Fitch Ratings has affirmed five tranches of Duncan Funding 2015-1, a prime RMBS originated and serviced by TSB Bank, while removing the junior tranches from Rating Watch Positive (RWP)

Class A1 (ISIN XS1304470740): affirmed at 'AAAsf', Outlook Stable

Class A2a (ISIN XS1304471391): affirmed at 'AAAsf', Outlook Stable

Class A2b (ISIN XS1304472100): affirmed at 'AAAsf', Outlook Stable

Class B (ISIN XS1304472282): affirmed at 'AA+sf', Outlook Stable; off RWP

Class C (ISIN XS13304472449): affirmed at 'Asf', Outlook Stable; off RWP

KEY RATING DRIVERS

Adequate Credit Support

Credit support available to the rated notes has built up since closing in November 2015 as a result of the class A1 notes' scheduled amortisation, resulting in today's affirmation.

Limited Performance History

To date total arrears are only 0.2% of the current pool while no loans have been taken into possession. Nevertheless, performance history is limited as the transaction only closed in November 2015.

Revolving Transaction

The transaction features a five-year revolving period during which principal collections in excess of the scheduled notes amortisation can be used to purchase new loans. In its analysis, Fitch took into account potential changes to the portfolio characteristics associated with the revolving period. The agency assumed that the final portfolio at the end of the revolving period will include 11.5% of interest-only (IO) loans, 17.5% of loans granted to self-employed borrowers and about 11% of loans granted to borrowers with non-verified income.

The agency also modelled a more adverse sustainable loan-to-value (sLTV) ratio and debt-to-income (DTI) ratio, as well as assuming that 2% of the pool at the end of the revolving period is delinquent by between three and six months. Fitch analysis found that credit enhancement available to the notes is sufficient to withstand these stresses.

Constrained Ratings

The class C notes do not benefit from any liquidity reserve and as a result our ratings address only payment of interest by the final legal maturity. The class C notes' rating is therefore capped within the 'Asf' category.

Unhedged Portion

SVR-, BBR - and HVR-indexed loans, which represent about 48% of the pool, are not hedged. Fitch reduced the available excess spread to factor in the mismatch between assets and liabilities as well as potential compression of interest rates. A haircut to the excess spread was also applied to account for a margin step-up in September 2024.

RATING SENSITIVITIES

Asset performance beyond Fitch's assumptions would result in negative rating actions.

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 transaction. 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.

Prior to the transaction's closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated no adverse findings material to the rating analysis.

Prior to the transaction's closing, Fitch conducted a review of a small targeted sample of the originator's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio.

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.

-Loan-by-loan data provided by TSB as at 29 February 2016

-Transaction reporting provided by TSB as at 31 March 2016