Ratings Assigned To Canada Square Funding 2020-1 PLC's U.K. RMBS Notes

Ratings List
ClassRating*Class size (%)*
AAAA (sf)86.0
B-DfrdAA- (sf)8.5
C-DfrdA (sf)3.0
D-DfrdBBB+ (sf)1.5
E-DfrdBBB (sf)1.0
X-DfrdB (sf)3.5
VRR loan noteNR5.0
S1 certificatesNRN/A
S2 certificatesNRN/A
Y certificatesNRN/A
*As percentage of 95% of the pool for the class A to X-Dfrd notes. NR--Not rated. N/A—Not applicable.

Overview

  • We have assigned our ratings to Canada Square Funding 2020-1's class A notes and class B-Dfrd to X-Dfrd interest deferrable notes.
  • This is a static RMBS transaction that securitizes a portfolio of £299.1 million buy-to-let (BTL) mortgage loans secured on properties located in the U.K.
LONDON (S&P Global Ratings) March 26, 2020--S&P Global Ratings has assigned final credit ratings to Canada Square Funding 2020-1 PLC's (CSF 2020-1's) class A notes and class B-Dfrd to X-Dfrd interest deferrable notes (see list).
CSF 2020-1 is a static RMBS transaction that securitizes a portfolio of £299.1 million buy-to-let (BTL) mortgage loans secured on properties located in the U.K. The loans in the pool were originated by Fleet Mortgages Ltd. (52.9%), Landbay (31.9%), and Zephyr Homeloans (15.2%) between 2018 and 2020.
At closing, the issuer used the issuance proceeds to purchase the full beneficial interest in the mortgage loans from the seller. The issuer granted security over all of its assets in favor of the security trustee.
Citibank, N.A., London Branch, retained an economic interest in the transaction in the form of a vertical risk retention (VRR) loan note accounting for 5% of the pool balance at closing. The remaining 95% of the pool were funded through the proceeds of the mortgage-backed rated notes.
We consider the collateral to be prime, based on the overall historical performance of Fleet Mortgages', Landbay Partners' and Zephyr Homeloans' respective BTL residential mortgage books as of February 2020, the originators' conservative lending criteria, and the absence of loans in arrears in the securitized pool.
Credit enhancement for the rated notes consists of subordination from the closing date and overcollateralization following the step-up date, which will result from the release of the liquidity reserve excess amount to the principal priority of payment.
The class A notes benefit from liquidity support in the form of a liquidity reserve, and the class A and B-Dfrd through E-Dfrd notes benefit from the ability of principal to be used to pay interest, provided that, in the case of the class B-Dfrd to E-Dfrd notes, the respective tranche's PDL does not exceed 10% unless they are the most senior class outstanding.

There are no rating constraints in the transaction under our counterparty, operational risk, or structured finance sovereign risk criteria. We consider the issuer to be bankruptcy remote.
We work across the world

From London to San Francisco, to our home base in (Saint Helier) Jersey, we’re looking for extraordinary and creative scientists to help us drive the field forward.

AC Investment Inc. currently does not act as an equities executing broker or route orders containing equities securities. If AC Invest’s business model were to change and it begins routing non-directed orders in NMS securities, it will comply with the disclosure requirement of Rule 606.

77 Massachusetts Avenue Cambridge, MA 02139 617-253-1000 pr@ademcetinkaya.com