OREANDA-NEWS. Fitch Ratings has affirmed Thrones 2015-1 plc and removed them from Rating Watch Positive (RWP) as follows:

Class A (ISIN XS1270541342): 'AAAsf', Outlook Stable

Class B (ISIN XS1270543397): 'AAsf', off RWP, Outlook Stable

Class C (ISIN XS1270545764): 'Asf', off RWP, Outlook Stable

Class D (ISIN XS1270549675): 'BBBsf', off RWP, Outlook Stable

Class E (ISIN XS1270551226): 'BB-sf', off RWP, Outlook Stable

The transaction is a securitisation of non-performing and re-performing UK mortgage loans originated by multiple non-conforming UK lenders and subsequently purchased by Mars Capital.

All tranches except the class A notes were placed on RWP in December 2015 following the review of the UK RMBS criteria.

KEY RATING DRIVERS

Sufficient Credit Enhancement (CE)

As the transaction only closed in August 2015, performance history is limited. Fitch has applied conservative stresses (detailed below) to the transaction and found that they can be absorbed by the available CE, resulting in today's affirmation. The available CE ranges from 54.6% (class A) of the outstanding portfolio to 23.7% (class E).

Non-performing and Re-performing Loans

At transaction's closing in August 2015, the data provided by Mars Capital showed that only 18.9% of the pool had been consistently performing over the prior 24 months. The agency applied a 30% increase to the foreclosure frequency of non-conforming loans that are currently performing but had been one month or more in arrears in the past 24 months (or since the loan's origination). The agency did not receive updated information and assumed the figures observed at closing to be the best approximation of the current volume of re-performing loans. As of end-March 2016, 53.4% of the pool was non-performing, with late arrears (loans with more than three monthly payments overdue) at 26.8% of the outstanding collateral.

Sub-prime Asset Characteristics

Prior to the loans' origination, 20.6% of the borrowers in the portfolio were subject to country court judgment (CCJ) and 3.5% to bankruptcy orders. In line with its criteria, Fitch increased the foreclosure frequency of these classes of borrowers. Additionally, the CCJ history was unknown for 18.9% of the pool. For this category, the agency assumed the most conservative default assumptions. Prior arrears information was also not provided. The agency used the data received at transaction closing as a proxy, increased its foreclosure frequency estimates accordingly and found no rating impact.

The transactions are also exposed to the risk associated with interest-only loans, reported at 76.5%. Fitch performed a sensitivity analysis assuming a higher probability of default where more than 20% of the portfolio are interest-only loans maturing in any three-year period and found no impact on the ratings.

RATING SENSITIVITIES

With 100% borrowers on variable-rate mortgages, an increase in interest rates could lead to performance deterioration of the underlying assets, given the weaker profile of non-conforming borrowers in these pools. A material increase in the frequency of defaults and loss severity on defaulted receivables could produce loss levels greater than Fitch's base case expectations, which in turn may result in negative rating actions 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 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's 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's closing, Fitch conducted a review of a small targeted sample of the originators' 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 Mars Capital as at February 2016

-Transaction reporting provided by US Bank as at March 2016

MODELS

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