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Rating Action:

Moody's assigns Aaa ratings to 5 classes of Permanent Master Issuer PLC Series 2010-2, UK RMBS

14 Jul 2010

Approximately GBP 2.5 billion of debt securities rated

London, 14 July 2010 -- Moody's Investors Service assigned definitive credit ratings to the following classes of notes issued by Permanent Master Issuer PLC:

- Aaa to the USD 750,000,000 Series 1 Class A Notes due 2042.

- Aaa to the USD 750,000,000 Series 2 Class A Notes due 2042.

- Aaa to the USD 750,000,000 Series 3 Class A Notes due 2042.

- Aaa to the USD 750,000,000 Series 4 Class A Notes due 2042.

- Aaa to the GBP 500,000,000 Series 5 Class A Notes due 2042.

Moody's also affirms the existing ratings of notes issued by Permanent Master Issuer plc, Permanent Financing (No. 3) plc, Permanent Financing (No. 4) plc, Permanent Financing (No. 5) plc, Permanent Financing (No. 6) plc, Permanent Financing (No. 7) plc, Permanent Financing (No. 8) plc and Permanent Financing (No. 9) plc.

The notes are backed by a pool of prime UK residential mortgages originated by Bank of Scotland plc ("BOS", Aa3 / P-1), originated under the 'Halifax' brand. This represents the sixteenth issue out of the Permanent Master Trust structure, and the seventh using Permanent Master Issuer plc. At closing the Trust Property for this transaction consists of approximately GBP 42 billion of loans.

The Reserve Fund is funded to 11.29 per cent of the total Funding 2 Notes outstanding at closing and the total credit enhancement for the Aaa rated notes is 12.99 per cent.

The notes from this issuance include two features, which also appeared in series 2009-1 and 2010-1, but are not present in any other issuances of the trust:

- Part of the interest coupon is payable out of the revenue waterfall as normal with the remainder payable via a dedicated yield reserve which is funded up front by BOS through a subordinated loan.

- At the step-up date, in October 2013 for Class 1A, July 2015 for Class 2A, January 2016 for Class 3A, April 2016 for Class 4A and July 2016 for Class 5A, Lloyds TSB Bank plc ("Lloyds TSB", Aa3 / P-1) will offer to purchase any outstanding notes at a price of par plus accrued interest less any outstanding Aaa PDL. The likelihood of this offer occurring and the ability of Lloyds TSB to exercise it have not been assessed as part of the assigned ratings.

Moody's initially analysed and will monitor this transaction using the rating methodologies for UK RMBS Master Trust transactions as described in the reports "Moody's Approach to Rating UK RMBS," published in April 2005, "Moody's Updated Methodology for Rating UK RMBS," published in November 2007, "Cash Flow Analysis in EMEA RMBS: Testing Structural Features with the MARCO Model," published in January 2006 and "Moody's RMBS Master Trust Cash Flow Analysis," published in April 2008, which are all available on www.moodys.com in the Rating Methodologies sub-directory under the Research & Ratings tab. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found in the Rating Methodologies sub-directory on Moody's website. 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.

The key parameters used by Moody's to calibrate the loss distribution curve are a Milan Aaa CE of 11.0 % and an Expected Loss of 1.0%. Key drivers for these numbers include the current economic conditions with the UK economy only recently exiting recession and house prices falling by approximately 15% from their peak in mid-2007. As a result the pool has experienced a loss of equity in the underlying properties as indicated by the weighted-average indexed LTV of 63.62% (compared to current LTV of 61.88% based upon the valuation at last underwriting). Rising unemployment is likely to drive delinquencies up in the short to medium term.

The V Score for this transaction is Low/Medium, which is in line with the score assigned for the UK Prime RMBS sector. Although in line with the V Score for other prime UK RMBS Moody's noted the unavailability of certain loan-by-loan information such as the Employment Type and the Fast Track indicator. However, this is partially mitigated by the conservative view of these characteristics assumed in the analysis and depth and quantity of historical performance data provided by the originator. 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.

The definitive ratings address the expected loss posed to investors by the legal final maturity of the Notes. In Moody's opinion, the structure allows for timely payment of interest and ultimate payment of principal at par on or before the final legal maturity date. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors.

A copy of Moody's New Issue Report for this transaction will be available on our website www.moodys.com. Alternatively, please call Moody's London Client Service desk on +44 (0)20 7772 5454, to order a copy.

London
Christophe de Noaillat
Senior Vice President
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

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

Moody's assigns Aaa ratings to 5 classes of Permanent Master Issuer PLC Series 2010-2, UK RMBS
No Related Data.
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