OREANDA-NEWS. Fitch Ratings has affirmed its ratings of Slate No. 1 PLC, a securitisation of seasoned prime residential mortgage loans from multiple originators. The rating actions are as follows:

Class A (ISIN XS1028940572): affirmed at 'AAAsf', Outlook Stable
Class X (ISIN XS1028940739): affirmed at 'AAAsf', Outlook Stable

KEY RATING DRIVERS
Strong Credit Enhancement (CE)
In the 12 months since the notes were issued, the class A notes have amortised to roughly 72% of its initial principal balance, resulting in an increase in CE to 25.86% from 19.14%. The class A notes' CE consists of 24.65% of subordination and 1.21% of reserve fund available to absorb losses. While the performance of the transaction is limited, at present less than 1% of the mortgage pool is in 90+ day arrears.

Sequential Amortisation
Principal is distributed sequentially among the notes for the life of the transaction, with no provisions for converting to pro rata amortisation. As such, the class A notes will continue to receive 100% of principal collections until paid in full.

Underwriting Adjustment
At transaction close, Fitch applied an underwriting adjustment to account for missing originator files and prior adverse credit history of borrowers in the portfolio. This default probability (DP) adjustment was also used in this analysis. The CE available to the class A notes was sufficient to withstand this additional DP stress.

Unhedged Basis Risk
At transaction close the portfolio comprised 70% standard variable-rate loans, 18% bank base-rate tracker loans and 8% fixed-rate loans. The mismatch between the interest received from the portfolio and that received on the notes was not hedged. For this reason, and in line with its criteria, Fitch reduced the credit given to excess spread in its EMEA RMBS Surveillance model.

Eligible Collection Account Bank
Since transaction close the issuer has named Barclays Bank as the collection account bank, which is in line with Fitch's counterparty criteria for structured finance transactions, and as such has no effect on the ratings.

RATING SENSITIVITIES
Given the high level of CE available to the notes, the notes are deemed to be well protected. However, a sudden deterioration in asset performance resulting in defaults and losses in excess of Fitch's stresses would trigger negative rating actions.

Fitch published an exposure draft for UK residential mortgage assumptions on 22 September 2015(https://www.fitchratings.com/creditdesk/reports/report_frame_render.cfm?rpt_id=871376). The proposed criteria, if adopted, will lead to smaller loss expectations for all types of mortgage portfolios. As a result, Fitch expects all outstanding UK RMBS and CVB ratings to either be affirmed or upgraded. If the current criteria are updated after considering market feedback, Fitch will review all existing UK RMBS ratings within six months of the new criteria publication.

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 transactions closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated errors or missing data related to missing originator files. These findings were considered in this analysis by assuming an increased underwriting adjustment.

Prior to the transaction's closing, Fitch conducted a review of a small targeted sample of the originator's 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 and together with the assumptions referred to above, 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 US Bank, acting in the roll of cash manager, as at 31 August 2015
-Transaction reporting provided by US Bank, acting in the role of cash manager, up to and as at 31 August 2015

MODELS
The 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 Slate No. 1 plc - Appendix, dated 18 December 2014 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.