OREANDA-NEWS. Fitch Ratings has affirmed Leek 17, 18, 19 and 22. The four transactions comprise UK non-conforming loans, predominantly originated by Platform Funding Limited, a wholly owned subsidiary of the Co-operative Bank plc (B/Negative/B).

A full list of ratings actions is available at www.fitchratings.com or by clicking on the link above.

KEY RATING DRIVERS
Good Asset Performance
All four transactions have shown solid performance, with three months plus (3M+) arrears ranging between 2.7% (Leek 22) and 3.9% (Leek 17) of the current portfolio balance, much lower than the sector average of 11%. Additionally, loans in possession remain at less than 15bps of their respective portfolio balance. Combined with the current low pipeline of late-stage arrears in the transactions, Fitch expects possession activities and associated losses to remain minimal in the coming year.

Leek 17, 18 & 19's Junior Notes Capped
The Leek 17, 18 and 19 collateral portfolios incorporate UK government gilts held with JP Morgan Chase Bank (A/Stable/F1). The gilts provide credit enhancement (CE) available to the rated notes of up to 33% of their respective current pool balances. The agency has analysed these transactions without taking into account the credit support provided by the gilts. The CE available to class A and M of Leek 17 and Leek 18 and class A of Leek 19 are sufficient to withstand the respective 'AAAsf' stresses without gilt support. The other mezzanine and junior tranches are credit-linked to the rating of the UK sovereign at 'AA+sf'.

No Impact of Unhedged Basis Risk
In the Leek series, there is no swap in place to hedge against the basis risk between the LIBOR- linked notes and Bank of England base rate (BBR)-linked mortgages, which currently affects more than 65% of the underlying loans in the portfolio. Fitch applied a haircut to the portfolio margins on the unhedged BBR portion of the portfolio. The resulting analysis concluded that the rated notes were able to withstand the reduction in coupons under Fitch's stressed scenarios.

RATING SENSITIVITIES
Changes to the UK's sovereign rating would have a direct impact on the lower rated tranches of Leek 17, 18 and 19 given the significant CE provided by the treasury gilts.

Unexpected increases in the default rate and loss severity on properties sold could produce loss levels higher than Fitch's assumptions and could result in negative rating action.