Reuters: Financial Services and Real Estate: TEXT-Fitch affirms Brass No. Plc

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TEXT-Fitch affirms Brass No. Plc May 8th 2012, 15:59 Tue May 8, 2012 11:59am EDT May 8 - Fitch Ratings has affirmed Brass No.1 Plc's class A notes at 'AAAsf' with a Stable Outlook as follows: Class A (ISIN XS0615237236): affirmed at 'AAAsf'; Outlook Stable The performance of the underlying assets in the pool is currently in line with Fitch's expectations, which together with the sufficient level of credit enhancement available to the rated class A notes forms the basis for the affirmation. As of March 2012, loans in arrears by more than three months stood at GBP0.7m, 0.11% of current pool balance. The solid performance of the underlying loans is also reflected in the fact that no defaults have been incurred to date. Due to the low pipeline of loans in arrears, Fitch expects the amount of defaults and losses associated with the sale of repossessed properties to remain limited, if any, in the upcoming periods. Credit support for the rated notes is provided by an unrated subordinate class Z VFN and a non-amortising reserve fund. As of March 2012, quarterly gross excess spread stood at 0.33% of current pool balance. Fitch believes that the gross excess spread will remain sufficient to cover period losses in the next 18 months, and thus no reserve fund draws are expected. With the sequential amortisation of the notes and a non-amortising reserve fund, Fitch expects to see a further build-up in credit enhancement levels available to the class A notes.

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