OREANDA-NEWS. Fitch Ratings has affirmed 21 tranches and upgraded six tranches of Uropa and ResLoC UK non-conforming RMBS transactions.

A full list of rating actions is available at the end of this commentary.

KEY RATING DRIVERS
Adequate Credit Enhancement
ResLoC UK 2007-1 plc is paying down on a pro-rata basis, which is expected to continue into the next year, to the benefit of the junior tranches. Both Uropa deals are currently paying down sequentially. Uropa 2007 may switch to pro-rata in the next 18 months as the relevant triggers are close to being met. In contrast Fitch does not expect Uropa 2008 to switch to pro-rata in the near future as the conditions are unlikely to be met. Fitch believes that the available credit enhancement is sufficient to withstand the stress scenarios associated with the ratings, which is reflected in today's rating actions.

Stable Asset Performance
As of end-March 2015 three-months plus arrears for all transactions remained below 8%, lower than the level of Fitch's UK non-conforming index of 10.3%. Nonetheless, the average loss severity incurred to date has exceeded 30% in both Uropa deals, translating into fairly large losses following the sale of repossessed properties. Fitch believes that this is, to a certain extent, driven by a large proportion of loans that were originated at the peak of the market; the share of loans originated in 2007 was 95.3% for Uropa 2008.

In recent periods, the fairly low levels of arrears have translated into smaller losses. Consequently, Uropa 2007 and ResLoC 2007 continue to have fully funded reserve funds, amounting to 1.2% and 2.8% respectively of their current note balances.

With minimal volumes of unsold properties in possession, below 50bp, losses are expected to remain limited in the near future. Consequently, asset performance and sufficient credit support have led to the upgrades of the A4 and B tranches in Uropa 2007.

Unhedged Basis Risk
Following the amendments to the rating trigger for the swap provider in Uropa 2008, Fitch now considers the basis rate mismatch between the Libor-linked notes and the BBR-linked mortgages as unhedged. BBR-linked mortgages make up 87.3% of the current pool. In its analysis, Fitch accounted for the unhedged basis risk by reducing the excess spread generated by the BBR-linked portions of the portfolio.

Payment Interruption Risk
The current reserve funds and/or liquidity reserve levels provide sufficient liquidity to cover at least six months of senior fees and interest on the senior notes in case of default of the servicer or the collection account bank.

RATING SENSITIVITIES
The transactions are backed by floating-interest-rate loans. In the current low interest rate environment, borrowers are benefiting from low borrowing costs. An increase in interest rates could lead to performance deterioration of the underlying assets and consequently downgrades of the notes if defaults and associated losses exceed those of Fitch's stresses.

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 pools ahead of the transactions' initial closing. The subsequent performance of the transactions 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.

Fitch did not review the results of a third party assessment conducted on the asset portfolio information.

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:

- Loan-by-loan data provided by:
Homeloan Management Limited with a cut-off date of 31 March 2015 for Uropa 2007-1 and 31 May 2015 for Uropa 2008-1
Mount Street Mortgage Servicing Limited with a cut-off date of 6 March 2015 for ResLoc UK 2007-1

The rating actions are as follows:

ResLoC UK 2007-1 plc
Class A3a notes (ISIN XS0300468385): affirmed at 'AAAsf'; Outlook Stable
Class A3b notes (ISIN XS0300470365): affirmed at 'AAAsf'; Outlook Stable
Class A3c notes (ISIN XS0300472817): affirmed at 'AAAsf'; Outlook Stable
Class M1a notes (ISIN XS0300473203): affirmed at 'AAAsf'; Outlook Stable
Class M1b notes (ISIN XS0300473542): affirmed at 'AAAsf'; Outlook Stable
Class B1a notes (ISIN XS0300474193): affirmed at 'AAsf'; Outlook Stable
Class B1b notes (ISIN XS0300474607): affirmed at 'AAsf'; Outlook Stable
Class C1a notes (ISIN XS0300474789): affirmed at 'A-sf'; Outlook Stable
Class C1b notes (ISIN XS0300475083): affirmed at 'A-sf'; Outlook Stable
Class D1a notes (ISIN XS0300475323): affirmed at 'BBsf'; Outlook Stable
Class D1b notes (ISIN XS0300476057): affirmed at 'BBsf'; Outlook Stable
Class E1b notes (ISIN XS0300477022): affirmed at 'Bsf'; Outlook Stable

Uropa Securities plc Series 2007-01B
Class A2b notes (ISIN XS0311807167): affirmed at 'AAAsf'; Outlook Stable
Class A3a notes (ISIN XS0311807753): affirmed at 'AAAsf'; Outlook Stable
Class A3b notes (ISIN XS0311808561): affirmed at 'AAAsf'; Outlook Stable
Class A4a notes (ISIN XS0311809452): upgrade to 'AA+sf' from 'AAsf'; Outlook Stable
Class A4b notes (ISIN XS0311809882): upgrade to 'AA+sf' from 'AAsf'; Outlook Stable
Class M1a notes (ISIN XS0311810385): affirmed at 'A-sf'; Outlook Stable
Class M1b notes (ISIN XS0311811193): affirmed at 'A-sf'; Outlook Stable
Class M2a notes (ISIN XS0311813058): affirmed at 'BBBsf'; Outlook Stable
Class B1a notes (ISIN XS0311815855): upgraded to 'BBsf' from 'Bsf'; Outlook Stable
Class B1b notes (ISIN XS0311816150): upgraded to 'BBsf' from 'Bsf'; Outlook Stable
Class B1b cross currency swap: upgraded to 'BBsf' from 'Bsf'; Outlook Stable
Class B2a notes (ISIN XS0311816408): upgraded to 'Bsf' from 'CCCsf'; Outlook Stable

Uropa Securities plc Series 2008-1
Class A notes (ISIN XS0406658624): affirmed at 'AAAsf'; Outlook Stable
Class M1 notes (ISIN XS0406667534): affirmed at 'AAsf'; Outlook Stable
Class M2 notes (ISIN XS0406668938): affirmed at 'Asf'; Outlook Stable