Oat Hill No.2 U.K. RMBS Transaction Assigned Ratings
| Ratings List | ||||||
|---|---|---|---|---|---|---|
| Class | Rating* | Class size (%) | ||||
| A | AAA (sf) | 80.98 | ||||
| B-Dfrd | AA+ (sf) | 3.47 | ||||
| C-Dfrd | AA (sf) | 2.99 | ||||
| D-Dfrd | A+ (sf) | 3.05 | ||||
| E-Dfrd | NR | 6.08 | ||||
| Z VFN | NR | 5.46 | ||||
| *The ratings address timely receipt of interest and ultimate repayment of principal for the class A notes. The ratings assigned to the class B-Dfrd to D-Dfrd notes are interest-deferred ratings and address the ultimate payment of interest and principal. Dfrd--Deferred. NR--Not rated. | ||||||
Overview
- We have assigned our ratings to Oat Hill No. 2's class A, B-Dfrd, C-Dfrd, and D-Dfrd notes.
- The transaction securitizes a pool of first-lien U.K. buy-to-let residential mortgage loans that Capital Homes Loans originated and a small portion of owner-occupied loans.
LONDON (S&P Global Ratings) Aug. 27, 2020--S&P Global Ratings has assigned credit ratings to Oat Hill No.2 PLC's class A, B-Dfrd, C-Dfrd, and D-Dfrd notes. At closing, Oat Hill No. 2 also issued unrated class E and Z VFN notes.
We based our credit analysis on a pool of £481.7 million (as of July 31, 2020). The pool comprises mainly first-lien U.K. buy-to-let residential mortgage loans that Capital Home Loans Ltd. (CHL) originated and a small portion of owner-occupied loans.
CHL is the servicer. The backup servicer is Homeloan Management Ltd.
We rate the class A notes based on the payment of timely interest. Interest on the class A notes is equal to the daily compounded Sterling overnight index average (SONIA) plus a class-specific margin.
We treat the class B-Dfrd, C-Dfrd, and D-Dfrd notes as deferrable-interest notes in our analysis. Under the transaction documents, the issuer can defer interest payments on these notes. Our ratings on these classes of notes address the ultimate payment of principal and interest. Once the ultimate interest notes become the most senior, interest will be paid on a timely basis.
Of the borrowers in the pool, 9.5% have been granted payment holidays as of the cut-off date of our analysis. We have considered these factors in our credit analysis. Our cash flow analysis also incorporates liquidity stresses to capture the risk of payment holidays.
Our ratings reflect our assessment of the transaction's payment structure, cash flow mechanics, and the results of our cash flow analysis to assess whether the notes would be repaid under stress test scenarios. Subordination and excess spread will provide credit enhancement to the class A to D-Dfrd notes, which are senior to the unrated notes and certificates. Taking these factors into account, we consider that the available credit enhancement for the class A to D-Dfrd notes is commensurate with the ratings assigned.
Related Criteria
- Criteria | Structured Finance | General: Methodology To Derive Stressed Interest Rates In Structured Finance, Oct. 18, 2019
- Criteria | Structured Finance | General: Counterparty Risk Framework: Methodology And Assumptions, March 8, 2019
- Criteria | Structured Finance | General: Incorporating Sovereign Risk In Rating Structured Finance Securities: Methodology And Assumptions, Jan. 30, 2019
- Criteria | Structured Finance | RMBS: Global Methodology And Assumptions: Assessing Pools Of Residential Loans, Jan. 25, 2019
- Legal Criteria: Structured Finance: Asset Isolation And Special-Purpose Entity Methodology, March 29, 2017
- Criteria | Structured Finance | General: Structured Finance Temporary Interest Shortfall Methodology, Dec. 15, 2015
- Criteria | Structured Finance | General: Methodology: Criteria For Global Structured Finance Transactions Subject To A Change In Payment Priorities Or Sale Of Collateral Upon A Nonmonetary EOD, March 2, 2015
- Criteria | Structured Finance | General: Global Framework For Assessing Operational Risk In Structured Finance Transactions, Oct. 9, 2014
- Criteria - Structured Finance - General: Criteria Methodology Applied To Fees, Expenses, And Indemnifications, July 12, 2012
- General Criteria: Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012
- General Criteria: Understanding S&P Global Ratings' Rating Definitions, June 3, 2009
- Criteria | Structured Finance | General: Methodology For Servicer Risk Assessment, May 28, 2009
Related Research
- U.K. RMBS Index Report Q1 2020, May 29, 2020
- Government Job Support Will Stem European Housing Market Price Falls, May 15, 2020
- Residential Mortgage Market Outlooks Updated For 13 European Jurisdictions Following Revised Economic Forecasts, May 1, 2020
- Economic Research: Europe Braces For A Deeper Recession In 2020, April 20, 2020
- COVID-19 Macroeconomic Update: The Global Recession Is Here And Now, March 17, 2020
- COVID-19 Credit Update: The Sudden Economic Stop Will Bring Intense Credit Pressure, March 17, 2020
- Europe's Housing Markets Lose Speed As The Economy Weakens, Sept. 24, 2019
- Europe's Housing Markets Ease Off The Accelerator, Feb. 19, 2019
- 2017 EMEA RMBS Scenario And Sensitivity Analysis, July 6, 2017
- Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016
- European Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016
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| Primary Credit Analyst: | Florent Stiel, Paris (33) 1-4420-6690; florent.stiel@spglobal.com |
| Secondary Contact: | Sandra Fronteau, Paris (33) 1-4420-6716; Sandra.Fronteau@spglobal.com |
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