OREANDA-NEWS. Fitch Ratings has upgraded Stanton MBS I plc's class A2, B C and D notes, as follows:

Class A1 (ISIN XS0202635040): affirmed at 'Asf', Outlook Stable
Class A2 (ISIN XS0202637418): upgraded to 'BB+sf' from 'BBsf', Outlook revised to Positive from Stable
Class B (ISIN XS0202637848): upgraded to 'BBsf' from 'Bsf', Outlook Stable
Class C (ISIN XS0202638499): upgraded to 'Bsf' from 'CCCsf', Outlook Stable
Class D (ISIN XS0202639208): upgraded to 'CCCsf' from 'CCsf'

Stanton MBS I is a securitisation of European structured finance assets, mainly mezzanine RMBS and CMBS assets of sub-investment grade quality. The portfolio is actively managed by Cambridge Place Investment Management LLP, a specialist manager, focused on asset-backed securities and related instruments.

KEY RATING DRIVERS
The upgrades reflect the increased credit enhancement for all notes as a result of the portfolio's continuing amortisation. Since the last review, the class A1 notes have amortised by EUR21.5m, increasing credit enhancement by 14.9% for the class A1 notes, 9.6% for the class A2 notes, 6.8% for the class B notes, 5.3% for the class C notes and 5.1% for the class D notes.

The amortisation was enabled through natural portfolio amortisation, as well as the prepayment of one significantly sized Italian CMBS of EUR7m and one UK corporate CDO of EUR4m. Those two assets combined have contributed to half of the overall amortisation. Amortisation is expected to slow down as the portfolio is becoming more concentrated.

The portfolio now comprises only 41 assets, of which 34 are performing and seven defaulted. The majority are RMBS assets which make up for 77% of the underlying portfolio, compared with 69% at the last review. Exposure to corporate CDO assets has decreased to 16% from 17% and to CMBS assets to 7% from 13%. The portfolio's country concentration has also increased . The UK is the largest country with 67% up from 60%, followed by Spain with 12% up from 10% and the Netherlands with 10% up from 9%.

Overall, the portfolio's credit quality has remained constant and the increase in the 'CCC' and below bucket has been moderate, to 14.1% from 13.4%.

The transaction has an unusual structure whereby non-payment of interest on the class B notes represents an event of default. In Fitch's view, this constrains the ratings on the senior notes. An event of default would give the class A1 noteholders, subject to more than 50% majority, the right to enforce the security including the sale of the underlying portfolio, which could expose the structure to market value risk.

RATING SENSITIVITIES
In its stress tests Fitch found that reducing the recovery rate by 25% would not affect the notes' ratings, but increasing the default rate by 25% could lead to the downgrade of class C and D notes by up to one category.

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.

The majority of the underlying assets have ratings or credit opinions from Fitch and/or other Nationally Recognised Statistical Rating Organisations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant Fitch groups and/or other rating agencies to assess the asset portfolio information.

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 US Bank as at 28 May 2015
- Transaction reporting provided by US Bank as at 28 May 2015