OREANDA-NEWS. Fitch Ratings has assigned Fosse 2015-1 notes issued by Fosse Master Issuer plc (the master issuer), final ratings, as follows:

USD500m Class A1 floating-rate notes: 'F1+sf'
USD300m Class A2 floating-rate notes: 'AAAsf', Stable Outlook
GBP500m Class A3 floating-rate notes: 'AAAsf', Stable Outlook

The master trust property consists of prime residential owner-occupied mortgage loans originated in the UK by Alliance & Leicester Plc (A&L) and, following the Part VII scheme effected in May 2010, mortgage loans originated by Santander UK plc (Santander, A/Stable/F1).

Credit enhancement of (23%) for the class A notes is provided by the class B (2.8%), together with the unrated class Z (18%) notes and a fully funded reserve fund (2.2%).

KEY RATING DRIVERS

Seasoned Prime Portfolio
No new loans have been added to the portfolio since 2Q12. The portfolio has a weighted average (WA) seasoning of 104 months, a WA original loan-to-value ratio (OLTV) of 69.5% and WA debt to income ratio (DTI) of 33.3%. These ratios are in line with the average for Fitch-rated UK prime transactions.

Sound Historical Performance
Historically, the Fosse portfolio has had arrears below the Fitch average for UK prime portfolios. Loans that are three months or more (3m+) in arrears have marginally increased to 0.8% from 0.6% over the last year. Fitch expects the better performance of the Fosse portfolio relative to the sector to continue.

Short Legal Final Maturity Notes
The issuance includes a US dollar-denominated tranche of class 2a7 notes with a legal final maturity in January 2016, with amortisation payments scheduled to be completed prior to the legal final maturity.

To make the payment, the structure relies on a large accumulation of principal receipts occurring over a period of three months. Fitch conducted additional analysis to ensure that after making the note payment there will be sufficient funds in the reserve fund to cover payment interruption risk in a low prepayment scenario.

Fast-Track Loans
Of the loans, 15% by current aggregate balance are fast-track. All income has been verified for these borrowers. Santander supplied detailed historical arrears performance data that showed the performance of fast-track loans to be commensurate with that of fully verified loans. Fitch has therefore not applied an adjustment to the default probabilities on account of the fast-track loans in the portfolio.

RATING SENSITIVITIES
Material increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels larger than Fitch's base case expectations, which in turn may result in negative rating action on the notes. Fitch's analysis revealed that a 30% increase in the WA foreclosure frequency along with a 30% decrease in the WA recovery rate would not affect the class A notes' ratings.

More detailed model implied ratings sensitivity can be found in the presale report, which is available at www.fitchratings.com.

Santander provided Fitch with a loan-by-loan data template. However, two data fields were missing or partially completed. The first missing information was in relation to prior mortgage arrears. Since borrowers with recent mortgage arrears would not usually be accepted by Santander, no increase to the defualt probability was assumed for this.

For 2.9% of the loans in the portfolio, the income of primary borrowers was not supplied. For these loans Fitch assumed an income of GBP1,000, which resulted in them being assigned a Class 7 DTI (the highest).

It is Fitch's opinion that where data was supplied for analysis, it was of adequate quality. No new loans are being added to the pool for this issuance. Fitch has reviewed the results of an agreed-upon procedures report (AUP) previously conducted on the portfolio. The AUP report did not contain any material errors that would affect Fitch's ratings analysis.

To analyse credit enhancement, Fitch evaluated the collateral using its default model ResiEMEA. The agency assessed the transaction cash flows using default and loss severity assumptions under various structural stresses including prepayment speeds and interest rate scenarios. The cash flow tests showed that each class of notes could withstand loan losses at a level corresponding to the related stress scenario without incurring any principal loss or interest shortfall and can retire principal by the legal final maturity.

A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms to those typical for that asset class is available by accessing the appendix that accompanies the new issue report (see Fosse Master Issuer Plc - Appendix, at www.fitchratings.com).

At closing, Fitch also affirmed the ratings of the outstanding notes from the prior issuance under Fosse Master Issuer plc, as detailed below:

Fosse Master Issuer plc - Issue 2010-1:
Class A1: affirmed at 'AAAsf'; Outlook Stable
Class A2: affirmed at 'AAAsf'; Outlook Stable
Class A3: affirmed at 'AAAsf'; Outlook Stable

Fosse Master Issuer plc - Issue 2010-3:
Class A2: affirmed at 'AAAsf'; Outlook Stable

Fosse Master Issuer plc - Issue 2011-1:
Class A5: affirmed at 'AAAsf'; Outlook Stable
Class A6: affirmed at 'AAAsf'; Outlook Stable
Class A7: affirmed at 'AAAsf'; Outlook Stable

Fosse Master Issuer plc - Issue 2011-2:
Class A2: affirmed at 'AAAsf'; Outlook Stable
Class A3: affirmed at 'AAAsf'; Outlook Stable
Class A4: affirmed at 'AAAsf'; Outlook Stable
Class A5: affirmed at 'AAAsf'; Outlook Stable

Fosse Master Issuer plc - Issue 2012-1:
Class 2A1: affirmed at 'AAAsf'; Outlook Stable
Class 3A1: affirmed at 'AAAsf'; Outlook Stable
Class 2B1: affirmed at 'AAsf'; Outlook Stable
Class 2B2: affirmed at 'AAsf'; Outlook Stable
Class 2A2: affirmed at 'AAAsf'; Outlook Stable
Class 3A2: affirmed at 'AAAsf'; Outlook Stable
Class 2A3: affirmed at 'AAAsf'; Outlook Stable
Class 2A4: affirmed at 'AAAsf'; Outlook Stable
Class 2A5: affirmed at 'AAAsf'; Outlook Stable

Fosse Master Issuer plc - Issue 2014-1:
Class A1: affirmed at 'F1+sf'; Outlook Stable
Class A2: affirmed at 'AAAsf'; Outlook Stable