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WHINSTONE 2 CAPITAL MANAGEMENT LIMITED
WHINSTONE CAPITAL MANAGEMENT LIMITED
Announcement:

Moody's: UK RMBS Master Trust Ratings Show Resilience

08 Dec 2010

London, 08 December 2010 -- In a Special Report "Assessing the Performance of UK Master Trusts in 2010" published today, Moody's details its annual assessment of the notes issued by UK prime and non-conforming residential mortgage-backed securities (RMBS) master trusts. The analysis showed that the master trust notes, particularly Aaa (sf) rated notes, are very resilient to any deterioration in the economic environment and any resulting increases in the expected loss and MILAN Aaa CE assumptions.

The report describes an analysis of the current performance of the trusts and an assessment of the modelling assumptions associated with each trust, such as the expected loss and the MILAN Aaa Credit Enhancement. Even though several expected loss and MILAN Aaa CE assumptions were updated as a result of this review, this led to limited rating actions affecting only Whinstone and Whinstone 2 transactions as described below. No rating actions have been taken on any other notes issued out of these trusts.

Assumptions Changed

Moody's has updated its expected loss assumptions for certain trusts: Aire Valley, Granite, Pendeford, and Lothian. The expected loss assumptions for Pendeford and Lothian were increased primarily to align them with the expected losses we assume for other similarly-performing trusts, for which these assumptions have already been reviewed and updated during the year as a result of the ongoing issuance (whereas there was no new issuance out of Pendeford and Lothian during the year).

The risks currently observed in Granite and Aire Valley master trusts have resulted in increased expected losses of 2.5% from 1.75% for Granite, and 3.5% from 1.75% for Aire Valley. "Both Granite and Aire Valley continue to show negative performance, evidenced by increased pressure on their excess spread -- from both high delinquencies and the slow repayment of the stepped up notes -- and the higher sensitivity of these trusts to a deterioration in economic conditions or an increase in interest rates," explains Olga Gekht, a Moody's Vice President - Senior Analyst and co-author of the report.

Few Rating Actions Taken

Given the relatively strong respective levels of credit enhancement, the change in assumptions did not lead to any rating actions for the vast majority of the notes issued out of the trusts. The only downgrades were the Whinstone Class B and Class C notes and Whinstone 2 Class C notes, which reference the reserve funds of the Granite master trust. These downgrades result from the revised expected loss assumptions for Granite master trust, continued draws on the Granite Funding reserve fund, and low excess spread observed in the trust as a whole.

2011 Performance Will Remain Stable

Since Moody's July 2010 update, the asset performance outlook on UK prime RMBS has been changed to stable from negative. In 2011, Moody's expects performance in the UK RMBS master trusts containing prime mortgages to remain relatively stable or to experience an only marginal deterioration as a result of the slow economic recovery. Master trusts with a high proportion of non-conforming collateral, such as Aire Valley, Pendeford, and Mound or with prime collateral with risky characteristics, such as Granite, are expected to experience a more significant deterioration of performance as a result of limited refinancing opportunities available to the borrowers in these trusts.

A slower-than-expected economic recovery would adversely affect performance in all trusts. "However, we do not expect the economic scenario, which is moderately worse than the one described in our latest macroeconomic forecast for the UK, to result in the downgrade of any rated notes due to the high resilience of the ratings of these notes," adds Jonathan Livingstone co-author of the report and a Moody's Vice President - Senior Analyst.

Moody's report, entitled "Assessing the Performance of UK Master Trusts in 2010", is available on www.moodys.com

In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck.

NOTE TO JOURNALISTS ONLY: For more information please contact New York Press Information +1-212-553-0376; EMEA Press Information in London +44-20-7772-5456; Juan Pablo Soriano in Madrid +34-91-310-1454; Alex Cataldo in Milan +39-02-914-81-100; Eric de Bodard in Paris +331-5330-1020; Daniel Kolter in Frankfurt +49-69-707-30-700; Mardig Haladjian in Limassol +357-25-586-586; Alex Sazhin in Moscow +7 495 228 60 60; Petr Vins in Prague +4202 2422 2929; Tokyo Press Information +813-5408-4110; Hilary Parkes in Toronto +1-416-214-1635; Hong Kong Press Information +852-3758-1350; Hector Lim in Sydney +612 9270 8102; Luiz Tess in São Paulo +5511-3043-7300; Alberto Jones Tamayo in Mexico City +5255-1253-5700; Daniel Rúas in Buenos Aires +54 11-4816-2332 ext. 105; Leon Classen in Johannesburg +27-11-217-5470; Jehad el-Nakla in Dubai +971 4 237 9536; or visit our web site at www.moodys.com

London
Olga Gekht
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

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

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: UK RMBS Master Trust Ratings Show Resilience
No Related Data.
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