OREANDA-NEWS. Fitch Ratings has affirmed Rochester Financing No.1 plc transaction, as follows:

Class A1 (XS0980216989): affirmed at 'AAAsf'; Outlook Stable
Class A2 (XS0980266810): affirmed at 'AAAsf'; Outlook Stable
Class B (XS0980272545): affirmed at 'AAsf'; Outlook Stable
Class C (XS0980273196): affirmed at 'Asf'; Outlook Stable
Class D (XS0980273436): affirmed at 'BBBsf'; Outlook Stable
Class E (XS0980273519): affirmed at 'BBB-sf'; Outlook Stable

The non-conforming UK RMBS transaction is backed by mortgages originated by GMAC RFC (GMAC), Advantage Homeloans (Advantage) and Precise Mortgages (Precise).

KEY RATING DRIVERS
Stable Asset Performance
The portfolio backing the transaction consists of a majority of non-conforming loans originated by GMAC (39%) and Advantage (45%) mainly in 2007. The remaining 16% represents near-prime mortgage originated by Precise after 2010. As a result, the higher seasoning of the non-conforming loans makes up for lower origination standards.

The loans in arrears by more than three months are building up slowly and account for 0.9% (vs 0.6% last year) of the outstanding loan balance as of June 2015, compared with Fitch's non-conforming index of 9.81%. Possession and losses remain negligible so far and there are only a very limited number of properties in possessions. However, Fitch expects arrears and repossessions to build up in the coming periods given the transaction closed just two years ago.

Solid Protection
In addition to subordination, credit enhancement is provided by three reserve funds that were funded using part of the proceeds from the class F notes.

The reserve fund stands at 3% of the original pool balance. It is split between the liquidity reserve fund (LRF), which amounts for 3% of the class A and class B, C and D outstanding note balance as long as there is no principal deficiency ledger (PDL) outstanding on these notes and the general reserve fund (GRF). As the LRF amortises with the notes, funds are transferred to the GRF so that the total reserve fund amount remains equal to 3% of the original collateral balance. The LRF and GRF currently stand at 2.7% and 1.1% of the current note balance, respectively.

No Interest Rate Hedging
The transaction is not hedged against interest rate risk. 74.5% of the pool is linked to three-month LIBOR, and as a result is subject to LIBOR reset date risk, which Fitch accounted for in the analysis. The remaining 25.5% of the portfolio pays BBR. As per our criteria, Fitch assumed a haircut on the spread of 200bp for the first year of the transaction and a smaller haircut of 50bp thereafter.

RATING SENSITIVITIES
An increase in interest rates would stress borrower affordability and could result in increasing arrears within the transaction. Furthermore, as the transaction is quite recent, arrears, repossessions and losses could build up. This could put pressure on liquidity within the transaction, especially after the step-up date, and result in negative rating action.

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 pool 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 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 closing, Fitch conducted a review of a small targeted sample of the originators' 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 Chartered Court Financial Services as at August 2015
- Transaction reporting provided by Chartered Court Financial Services as at June 2015
- Structure information provided by Chartered Court Financial Services as at September 2015

MODELS
The ResiEMEA and EMEA RMBS Surveillance models below were used in the analysis. Click on the link for a description of the model.

REPRESENTATIONS AND WARRANTIES
A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms to those typical for the asset class is available by accessing the appendix that accompanies the initial new issue report (see Rochester Financing N0.1 plc - Appendix, dated 26 November 2013 at www.fitchratings.com). In addition refer to the special report "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions" dated 12 June 2015 available on the Fitch website.