New Issue: Rochester Financing No. 3 PLC

Rochester Financing No. 3 PLC is a static RMBS transaction that securitizes a portfolio of £214.4 million owner-occupied and buy-to-let (BTL) mortgage loans secured on properties in the U.K. The transaction is a refinancing of Rochester Financing No. 2 PLC, which closed in February 2016. Shortly before closing, Rochester 2 sold the portfolio back to Rochester Mortgages Ltd., the seller and legal title holder. At closing, the issuer, Rochester Financing No. 3, used the issuance proceeds to purchase the full beneficial interest in the mortgage loans from the seller and legal title holder. The issuer grants security over all of its assets in favor of the security trustee. We consider the collateral to be nonconforming, based on the prevalence of

...Strengths Concerns and mitigating factors The pool comprises well-seasoned first-lien residential mortgages with a weighted-average seasoning of more than 10 years for almost the full pool. In our view, more-seasoned performing loans exhibit lower risk profiles than less-seasoned loans. Some of the borrowers in this pool have been subject to a prior CCJs (27.6%), an individual voluntary arrangement, or a bankruptcy order (2.9%), or may be self-employed (52.7%), have self-certified their incomes(75.3%), or were otherwise considered by banks and building societies to be nonprime borrowers. We consider that loans with these characteristics are more likely to exhibit a higher historical default probability than otherwise-similar loans. We have addressed these features accordingly in our credit analysis. The pool has a low current indexed loan-to-value (LTV) ratio of 61.3%, which is most likely to incur lower loss severities if the borrower defaults. We have calculated the current LTV figure...

Full Report