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���������ֳ� - London - 11 Oct 2021: ���������ֳ� has affirmed Mansard Mortgages 2006-1 Plc (MM06-1) and Mansard Mortgages 2007-2 Plc (MM07-2) and removed the class B2a notes in both transactions from Rating Watch Positive (RWP), as follows:

Transaction Summary

The transactions are backed by residential mortgages originated by Rooftop Mortgages, a non-conforming mortgage lender.

KEY RATING DRIVERS

Off RWP: The class B2a notes in both transactions have been removed from RWP. They were placed on it in in July 2021 following the retirement of ���������ֳ�'s coronavirus-related additional stress scenario analysis for buy to let (BTL) assets (see '���������ֳ� Retires UK and European RMBS Coronavirus Additional Stress Scenario Analysis, except for UK Non-Conforming').

The retirement of the additional stress analysis is the result of improved macroeconomic forecasts, the limited to no performance deterioration observed so far, and our expectation that the stress included in our representative pool foreclosure frequency and house price decline assumptions is sufficient to account for the remaining uncertainty related to the Covid-19 pandemic.

Foreclosure Frequency Macroeconomic Adjustments: ���������ֳ� applied foreclosure frequency (FF) macroeconomic adjustments to the owner-occupied non-conforming sub-pool because of the expectation of a temporary mortgage underperformance (see ���������ֳ� to Apply Macroeconomic Adjustments for UK Non-Conforming RMBS to Replace Additional Stress). With the government's repossession ban ended, there is still uncertainty about borrowers' performance in the UK non-conforming sector, where many borrowers have already rolled into late arrears over recent months. Borrowers' payment ability may also be challenged with the end of the Coronavirus Job Retention Scheme and Self-employed Income Support Scheme. The adjustment is 1.58x at 'Bsf' while no adjustment is applied at 'AAAsf' as we deem assumptions sufficiently remote at this level.

Elevated Senior Fees: Both transactions have incurred increased senior fees since 2019. The increase in senior fees in MM06-1 has led to drawings on the reserve fund, which has been below target on the most recent interest payment dates (IPD). ���������ֳ� has reflected this increase in its senior fee assumptions for the transactions by assuming the average costs incurred in the last two years are incurred on an ongoing basis. We have constrained the rating on MM06-1's class M2a and B1a notes at one notch below the model-implied ratings due to the high volatility in these payments and the drawing on the reserve fund.

Increasing CE: The transactions contain cash reserves that are non-amortising due to irreversible trigger breaches. On the last two IPDs, MM06-1's cash reserve has been drawn to cover losses and now stands at 96.4% of the target. Credit enhancement (CE) for all notes continues to increase, to 90.2% from 83.1% and 48.7% from 48.0% since October 2020 for the senior notes of MM06-1 and MM07-2, respectively.

Performance Within Expectations: Loans that are three month or more in arrears increased in the last collection period for MM06-1 and slightly decreased for MM07-2. For MM06-1 they increased to 6.6% in July 2021 from 5.7% in July 2020. For MM07-2 they slightly decreased to 4.8% in September 2021 from 5.1% in September 2020. Early stage arrears remain stable as the formation of new delinquencies has remained limited.

In ���������ֳ�'s analysis, the increase in expected loss from additional loans moving into late stage arrears has been offset by increased CE available to the classes of notes that have been affirmed.

IO Concentration: There is a material concentration of interest-only (IO) loans maturing within a three-year period during the lifetime of the transactions. For MM06-1, 57.8% mature between 2029 and 2031 and for MM07-2, 50.6% mature between 2030 and 2032. For the two owner-occupied sub-portfolios, the IO concentration weighted-average (WA) FF is lower than the standard portfolio WAFF. As a result, the IO concentrations do not constrain the notes' ratings.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to negative rating action/downgrade:

The transactions' performance may be affected by changes in market conditions and economic environment. Weakening economic performance is strongly correlated to increasing levels of delinquencies and defaults that could reduce CE available to the notes.

Unanticipated declines in recoveries could also result in lower net proceeds, which may make certain notes susceptible to negative rating action depending on the extent of the decline in recoveries. ���������ֳ� conducts sensitivity analyses by stressing both a transaction's base-case FF and recovery rate (RR) assumptions, and examining the rating implications on all classes of issued notes. Under this scenario, ���������ֳ� assumed a 15% increase in the WAFF and a 15% decrease in the WARR. The results indicate a six-notch downgrade of the junior tranche in MM06-1 and a three-notch downgrade of the junior notes in MM07-2.

Factors that could, individually or collectively, lead to positive rating action/upgrade:

Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and potential upgrades. ���������ֳ� tested an additional rating sensitivity scenario by applying a decrease in the FF of 15% and an increase in the RR of 15%. The results indicate upgrades of four notches for the junior notes in MM06-1 and MM07-2.

Best/Worst Case Rating Scenario

International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit /site/re/10111579.

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Form ABS Due Diligence-15E was not provided to, or reviewed by, ���������ֳ� in relation to this rating action.

DATA ADEQUACY

���������ֳ� has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. ���������ֳ� 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.

���������ֳ� did not undertake a review of the information provided about the underlying asset pools ahead of the transaction's initial closing. The subsequent performance of the transactions over the years is consistent with the agency's expectations given the operating environment and ���������ֳ� is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

Overall, ���������ֳ�'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.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING

The principal sources of information used in the analysis are described in the Applicable Criteria.

ESG Considerations

MM06-1 and MM07-2 have an ESG Relevance Score of 4 for "Human Rights, Community Relations, Access & Affordability" due to a significant proportion of the pools containing owner-occupied loans advanced with limited affordability checks, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors.

MM06-1 and MM07-2 have an ESG Relevance Score of 4 for Social Impact due to accessibility to affordable housing and compliance risks including fair lending practices, mis-selling, repossession/foreclosure practices and consumer data protection (data security), which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors.

Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity.

For more information on ���������ֳ�'s ESG Relevance Scores, visit

Additional information is available on

APPLICABLE MODELS

Numbers in parentheses accompanying applicable model(s) contain hyperlinks to criteria providing description of model(s).

• Multi-Asset Cash Flow Model, v2.11.0 (1)
• ResiGlobal Model: UK, v1.3.2 (1)
• UK RMBS FF Model, v1.1.0 (1)

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