- Following our review of Mansard Mortgages 2007-2, we have affirmed our ratings on all classes of 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. 9, 2023--S&P Global Ratings affirmed its 'A+ (sf)' credit ratings on Mansard Mortgages 2007-2 PLC's class A1a, A2a, M1a, and M2a notes, 'A (sf)' rating on the class B1a notes, and 'BBB+ (sf)' rating on the class B2a notes.
Today's affirmations reflect that while there has been a significant increase in loan-level arrears since closing, there has been a relatively high level of prepayments in this transaction, resulting in increased credit enhancement for the outstanding notes.
The performance of the loans in the collateral pool has deteriorated since our previous full review in November 2021 (see "Related Research"). Based on our calculation methodology, total arrears increased to 17.1% from 9.1% between the September 2022 and June 2023 cutoff dates. This has resulted in a 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 overall effect from our credit analysis results is an increase in the required credit coverage at all rating levels
|Mansard 2007-2 PLC|
|Rating level||WAFF (%)||WALS (%)|
|WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity.|
Both the liquidity facility and the reserve fund are at their required levels and are nonamortizing.
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.
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 A1a, 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 and B2a notes could withstand our stresses at a higher rating than that assigned. However, these ratings are constrained by additional factors that we considered. We considered the relative position of these classes of notes in the capital structure and the lower credit enhancement for the subordinated classes compared with that of the senior notes. We have therefore affirmed our 'A (sf)' and 'BBB+ (sf)' ratings on the class B1a and B2a notes, respectively.
Counterparty, operational, and legal risks are adequately mitigated in line with our criteria.
- 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: Methodology Applied To Bank Branch-Supported Transactions, Oct. 14, 2013
- Criteria | Structured Finance | General: Global Derivative Agreement Criteria, June 24, 2013
- 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
- EMEA Structured Finance Chart Book: October 2023, Oct. 26, 2023
- Economic Outlook U.K. Q4 2023: High Rates Keep Growth Muted, Sept. 25, 2023
- European RMBS Index Report Q2 2023, Aug. 15, 2023
- European Housing Markets: Sustained Correction Ahead, July 20, 2023
- European RMBS And ABS Monitor H1 2023, July 19, 2023
- S&P Global Ratings Definitions, June 9, 2023
- U.K. Residential Mortgage Servicing Flexibility Could Ease Arrears Pain, April 26, 2023
- Scenario Analysis: How Much Shock Can U.K. RMBS Take?, March 1, 2023
- European RMBS Outlook 2023: Permafrost Or Thaw?, Jan. 12, 2023
- European Structured Finance Outlook 2023: Close To The Edge, Jan. 12, 2023
- Cost Of Living Crisis: Payment Shock Greatest In Legacy U.K. Nonconforming RMBS, Dec. 15, 2022
- Residential Mortgage Securities 32 PLC Ratings Raised On Four Classes Of Notes; Two Classes Affirmed, Nov. 9, 2022
- Cost Of Living Crisis: U.K. RMBS 2.0 Has Built-In Resilience, Sept. 6, 2022
- U.K. Nonconforming RMBS: Looking Beyond Headline Arrears, Aug. 25, 2022
- Residential Mortgage Market Outlooks Maintained For 15 European Jurisdictions Following Revised Economic Forecasts, April 28, 2022
- Mansard Mortgages 2007-2 Class B1a And B2a RMBS Ratings Raised; Other Ratings Affirmed, Nov. 25, 2021
- Various Rating Actions Taken In Three Mansard Mortgages RMBS Transactions Following Review, Nov. 19, 2019
- 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:||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|
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