S&P: Ratings Raised On U. K. RMBS Transaction Precise Mortgage Funding 2014-1's Class B To D Notes; Class A Notes Affirmed
Today's rating actions follow our credit and cash flow analysis of the transaction using information from the June 2016 investor report and loan-level data. Our analysis reflects the application of our U. K. residential mortgage-backed securities (RMBS) criteria and our current counterparty criteria (see "U. K. RMBS Methodology And Assumptions," published on Dec. 9, 2011, and "Counterparty Risk Framework Methodology And Assumptions," published on June 25, 2013).
Since closing in July 2014, the weighted-average foreclosure frequency (WAFF) has decreased (see "Ratings Assigned To U. K. Nonconforming RMBS Transaction Precise Mortgage Funding 2014-1's Class A To D Notes," published on July 22, 2014). This decrease is primarily due to the decrease in discount, re-mortgage, and cash-out loans in the pool. Seasoning benefit does not apply as all of the loans in the pool are less than five years seasoned. The reported total arrears remain very modest in absolute terms and compared with U. K. nonconforming index (see "U. K. RMBS Index Report Q1 2016: Prepayment Rates Continue To Increase In Buy-To-Let And Nonconforming Transactions," published on June 3, 2016). The transaction's total delinquency ratio currently stands at 1.2% compared with the total delinquency index of 16.6%, and the transaction's 90+ days past due arears ratio is at 0.2% compared with the 10.2% index value. Due to the pool's good performance to date, we have reduced our arrears projection, which also helped to reduce the WAFF. Our weighted-average loss severity (WALS) calculations have increased at the 'AAA' level, but have decreased at all other rating levels. Although the transaction has benefitted from the decrease in the weighted-average current loan-to-value (LTV) ratio, this has been offset by the increase in our repossession market-value decline assumptions since closing, which have been greater at the 'AAA' level.
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