the capital structure and the significantly lower credit enhancement for the subordinated classes compared with that of the senior notes. We therefore affirmed our 'BBB (sf)' rating on the class B1a notes.

In our standard cash flow analysis, the class B2a notes face shortfalls at all rating levels. In the steady state scenario, where the current level of stress shows little to no increase and collateral performance remains steady, the class B2a notes no longer face shortfalls at a 'B' rating. Therefore, in our view, payment of interest and principal on the class B2a notes does not depend on favorable business, financial, and economic conditions. We therefore lowered to 'B- (sf)' from 'B+ (sf)' our rating on the class B2a notes.

Counterparty, operational, and legal risks are adequately mitigated in line with our criteria.

Related Criteria

Related Research

Primary Credit Analyst:Abhijit A Pawar, London + 44 20 7176 3774;
Secondary Contacts:Pratish Dcruz, London +44 2071766749;
Vedant Thakur, London + 44 20 7176 3909;
Research Contributor:Vigneesh Iyer, CRISIL Global Analytical Center, an S&P affiliate, Mumbai

No content (including ratings, credit-related analyses and data, valuations, model, software, or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced, or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor’s Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees, or agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness, or availability of the Content. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an “as is” basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE UNINTERRUPTED, OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advised of the possibility of such damages.

Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. S&P’s opinions, analyses, and rating acknowledgment decisions (described below) are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment, and experience of the user, its management, employees, advisors, and/or clients when making investment and other business decisions. S&P does not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. Rating-related publications may be published for a variety of reasons that are not necessarily dependent on action by rating committees, including, but not limited to, the publication of a periodic update on a credit rating and related analyses.

To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain regulatory purposes, S&P reserves the right to assign, withdraw, or suspend such acknowledgement at any time and in its sole discretion. S&P Parties disclaim any duty whatsoever arising out of the assignment, withdrawal, or suspension of an acknowledgment as well as any liability for any damage alleged to have been suffered on account thereof.

S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the confidentiality of certain nonpublic information received in connection with each analytical process.

S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites, (free of charge), and (subscription), and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available at

Register with S&P Global Ratings

Register now to access exclusive content, events, tools, and more.

Go Back