OREANDA-NEWS. Fitch Ratings has upgraded one and affirmed 33 tranches of the Eurohome UK, Farringdon and Mansard series. A full list of rating actions is available at the end of this rating action commentary.

The transactions are securitisations of UK non-conforming loans with Farringdon and Mansard comprising loans originated by Rooftop Mortgages plc and Eurohome UK comprising loans originated by DBUK.

KEY RATING DRIVERS
Solid Performance
Performance in all transactions continues to improve with loans in arrears by more than three months excluding defaults falling to between 2.7% (Mansard 2007-2) and 10.9% (Eurohome 2007-2) from between 3.6% (Mansard 2007-2) and 14.3% (Eurohome 2007-2) in the same period last year. These levels remain comparable to the 9.2% average of the UK non-conforming sector.

Farringdon No1's and Farringdon No2's reserve fund have reached 70% and 96.7% of their respective targets, from 68.3% and 87% 12 months ago. The other transactions continue to have fully funded reserve funds.

Steady Build-up of Credit Enhancement
Farringdon No2, Mansard 2007-2 and both Eurohome deals continue to amortise sequentially, which, combined with the no longer amortising reserve funds, has led to a significant increase in credit enhancement (CE) across the structures. In particular, Fitch believes the increased CE on the B1a tranche of Farringdon No2 can now sustain higher ratings stresses, resulting in today's upgrade.

For the class B notes of Eurohome 2007-1 and Mansard 2006-1 CE is insufficient to sustain ratings higher than 'CCCsf', given Fitch's expectations on recoveries and the current performance of the deals the notes are affirmed with a recovery estimate of 90% while the B notes of Eurohome 2007-2, Mansard 2007-1 and Mansard 2007-2 have been affirmed at 'CCCsf' with a recovery estimate of 80%.

Farringdon No1, Mansard 2006-1 and 2007-1 have switched to pro-rata amortisation due to strong performance. As a result Fitch expects growth in CE to slow. This, combined with the strong performance, has led to today's affirmation of the notes.

Interest-only Concentration
The transactions have material concentration of interest-only loans maturing within a three-year period during the lifetime of the transaction. As per its criteria, Fitch carried out a sensitivity analysis assuming a 50% default probability for these loans. No ratings are impacted a result of the interest-only loan concentration. Nevertheless, Fitch will keep monitoring this risk as the transactions continue to amortise.

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.

As the reserve fund is the only source of CE for Farringdon No1 class B2a notes, the rating of the notes remains capped at the Long-term Issuer Default Rating of the account bank (Danske Bank AS); currently at 'A'/Stable.

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.

For Farringdon and Mansard Fitch was unable to obtain the date the loan was last one month in arrears. As a result, Fitch conducted sensitivity analysis based on the volume of 1 month plus arrears over the past 24 months. Fitch found the CE available to the rated notes sufficient to withstand the additional stresses.

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:
Wells Fargo with the following cut-off date:
5 October 2015 for Mansard 2006-1 and Mansard 2007-1
30 September 2015 for Mansard 2007-2
4 October 2015 for Farringdon No1 and Farringdon No2

Deutsche Bank with a cut-off date:
30 September 2015 for Eurohome UK 2007-1 and Eurohome 2007-2

-Transaction reporting provided by:
Deutsche Bank with a cut-off date of:
September 2015 for Eurohome 2007-1 and Eurohome 2007-2 and Mansard 2007-2
Wells Fargo with a cut-off date of:
October 2015 for Farringdon No1 and Farringdon No2 and Mansard 2006-1 and Mansard 2007-1

The rating actions are as follows:

Eurohome UK Mortgages 2007-1 plc:
Class A (ISIN XS0290416527): affirmed at 'Asf'; off RWP; Outlook Stable;
Class M1 (ISIN XS0290417418): affirmed at 'BBBsf'; off RWP; Outlook Stable
Class M2 (ISIN XS0290419380): affirmed at 'BB+sf'; off RWP; Outlook Stable
Class B1 (ISIN XS0290420396): affirmed at 'CCCsf'; off RWP; Recovery Estimate revised to 90% from 85%
Class B2 (ISIN XS0290420982): affirmed at 'CCCsf'; off RWP; Recovery Estimate revised to 90% from 0%

Eurohome UK Mortgages 2007-2 plc:
Class A2 (ISIN XS0311691272): affirmed at 'AAAsf'; Outlook Stable
Class A3 (ISIN XS0311693484): affirmed at 'Asf'; off RWP; Outlook Stable
Class M1 (ISIN XS0311694029): affirmed at 'BBBsf'; off RWP; Outlook Stable
Class M2 (ISIN XS0311695182): affirmed at 'BBsf'; off RWP; Outlook Stable
Class B1 (ISIN XS0311695778): affirmed at 'CCCsf'; off RWP; Recovery Estimate revised to 80% from 65%
Class B2 (ISIN XS0311697394): affirmed at 'CCCsf'; off RWP; Recovery Estimate revised to 80% from 0%

Farringdon Mortgages No. 1 Plc:
Class M2a (ISIN XS0211300362) affirmed at 'AAAsf', Outlook Stable
Class B1a (ISIN XS0211301766) affirmed at 'AAAsf', Outlook Stable
Class B2a (ISIN XS0211303382) affirmed at 'Asf', Outlook Stable

Farringdon Mortgages No. 2 Plc:
Class A2a DAC (ISIN XS0228710561) affirmed at 'AAAsf'; Outlook Stable
Class M2a (ISIN XS0228711882) affirmed at 'AAAsf'; Outlook Stable
Class B1a (ISIN XS0228712260) upgraded to 'AAsf'; from 'Asf'; off RWP; Outlook Stable
Class B2a (ISIN XS0228712930) affirmed at 'BBB-sf'; off RWP; Outlook Stable

Mansard Mortgages 2006-1 Plc
Class A2a (ISIN XS0272297358) affirmed at 'AAAsf'; Outlook Stable;
Class M1a (ISIN XS0272298752) affirmed at 'AAAsf'; Outlook Stable;
Class M2a (ISIN XS0272299057) affirmed at 'Asf'; off RWP; Outlook Stable
Class B1a (ISIN XS0272304311) affirmed at 'BBBsf'; off RWP; Outlook Stable
Class B2a (ISIN XS0272303693) affirmed at 'CCCsf'; off RWP; Recovery Estimate revised to 90% from 95%

Mansard Mortgages 2007-1 Plc
Class A2a (ISIN XS0293438965) affirmed at 'AAAsf'; Outlook Stable;
Class M1a (ISIN XS0293458054) affirmed at 'AA-sf'; off RWP; Outlook Stable
Class M2a (ISIN XS0293460381) affirmed at 'BBB+sf'; off RWP; Outlook Stable
Class B1a (ISIN XS0293442215) affirmed at 'BBsf'; off RWP; Outlook Stable
Class B2a (ISIN XS0293446711) affirmed at 'CCCsf'; off RWP; Recovery Estimate revised to 80% from 95%

Mansard Mortgages 2007-2 Plc
Class A1a (ISIN XS0333305299) affirmed at 'AAsf'; off RWP; Outlook Stable
Class A2a (ISIN XS0333306933) affirmed at 'AAsf'; off RWP; Outlook Stable
Class M1a (ISIN XS0333308475) affirmed at 'Asf'; off RWP; Outlook Stable
Class M2a (ISIN XS0333311693) affirmed at 'BB+sf'; ; off RWP; Outlook Stable
Class B1a (ISIN XS0333313988) affirmed at 'B+sf'; off RWP; Outlook Stable
Class B2a (ISIN XS0333340361) affirmed at 'CCCsf'; off RWP; Recovery Estimate revised to 80% from 75%.