OREANDA-NEWS. Fitch Ratings has upgraded five tranches of Eurohome UK series 2007-1 and 2007-2 (securitisations of UK non-conforming loans comprising loans originated by DBUK) due to the discovery of an inconsistent calculation in Fitch's UK RMBS Surveillance Model. The other tranches are unaffected and have been affirmed. The ratings are as follows:

Eurohome UK Mortgages 2007-1 plc:
Class A (ISIN XS0290416527): affirmed at 'Asf'; Outlook Stable
Class M1 (ISIN XS0290417418): affirmed at 'BBBsf'; Outlook Stable
Class M2 (ISIN XS0290419380): affirmed at 'BB+sf'; Outlook Stable
Class B1 (ISIN XS0290420396): upgraded to 'Bsf'; from 'CCCsf'; Stable Outlook assigned
Class B2 (ISIN XS0290420982): upgraded to 'Bsf'; from 'CCCsf'; Stable Outlook assigned

Eurohome UK Mortgages 2007-2 plc:
Class A2 (ISIN XS0311691272): affirmed at 'AAAsf'; Outlook Stable
Class A3 (ISIN XS0311693484): upgraded to 'A+sf' from 'Asf'; Outlook Stable
Class M1 (ISIN XS0311694029): affirmed at 'BBBsf'; Outlook Stable
Class M2 (ISIN XS0311695182): affirmed at 'BBsf'; Outlook Stable
Class B1 (ISIN XS0311695778): upgraded to 'Bsf'; from 'CCCsf'; Outlook Stable assigned
Class B2 (ISIN XS0311697394): upgraded to 'Bsf'; from 'CCCsf'; Outlook Stable assigned

KEY RATING DRIVERS
The rating revisions follow the discovery of an inconsistent calculation in Fitch's UK RMBS Surveillance Model, which resulted in weighted average foreclosure frequencies that were too high. The correction of this inconsistency has led to a downward revision of the weighted average foreclosure frequencies and thus expected losses for these two transactions, across all rating scenarios.

Fitch has reassessed the two transactions and found that the credit enhancement supporting some classes of notes is sufficient to withstand higher rating stresses, considering the sound performance of the deals. This view is reflected in the upgrade of the class A3 notes of Eurohome UK Mortgages 2007-2 and the class B1 and B2 notes of both transactions.

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 therefore 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.

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.

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:
Deutsche Bank with a cut-off date of 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