Preliminary Ratings Assigned To U.K. RMBS Transaction Silverstone Master Issuer Series 2018-1

Stocks and Financial Services Press Releases Tuesday February 6, 2018 18:19
LONDON--6 Feb--S&P Global Ratings

LONDON (S&P Global Ratings) Feb. 6, 2018--S&P Global Ratings has assigned its preliminary 'AAA (sf)' credit ratings to Silverstone Master Issuer PLC series 2018-1's class 1A, 2A, and 3A notes (see list below).

This will be the ninth issuance from this master trust since its inaugural issuance in 2008. Nationwide Building Society (Nationwide) originated the underlying collateral, which will comprise U.K. prime residential mortgage loans. At closing, the trust's collateral is expected to total about GBP9.28 billion. The trust's property includes loans originated by Portman Building Society, which merged with Nationwide in August 2007.

The transaction has a revolving structure, so the pool's characteristics can change. To avoid a deterioration in the pool's credit quality, the transaction documents stipulate that asset substitution can only occur if certain conditions, mainly linked to the pool's performance, are met. The structure allows for the issuance of four primary types of notes: Hard- and soft-bullet notes, which redeem in one payment on a specific date. The hard-bullet notes' scheduled and legal maturity fall on the same date;

Scheduled amortization notes, which have one or more predefined scheduled principal payments; and
Pass-through notes, for which noteholders periodically receive principal.

Our preliminary 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 class A notes would repay under our stress test scenarios. We stressed the transaction's cash flows to test the credit and liquidity support that the assets, the subordinated tranches, and the reserve fund will provide. Taking these aforementioned factors into account, we consider the available credit enhancement for the class A notes to be commensurate with our preliminary 'AAA (sf)' ratings.

Series 2018-1 will be the ninth note issuance from this socialist master trust, in which cash is allocated according to amounts due, and the issuer equally distributes shortfalls among issuances.

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