OREANDA-NEWS. At transaction close, the collateral consisted of prime mortgages originated by Coventry Building Society (CBS, A/Stable/F1) (69.5%) and Godiva Mortgages Limited (30.5%), a wholly owned subsidiary of CBS. The current portfolio consists of 84.9% loans originated by CBS and 15.1% by Godiva Mortgages Limited.

KEY RATING DRIVERS
Solid Asset Performance
Over the past 12 months, arrears cases have remained low. As of end-November 2015, the volume of loans in arrears by three months or more stood at 0.5% of the outstanding pool balance, which is below Fitch's UK prime three-months plus arrears index (0.8%). Since transaction close in 2012, only one property has been repossessed.

Underwriting Adjustment
Fitch has applied an underwriting adjustment in respect of the Godiva-originated loans. The adjustment takes into account that all new mortgage applications are sourced through intermediaries and Fitch's view that the broker channel brings about additional risks within the origination process. No adjustment has been made in respect of CBS.

Regional Concentration
Approximately 20.4% of the loans were originated in Scotland, which is around twice the percentage expected in a fully diversified pool. Given the concentration of properties, the portfolio is more exposed to regional performance. Therefore Fitch has applied a 15% foreclosure frequency increase for the borrowers in this area.

RATING SENSITIVITIES
A significant deterioration in asset performance including repossessions and losses beyond expectations could lead to a reduction in excess spread and potential reserve fund draws. This could 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
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 CBS as at 31 October 2015
-Transaction reporting provided by CBS as at 26 November 2015