OREANDA-NEWS. March 28, 2016. Fitch Ratings has affirmed 28 tranches of three Great Hall Mortgages (GHM) transactions.

A full list of rating actions is available at www.fitchratings.com or by clicking on the link above.

The transactions comprise mortgage loans that were originated by Platform Homeloans Limited and purchased by JPMorgan Chase Bank. The transactions have similar portfolio characteristics with high portions of self-certified borrowers, ranging between 45% to 64% of the outstanding portfolio and interest-only loans representing 83% to 86% of the respective pools. The loans in the portfolio are serviced by Western Mortgage Services Limited.

KEY RATING DRIVERS
Stable Asset Performance
The portions of loans in arrears in all three transactions are among the lowest for UK non-conforming deals rated by Fitch. Loans three months plus in arrears for GHM 2006-1, GHM 2007-1 and 2007-2, have declined from their peaks of 13.1%, 11.6% and 12.7% respectively, and currently stand at 1.6%, 2.3% and 2.5% of the current loan balances.

Loss severities in GHM 2006-1 are at 26.8%, which is lower than the less seasoned GHM 2007-1 and GHM 2007-2 transactions' 30.1% and 30.2%, respectively. This can be explained by the 2006-1 transaction's lower LTV compared with those in the 2007-vintage deals.

Steady Structure
Following breaches in cumulative possessions and cumulative loss triggers, the reserve funds cannot amortise further and a switch to a pro-rata amortisation of the notes is not permitted. As a result, Fitch expects a steady increase in credit enhancement (CE) for all tranches.

Commingling Risk
National Westminster Bank (NatWest) acts as collection account bank in all three deals. Following NatWest's downgrade to 'BBB+'/'F2' in May 2015, the bank does not comply with the minimum Short-term Issuer Default Rating of 'F1' as stipulated in the transaction documentation.

As the transactions' funds are swept daily from the collection account to the issuer account, NatWest's current rating is still sufficient to support a 'AAAsf' rating, as per the 'reduced exposure' rating of 'BBB+'/'F2' under Fitch's structured finance counterparty criteria.

However, as no mitigating action was, or is scheduled, to be taken for the downgrade of the collection account provider as per the transactions documentation Fitch has assumed a loss of one month's worth of funds due to commingling in its analysis of the transactions. The analysis showed that the current CE is sufficient to withstand such stresses, which is reflected in today's affirmation.

Interest-only Loan Concentration
The transactions all have a large portion of interest only (IO) loans (85.7% for GHM 2006-1, 85.7% for GHM 2007-1 and 83.6% for GHM 2007-2) and a concentration of more than 20% of IO loans maturing within a three-year period. As per criteria, Fitch carried out a sensitivity analysis assuming a 50% increase in default probability for these loans. The analysis showed that the current CE available to the notes is sufficient to withstand such stresses.

RATING SENSITIVITIES
All the transactions are backed by 100% floating-interest-rate loans. In the current low interest rate environment, borrowers are benefiting from low borrowing costs. An increase in interest rates leading to arrears and losses exceeding Fitch's stresses and, if not offset by an increase in CE, may trigger negative rating action on the notes.

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 Homeloan Management Limited as at end-December 2015
-Transaction reporting provided by Bank of New York Mellon as at end-December 2015

MODELS
The models below were used in the analysis. Click on the link for a description of the model.

ResiEMEA.

EMEA RMBS Surveillance Model.