OREANDA-NEWS. Fitch Ratings has assigned Silverstone 2016-1 notes issued by Silverstone Master Issuer plc (the master issuer), final ratings, as follows:

USD275,000,000 Class 1A1 floating-rate notes: 'AAAsf', Stable Outlook
GBP250,000,000 Class 1A2 floating-rate notes: 'AAAsf', Stable Outlook
EUR700,000,000 Class 2A1 floating-rate notes: 'AAAsf', Stable Outlook

The master trust property consists of prime residential owner-occupied mortgage loans originated in the UK by Nationwide Building Society (Nationwide).

The trust property was approximately GBP13.0bn at 31 December 2015. The final ratings are based on Fitch's assessment of the underlying collateral, available credit enhancement, the origination and underwriting procedures used by the originator, the servicing capabilities of Nationwide and the transaction's financial and legal structure.

KEY RATING DRIVERS
Subordination
The Funding 1 reserve fund is 1.63% of the outstanding notes and the unrated class Z notes provide 26.56% of credit enhancement. Fitch believes this subordination provides sufficient credit and liquidity support for the class A notes in its 'AAAsf' stress scenario.

Low LTV/Seasoned Pool
The trust has a weighted average (WA) seasoning of 107 months, a WA sustainable LTV of 67.5% and a WA debt to income of 33.5%. Combined with a small percentage of loans with adverse credit quality, this explains the low 'AAAsf' frequency of foreclosure level used to analyse the pool.

Low-Margin BMR Loans
Eighty-two per cent of the loans in the portfolio are base mortgage rate (BMR) loans. Their margin is capped at Bank of England Base Rate (BBR) + 2%. Fitch treats these loans as tracker loans and applies a haircut to their margins. This is to account for the mortgage margins being linked to BBR, whereas the note margins are linked to three-month sterling Libor. The haircut is 2% for the first 12 months and 0.5% thereafter.

Robust Underwriting, Solid Performance
Nationwide's total mortgage book is one of the stronger performing books among UK prime lenders in terms of static three-months plus arrears. In addition, the Silverstone trust pool is one of the better-performing UK master trust transactions with arrears, repossessions and losses in line with or better than its master trust peers. The strong performance reflects Nationwide's robust underwriting and servicing processes, which compare favourably with its peers.

RATING SENSITIVITIES
Material increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels larger than Fitch's base case expectations, which in turn may result in negative rating actions on the notes. Fitch's analysis revealed that under a 30% increase in the WA foreclosure frequency along with a 30% decrease in the WA recovery rate the class A notes would maintain a 'AAAsf' rating.

More detailed model implied ratings sensitivity can be found in the new issue report, which will be available at www.fitchratings.com.

DUE DILIGENCE USAGE
Fitch was provided with due diligence information from PricewaterhouseCoopers LLP. The due diligence focused on compliance, credit, valuation, the presence of key documents in the loan file and data integrity. The findings comprise 41 exceptions after reviewing a sample of 458 mortgages and 179 sub-accounts. Fitch considered this information in its analysis and the findings did not have an adverse impact on our analysis.

Form 15E has been received from PricewaterhouseCoopers LLP in regards to the work performed for this transaction.

DATA ADEQUACY
Nationwide provided Fitch with a loan-by-loan data template. The data quality and availability was solid, with no material data field missing.

It is Fitch's opinion that the data available for the rating analysis is of good quality.

To analyse credit enhancement, Fitch evaluated the collateral using its default model ResiEMEA. The agency assessed the transaction cash flows using default and loss severity assumptions under various structural stresses including prepayment speeds and interest rate scenarios. The cash flow tests showed that each class of notes could withstand loan losses at a level corresponding to the related stress scenario without incurring any principal loss or interest shortfall and can retire principal by the legal final maturity.

During a visit to Nationwide's offices, in December 2015, Fitch conducted a file review on a small sample of loans from the Silverstone Master Trust. The agency found that the information in the files showed a few discrepancies. In general, the quality of the records was sufficient taking into account that some records were highly seasoned loans.

Fitch also reviewed the results of an agreed-upon procedures report conducted on the portfolio. This report checked the accuracy of the data file provided to Fitch for its rating analysis. Some minor errors were reported but they did not affect Fitch's rating analysis.

SOURCES OF INFORMATION
The information below was used in the analysis.
-Loan-by-loan data provided by Nationwide as at 31 December 2015.
-Transaction reporting provided by Nationwide as at 12 January 2016.
-Loan enforcement details provided by Nationwide as at 31 December 2015.
-Loan performance data provided by Nationwide as at 31 December 2015.

MODELS
The models below were used in the analysis. Click on the link for a description of the model.

ResiEMEA
http://www.fitchratings.com/jsp/creditdesk/ToolsAndModels.faces?context=2&detail=135

EMEA Cash Flow Model
http://www.fitchratings.com/web_content/pages/sf/emea-cash-flow-model.htm

REPRESENTATIONS AND WARRANTIES
A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms to those typical for the asset class is available by accessing the appendix that accompanies the new issue report (see Silverstone Master Issuer Plc - Appendix to be available at www.fitchratings.com). In addition refer to the special report "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions" dated 21 January 2016 available on the Fitch website.