OREANDA-NEWS. Fitch Ratings has affirmed Millshaw Sams No. 1 Ltd's SAM notes (XS0095065856) at 'AAAsf'; Outlook Stable. Fitch has simultaneously withdrawn the rating as it is no longer considered by Fitch to be relevant to the agency's coverage.

This is because the agency considers the transaction to be singular in nature (compared to other Fitch-rated RMBS transactions) given that noteholder returns are driven primarily by property value appreciation which the rating does not address as the notes themselves do not have a specified coupon.

The transaction is a securitisation of shared appreciation mortgages that do not have an ongoing interest obligation or scheduled maturity. Noteholders receive principal payments as well as up to 75% of the equity appreciation of the property (since origination) upon repayment of the mortgage.

KEY RATING DRIVERS

The affirmation reflects the indexed property value.

Given the lack of a specified interest coupon, Fitch's rating addresses only ultimate repayment of note principal. The agency applied 'AAAsf' house price decline stresses as per its criteria to the indexed property value. The resulting recovery value was found to be sufficient to cover the current outstanding note balance.

The rating was subject to the following criteria variations:

- No weighted average foreclosure frequency is applied given the specific nature of the securitised mortgages

- Recovery rate calculations are based on stratifications of the portfolio rather than loan-by-loan analysis.

- Illiquidity adjustments are applied as 10% against indexed property values over GBP300,000 as opposed to the region-specific adjustments prescribed by criteria. This is because of the lack of loan-by-loan data.

- Implied ratings are not derived by a model.

- Only the low CPR scenario is envisaged in calculation of coverage of senior expenses as that was viewed as the more stressful scenario in testing coverage.

RATING SENSITIVITIES

Not applicable

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY

Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

Fitch did not undertake a review of the information provided about the underlying asset pool ahead of the transaction's initial closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

SOURCES OF INFORMATION

The information below was used in the analysis.

- Transaction reporting provided by Barclays as at 15 March 2016