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Rating Action:

MOODY'S AFFIRMS THE RATINGS ON THE NOTES OF FOUR RMAC TRANSACTIONS AFFECTED BY DATA ERRORS

08 Dec 2005
MOODY'S AFFIRMS THE RATINGS ON THE NOTES OF FOUR RMAC TRANSACTIONS AFFECTED BY DATA ERRORS

London, 08 December 2005 -- Following the announcement on 9th November 2005, Moody's affirms the ratings on the Notes issued by RMAC-2004 NSP4 PLC, RMAC-2005 NS1 PLC, RMAC-2005 NSP2 PLC and RMAC-2005 NS3 PLC. These four transactions were affected by data errors in the collateral information originally provided to Moody's to assign the ratings on the Notes at closing. The data errors resulted from incorrect classification of some of the Bank of England Base Rate loans as Libor Linked loans.

As previously commented, in these transactions there are no hedging agreements in place to mitigate the basis risk due to the mismatch between Bank of England Base Rate and three month Libor Rate to be paid on the Notes. Moody's completed a new analysis of each of these four transactions in order to assess the impact of the increased portion of Bank of England Base Rate loans and to determine whether the current level of credit enhancement is consistent with the ratings assigned to the Notes at closing. Moody's revised the cashflow analysis by reducing the available excess spread over the life of the transactions by an amount calculated on the basis of the historical volatility and mean difference between the two base rates; updated pool information was also used for the revised analysis.

Moody's concluded that in three of the four transactions, namely: RMAC-2004 NSP4 PLC, RMAC-2005 NSP2 PLC and RMAC-2005 NS3 PLC, the ratings of the Notes are still supported by the current level of credit enhancement. This is due to a combination of factors, namely: the amortisation of the mortgage loans in the pool which reduced the WA LTV in the outstanding portfolio, the increase in the portfolio gross yield as a result of fixed rate loans rolling off to their reversionary margins and the effect of Notes amortisation on the relative size of the cash reserve available to cover principal losses. All these elements contributed to neutralise the negative impact of additional un-hedged basis risk in these three transactions.

Moody's also affirms the ratings of the Notes issued by RMAC-2005 NS1 PLC which is the transaction most affected by data errors with an increase of 21.7% in the balance of Bank of England Base Rate Loans as a percentage of the pool outstanding at closing. In this transaction Moody's also noted the positive effects of the portfolio amortisation which reduced the current WA LTV of the outstanding portfolio to 72.8% from the initial 73.1% as well as the shortened fixed rate periods which reduced the exposure to un-hedged interest rate risk due to fixed rate loans. However, the rating affirmation of this transaction is primarily based on GMAC RFC Ltd's intention (as communicated to Moody's) to adjust shortly the amount of cash reserve.

List of the affirmed ratings:

RMAC 2004-NSP4 PLC:

- Aaa to the Class A1 Mortgage Backed Floating Rate Notes due 2018,

- Aaa to the Class A2 Mortgage Backed Floating Rate Notes due 2036,

- Aa3 to the Class M1 Mortgage Backed Floating Rate Notes due 2036,

- A2 to the Class M2 Mortgage Backed Floating Rate Notes due 2036,

- Baa2 to the Class B1 Mortgage Backed Floating Rate Notes due 2036.

RMAC 2005-NS1 PLC

- Aaa to the Class A1 Mortgage Backed Floating Rate Notes due 2018,

- Aaa to the Class A2a Mortgage Backed Floating Rate Notes due 2037,

- Aaa to the Class A2c Mortgage Backed Floating Rate Notes due 2037,

- Aa3 to the Class M1 Mortgage Backed Floating Rate Notes due 2037,

- A2 to the Class M2 Mortgage Backed Floating Rate Notes due 2037,

- Baa2 to the Class B1 Mortgage Backed Floating Rate Notes due 2037,

RMAC 2005-NSP2 PLC:

- Aaa to the Class A1a Mortgage Backed Floating Rate Notes due 2023,

- Aaa to the Class A1b Mortgage Backed Floating Rate Notes due 2023,

- Aaa to the Class A1c Mortgage Backed Floating Rate Notes due 2023,

- Aaa to the Class A2a Mortgage Backed Floating Rate Notes due 2037,

- Aaa to the Class A2b Mortgage Backed Floating Rate Notes due 2037,

- Aaa to the Class A2c Mortgage Backed Floating Rate Notes due 2037,

- Aa2 to the Class M1a Mortgage Backed Floating Rate Notes due 2037,

- Aa2 to the Class M1c Mortgage Backed Floating Rate Notes due 2037,

- A2 to the Class M2a Mortgage Backed Floating Rate Notes due 2037,

- A2 to the Class M2c Mortgage Backed Floating Rate Notes due 2037,

- Baa2 to the Class B1a Mortgage Backed Floating Rate Notes due 2037

- Baa2 to the Class B1c Mortgage Backed Floating Rate Notes due 2037.

RMAC 2005-NS3 PLC:

- Aaa to the Class A1a Mortgage Backed Floating Rate Notes due 2024,

- Aaa to the Class A1c Mortgage Backed Floating Rate Notes due 2024,

- Aaa to the Class A2a Mortgage Backed Floating Rate Notes due 2043,

- Aaa to the Class A2c Mortgage Backed Floating Rate Notes due 2043,

- Aa3 to the Class M1a Mortgage Backed Floating Rate Notes due 2043,

- Aa3 to the Class M1c Mortgage Backed Floating Rate Notes due 2043,

- A2 to the Class M2a Mortgage Backed Floating Rate Notes due 2043,

- A2 to the Class M2c Mortgage Backed Floating Rate Notes due 2043,

- Baa3 to the Class B1a Mortgage Backed Floating Rate Notes due 2043,

- Baa3 to the Class B1c Mortgage Backed Floating Rate Notes due 2043.

Paris
Annick Poulain
Managing Director
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

London
Barbara Rismondo
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

No Related Data.
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