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WHINSTONE 2 CAPITAL MANAGEMENT LIMITED
WHINSTONE CAPITAL MANAGEMENT LIMITED
Announcement:

Moody's: UK RMBS master trusts remain exposed to extension risk

01 May 2012

London, 01 May 2012 -- Absent sponsor support, extension risk for scheduled and bullet notes remains significant for UK RMBS master trusts, according to a new report published today by Moody's Investors Service. Extension beyond a scheduled or bullet maturity can lead to the re-pricing of risk, low redemption rates and actual and potential trigger breaches in some trusts. These breaches affect principal payment allocation and can significantly affect yields.

"Looking at only the assets in the deals, all notes in the Aire Valley, Lanark, Langton and Lannraig master trusts extend under their current total redemption rates (TRR)," says Jonathan Livingstone, a Moody's Vice President—Senior Analyst and author of the report "UK RMBS Master Trusts: Extension Risk Remains Significant due to Low Principal Payment Rates". "We assess the overall extension-risk score for 80.9% notes in all trusts to be at least Medium/High, which is a slight increase compared with the 73.8% recorded for 2011. This assessment reflects the (i) reliance on a high proportion of scheduled notes without high accumulation periods; and (ii) continuing historically low principal payment rates observed in the trusts," says Mr Livingstone.

In this report, Moody's notes that many trusts are structured such that they rely on the originator to refinance the notes on their due dates or else the risk of notes extending remains high. Lack of originator support and low repayment rates has meant that many of the scheduled amortisation notes in the Aire Valley and Granite master trusts have already extended past their expected maturity dates.

This report goes on to note that with the property market remaining stagnant amidst tight credit conditions, TRRs will remain at around 15% over the next 12 months, which is significantly below their 34.5% average between 2005-08. TRRs will also remain under downward pressure from (i) tight lending conditions for buy-to-let (BTL), non-conforming and interest-only mortgages; (ii) the increasing portion of borrowers who are unable to refinance onto more attractive rates with other lenders having standard variable rate (SVR) loans; (iii) trusts with greater exposure to loans with limited-income verification, interest-only features and higher-indexed LTVs, which tend to have greater proportions of SVR loans so creating "mortgage prisoners"; and (iv) continued historically low levels of unscheduled principal payments, which occur when borrowers move property.

Moody's research subscribers can access this report at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF283721.

NOTE TO JOURNALISTS ONLY: For more information, please call one of our global press information hotlines: London +44-20-7772-5456, New York +1-212-553-0376, Tokyo +813-5408-4110, Hong Kong +852-3758-1350, Sydney +61-2-9270-8141, Mexico City 001-888-779-5833, São Paulo 0800-891-2518, or Buenos Aires 0800-666-3506. You can also email us at mediarelations@moodys.com or visit our web site at www.moodys.com.

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

Neal?Shah
MD - Structured Finance
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: UK RMBS master trusts remain exposed to extension risk
No Related Data.
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