OREANDA-NEWS. S&P Global Ratings today took various credit rating actions in Money Partners Securities 2 PLC, Money Partners Securities 3 PLC, and Money Partners Securities 4 PLC (see list below).

Today's rating actions follow our credit and cash flow analysis of the most recent information that we have received for these transactions. Our analysis reflects the application of our relevant criteria (see "Related Criteria").

For all three transactions, the bank account and liquidity facility agreements have documented replacement triggers that were breached following our downgrade of Barclays Bank PLC in June 2015 (see "S&P Takes Various Rating Actions On Certain U. K. And German Banks Following Government Support And ALAC Review," published on June 9, 2015). As a result of this, under our current counterparty criteria, the maximum achievable rating in each of the transactions is 'A - (sf)', our long-term issuer credit rating (ICR) on Barclays Bank (see "Counterparty Risk Framework Methodology And Assumptions," published on June 25, 2013). In addition, the currency and basis risk swap agreements held with The Royal Bank of Scotland PLC (RBS), are not in line with these criteria. However, RBS is posting collateral in line with the swap documentation. Our current counterparty criteria also therefore cap the maximum achievable ratings in all three transactions at 'A-'--i. e., one notch above our 'BBB+' long-term ICR on RBS.

All three transactions are now paying principal pro rata because reported severe delinquencies (of 90 days or more) have fallen to below the documented trigger of 22.5%. Nevertheless, reported severe delinquencies, in all three transactions, remain high compared with our U. K. nonconforming residential mortgage-backed securities (RMBS) index, despite their decline since our previous review (see "Various Rating Actions Taken In U. K. RMBS Money Partners Securities 2, 3, And 4," published on July 31, 2013). Reported severe delinquencies are 14.97%, 15.63%, and 17.77% in Money Partners Securities 2, Money Partners Securities 3, and Money Partners Securities 4, respectively.

This improved collateral performance, coupled with increased seasoning benefit has resulted in a decrease in our weighted-average foreclosure frequency (WAFF) assumptions compared with our previous review of each transaction. Our weighted-average loss severity (WALS) assumptions have slightly improved due to house price appreciation.

Each transaction has deleveraged since July 2013, thereby increasing the available credit enhancement for all classes of notes. The rate of increase has however slowed since the switch to pro rata amortization.

A nonamortizing reserve fund in each transaction has further boosted credit enhancement. However, this has been partially offset by an increased level of servicing fees being charged in the transactions.

In Money Partners Securities 2, the increased credit enhancement, as well as the reduction in the liquidity facility and its associated commitment fees, was sufficient to mitigate the increased servicing fees. As a result, we have affirmed all of our ratings in this transaction.

Similarly, in Money Partners Securities 3 and 4, these factors were also sufficient to mitigate the increased servicing fees. As a result, we have raised our ratings on the class B1 and B2 notes in Money Partners Securities 3 and the class M2 and B1 notes in Money Partners Securities 4. We have affirmed our ratings on all other classes of notes in both of these transactions.

Our credit stability analysis indicates that the maximum projected deterioration for all three transactions that we would expect at each rating level for time horizons of one year and three years under moderate stress conditions is in line with our credit stability criteria (see "Methodology: Credit Stability Criteria," published on May 3, 2010).

Money Partners Securities 2, 3, and 4 are securitizations of U. K. nonconforming residential mortgages. Money Partners Ltd. and Money Partners Loans Ltd. originated the collateral.