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Rating Action:

Moody's Investors Service has assigned definitive credit ratings to six classes of RMBS notes issued by Holmes Master Issuer plc

26 Jan 2012

London, 26 January 2012 -- Moody's Investors Service has assigned definitive credit ratings to the following classes of notes issued by Holmes Master Issuer plc:

Issuer: Holmes Master Issuer Series 2012-1

USD 500M Class A1 Floating-Rate Notes due 2013, Assigned P-1 (sf)

USD 500M Class A2 Floating-Rate Notes due 2054, Assigned Aaa (sf)

EUR 1,200M Class A3 Floating-Rate Notes due 2054, Assigned Aaa (sf)

GBP 175M Class A4 Floating-Rate Notes due 2054, Assigned Aaa (sf)

YEN 20,000M Class A5 Floating-Rate Notes due 2054, Assigned Aaa (sf)

GBP 215M Class A6 Floating-Rate Notes due 2054, Assigned Aaa (sf)

Moody's also affirms the ratings of notes previously issued by Holmes Master Issuer plc.

The notes are backed by a pool of prime UK residential mortgages originated by Santander UK plc (A1 / P-1). This represents the 20th issue out of the Holmes Master Trust structure. At closing the trust property for this transaction consists of approximately GBP 14.6 billion of loans following the addition of approximately GBP4.5 billion of loans around the time of the issuance. The reserve fund is funded to 4.2% of the total notes outstanding at closing and the total credit enhancement for the Class A notes is 19.0%.

RATINGS RATIONALE

The ratings of the notes take into account the credit quality of the underlying mortgage loan pool, from which Moody's determined the MILAN Aaa Credit Enhancement (CE) and the portfolio expected loss.

The portfolio expected loss of 1.0% of the portfolio at closing and the MILAN Aaa CE of 9.0% served as input parameters for Moody's cash flow model, which is based on a probabilistic lognormal distribution as described in the report "Moody's RMBS Master Trust Cash Flow Analysis", published in April 2008.

The key drivers for the MILAN Aaa CE number of 9.0%, which is in line with lower than the UK Prime sector average of 9.0%, are (i) the weighted average loan-to-value (LTV) of 66.2% and (ii) the revolving nature of the pool.

The key drivers for the portfolio expected loss of 1.0%, which is also in line with the UK Prime sector average of 1.0% are (i) the performance of the seller's precedent transactions, (ii) benchmarking with comparable transactions in the UK market and (iii) the current economic conditions in the UK.

The V Score for this transaction is Low/Medium, which is in line with the score assigned for the UK Prime RMBS sector mainly due to the fact that it is a standard UK prime RMBS Master Trust transaction for which we have over ten years of historical performance data. The only component of the V score that differs from the UK sector score is 2.1 Quality of Historical Data for the Issuer/Sponsor/ Originator, which has been assessed as Low/Medium, given the originator has provided more limited data in respect of historic performance data than some of the other prime lenders. V Scores are a relative assessment of the quality of available credit information and of the degree of dependence on various assumptions used in determining the rating. High variability in key assumptions could expose a rating to more likelihood of rating changes. The V-Score has been assigned accordingly to the report "V-Scores and Parameter Sensitivities in the Major EMEA RMBS Sectors" published in April 2009.

Moody's Parameter Sensitivities provide a quantitative/model-indicated calculation of the number of rating notches that a Moody's structured finance security may vary if certain input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged and is not intended to measure how the rating of the security might migrate over time, but rather how the initial rating of the security might have differed if key rating input parameters were varied. Parameter Sensitivities for the typical EMEA RMBS transaction are calculated by stressing key variable inputs in Moody's primary rating model.

If the portfolio expected loss was increased from 1.0% of current balance to 3.0% of current balance, and the MILAN Aaa Credit Enhancement was increased from 9.0% to 14.4%, the model output indicates that the class A2, A3, A4, A5 and A6 notes would still achieve Aaa assuming that all other factors remained equal.

The methodologies used in this rating were Moody's Approach to Rating RMBS in Europe, Middle East, and Africa published in October 2009, Moody's Approach to Rating UK RMBS published in April 2005, Moody's Updated Methodology for Rating UK RMBS published in October 2009, Moody's RMBS Master Trust Cash Flow Analysis published in April 2008. Please see the Credit Policy page on www.moodys.com for a copy of these methodologies.

Other Factors used in this rating are described in Global Structured Finance Operational Risk Guidelines: Moody's Approach to Analyzing Performance Disruption Risk published in June 2011.

In rating this transaction, Moody's used a Master Trust model to assess the cash flows and determine the loss for each tranche. The cash flow model evaluates all default scenarios that are then weighted considering the probabilities of the lognormal distribution assumed for the portfolio default rate. In each default scenario, the corresponding loss for each class of notes is calculated given the incoming cash flows from the assets and the outgoing payments to third parties and noteholders. Therefore, the expected loss or EL for each tranche is the sum product of (i) the probability of occurrence of each default scenario; and (ii) the loss derived from the cash flow model in each default scenario for each tranche.

As such, Moody's analysis encompasses the assessment of stressed scenarios.

As noted in Moody's comment 'Rising Severity of Euro Area Sovereign Crisis Threatens Credit Standing of All EU Sovereigns' (28 November 2011), the risk of sovereign defaults or the exit of countries from the Euro area is rising. As a result, Moody's could lower the maximum achievable rating for structured finance transactions in some countries, which could result in rating downgrades.

The short term rating on the A1 notes addresses the probability of default by the legal final maturity and the long term ratings on the A2, A3, A4, A5 and A6 notes address the expected loss posed to investors by the legal final maturity. In Moody's opinion, the structure allows for timely payment of interest and ultimate payment of principal with respect to the Notes by the legal final maturity. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors.

Moody's will monitor this transaction on an ongoing basis. For updated monitoring information, please contact monitor.rmbs@moodys.com

REGULATORY DISCLOSURES

For ratings issued on a program, series or category/class of debt, this announcement provides relevant regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides relevant regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides relevant regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

The rating has been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.

Information sources used to prepare the rating are the following: parties involved in the ratings, public information, and confidential and proprietary Moody's Investors Service information.

Moody's did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments in this transaction.

Further information on the representations and warranties and enforcement mechanisms available to investors are available on http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF274269.

Moody's considers the quality of information available on the rated entity, obligation or credit satisfactory for the purposes of issuing a rating.

Moody's adopts all necessary measures so that the information it uses in assigning a rating is of sufficient quality and from sources Moody's considers to be reliable including, when appropriate, independent third-party sources. However, Moody's is not an auditor and cannot in every instance independently verify or validate information received in the rating process.

Moody's Investors Service may have provided Ancillary or Other Permissible Service(s) to the rated entity or its related third parties within the two years preceding the credit rating action. Please see the special report "Ancillary or other permissible services provided to entities rated by MIS's EU credit rating agencies" on the ratings disclosure page on our website www.moodys.com for further information.

Please see the ratings disclosure page on www.moodys.com for general disclosure on potential conflicts of interests.

Please see the ratings disclosure page on www.moodys.com for information on (A) MCO's major shareholders (above 5%) and for (B) further information regarding certain affiliations that may exist between directors of MCO and rated entities as well as (C) the names of entities that hold ratings from MIS that have also publicly reported to the SEC an ownership interest in MCO of more than 5%. A member of the board of directors of this rated entity may also be a member of the board of directors of a shareholder of Moody's Corporation; however, Moody's has not independently verified this matter.

Please see Moody's Rating Symbols and Definitions on the Rating Process page on www.moodys.com for further information on the meaning of each rating category and the definition of default and recovery.

Please see ratings tab on the issuer/entity page on www.moodys.com for the last rating action and the rating history.

The date on which some ratings were first released goes back to a time before Moody's ratings were fully digitized and accurate data may not be available. Consequently, Moody's provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on our website www.moodys.com for further information.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Jonathan Livingstone
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Annabel Schaafsma
Senior Vice President
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Releasing Office:
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's Investors Service has assigned definitive credit ratings to six classes of RMBS notes issued by Holmes Master Issuer plc
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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