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Announcement:

Moody's: UK RMBS Master Trust Ratings Resilient Following Sector Review

06 Aug 2009

London, 06 August 2009 -- Moody's Investors Service has concluded its sector review of UK RMBS Master Trusts and has taken no rating actions.

There are currently 13 UK RMBS Master Trusts, which have issued a total of GBP345 billion of notes between April 2000 and June 2009 and currently contain approximately GBP244 billion of mortgage assets, representing around 20% of total UK mortgage debt. The collateral underlying the master trusts is predominately prime mortgages, although there are significant levels of non-owner-occupied properties in four of the trusts. The revolving nature and multiple waterfalls in these structures increase the complexity of the monitoring of these transactions.

In a new Special Comment, entitled "Assessing the Potential Performance of UK Master Trusts in the Current Housing Downturn", Moody's compares the current asset quality and performance of each trust to that seen in the early 1990s recession and illustrates the level of losses that would be required to sustain a loss on the notes issued by each trust as well as the rating stability of the notes issued by the trusts.

"If the number of repossessions is in line with that observed in the early 1990s and the loss severities remain at the levels seen so far this year, the result would be a weighted-average loss of 1.24% across the Master Trust sector," says Jonathan Livingstone, a Moody's Assistant Vice President -- Analyst and co-author of the report. "However this varies significantly from 0.65% for the Gracechurch Master Trust containing mortgages originated by Barclays to 2.02% for the Granite Master Trust which contains Northern Rock mortgages."

Moody's has examined the impact that such a loss scenario would have on each Trust. "All investment grade notes would require asset losses at twice this level before incurring any loss. Furthermore, increasing Moody's expected loss to early 1990s stress levels would not in itself result in a rating impact on the UK RMBS Master Trust sector," explains Anthony Parry, a Moody's Analyst and co-author of the report.

Moody's also notes in the report that the comparatively low level of interest rates on the mortgage loans in the Master Trusts, and regulatory guidelines are currently contributing to the lower level of repossessions when compared with the same stage of the previous downturn. Although the total number of repossessions in the Master Trusts has increased by 28.4% in H1 2009, compared with H1 2008, repossession levels in Q2 2009 were similar to those seen in Q2 2008.

As a result of the sector review, Moody's has updated the following three assumptions which it uses to calibrate the loss distribution curves for Granite Master Trust which contains around GBP 29.5 billion of UK residential mortgages originated by Northern Rock, and Aire Valley Master Trust which contains GBP 12.2 billion of UK buy-to-let and self certified mortgages. These updates do not result in any rating changes for these Master Trusts or the Whinstone transactions.

1) Granite Master Trust -- The cumulative median expected loss assumption has increased from 0.8% of the pool balance in September 2007 to an expected loss that corresponds to 1.75% of the current balance (equivalent to 1.16% of the pool balance in September 2007).

2) Granite Master Trust -- Milan Aaa CE was adjusted from 10.69% to 15.5%.

These updates reflect the worsening trend of collateral characteristics to the economic downturn and negative selection of the remaining collateral pool in Granite. It also includes additional adjustments to reflect the worse than expected performance of Northern Rock's Together product.

3) Aire Valley Master Trust - The cumulative median expected loss assumption has increased from 1.2% of the pool balance in July 2008 to an expected loss that corresponds to 1.75% of the current balance (also equivalent to 1.75% of the pool balance in July 2008), reflecting the expected worsening of the portfolio performance due to adverse economic conditions.

Moody's notes that there was a 0.02% draw on the Granite Funding shared reserve fund in June 2009 due to the combination of the level of losses experienced and the higher note margins resulting from the step up of the Granite 03-3 and Granite 04-1 transactions. The Whinstone transactions are particularly sensitive to the levels of excess spread which could be impacted by Northern Rock's ability to reset the margin on the basis swap.

Moody's monitors the UK Master Trust transactions using the rating methodology for EMEA RMBS as described in the Rating Methodology reports "Moody's Approach to Rating UK RMBS" published in April 2005, "Moody's Updated Methodology for Rating UK RMBS" published in November 2007 and "Moody's RMBS Master Trust Cash Flow Analysis", published in April 2008. Moody's will continue to monitor closely the performance of these transactions. Moody's ratings address the expected loss posed to investors by the legal final maturity of the notes. 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.

London
Neal Shah
Managing Director
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

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

Moody's: UK RMBS Master Trust Ratings Resilient Following Sector Review
No Related Data.
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