Great Hall Mortgages No.1's Series 2007-1 RMBS Ratings Raised On Three Classes; Six Affirmed

  • We have reviewed Great Hall Mortgages No.1 series 2007-1 following the implementation of our revised counterparty criteria and our criteria for rating U.K. RMBS transactions.
  • Following our review, we raised our ratings on three classes of notes and affirmed our ratings on all other notes.
  • Great Hall Mortgages No.1 series 2007-1 is a U.K. RMBS transaction securitizing buy-to-let and nonconforming loans originated by Platform Funding.
LONDON (S&P Global Ratings) Sep. 02, 2019--S&P Global Ratings today raised its credit ratings on the class Da, Db, and Ea notes from Great Hall Mortgages No.1's series 2007-1. At the same time, we affirmed our ratings on all other classes from this transaction (see list above).
Upon publication of our revised criteria for assessing counterparty risk in structured finance transactions and our global RMBS criteria following the expansion of the criteria's scope to include the U.K., we placed our ratings that could be affected by the change in criteria under criteria observation (see "Ratings Placed Under Criteria Observation Due To Revised Counterparty Risk Criteria," published on March 8, 2019, and "Certain U.K. RMBS Ratings Placed Under Criteria Observation Due To Revised Global RMBS Criteria," published on May 24, 2019). Following our review of this transaction, our ratings on all of the classes are no longer under criteria observation.
Today's rating actions follow the implementation of our counterparty criteria and our global RMBS criteria (see "Related Criteria"). We have analyzed the transaction based on the June 2019 data received from the servicer and the transaction's current structural features.
Our weighted-average foreclosure frequency assumptions have dropped for all levels but the 'B' stress since our previous review. This is due to our updated assumptions for buy-to-let loans and updated assumptions for arrears, which balance our higher originator adjustment. Our weighted-average loss severity assumptions at each rating level have also decreased over the same period due to the lower current weighted-average loan-to-value ratio and our revised assumptions for jumbo valuations.
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