OREANDA-NEWS. Fitch Ratings has affirmed Kenrick No.1 Plc (Kenrick 1) and Kenrick No.2 Plc (Kenrick 2). Both transactions are UK prime RMBS comprising owner-occupied mortgages originated by West Bromwich Building Society (WBBS).

Kenrick No.1 Plc
Class 2012-1 A2 (ISIN XS0772555750) affirmed at 'AAAsf': Outlook Stable

Kenrick No.2 Plc
Class A (ISIN XS0921331418) affirmed at 'AAAsf': Outlook Stable

KEY RATING DRIVERS
Solid Asset Performance
Both transactions have reported solid asset performance since closing in 2012 and 2013 with loans in arrears for three months or more at 0.06% and 0.63% of their respective collateral balances.

Geographical Concentration
Fitch has applied a 15% foreclosure frequency increase for the geographical concentration of borrowers in the West Midlands in the two transactions. The assumption is in line with UK RMBS criteria.

Quick-Sale Adjustment
At the close of Kenrick 2, Fitch reviewed loan-by-loan repossession data and derived a quick-sale adjustment (QSA) of 25%, which was higher than the 22% in the criteria. The higher QSA assumption has been applied in the current analysis.

Absence of Swap
The fixed-rate loans of both transactions and the Bank of England Base Rate (BBR)-paying portion of the Kenrick 1 pool are hedged. Kenrick 1 is not hedged against basis risk arising from the LIBOR-linked notes and standard variable rate (SVR)-paying mortgages (6.9% of the current pool). Meanwhile, Kenrick 2 remains exposed to basis risk between LIBOR-linked notes and both SVR- and BBR-linked mortgages (respectively 12.6% and 71.4% of the outstanding portfolio).

In its analysis, Fitch reduced the revenue generated by the SVR-linked portions for both transactions, as well as the income from the BBR portion of the Kenrick 2 portfolio. The corresponding reduction in excess spread has had no impact on the ratings of the notes.

Deposit Set-off
Certain set-off rights may accrue for a customer who holds both a mortgage loan and a deposit account with WBBS. The deposit set-off exposure is mitigated by the UK deposit scheme up to GBP75,000. Fitch has accounted for the current deposits in excess of GBP75,000 in its analysis of the two portfolios.

RATING SENSITIVITIES
An increase in repossessions and the associated pressure on the excess spread and reserve fund beyond Fitch's assumptions could result in negative rating actions.

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.

Prior to the transactions' 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 transactions closing, Fitch conducted a review of a small targeted sample of WBBS'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, 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 WBBS as at 30 September 2015
-Transaction reporting provided by WBBS as at 31 October 2015.