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Announcement:

Moody's concludes performance review of 119 UK RMBS deals

09 Oct 2013

London, 09 October 2013 -- Moody's Investors Service has recently completed a performance review of 119 UK Non-Conforming (NC), prime and Buy-to-Let (BTL) RMBS transactions and updated its expected loss assumptions in two of the transactions reviewed.

Moody's outlook for the UK NC, prime and BTL sectors is stable due to improving house prices, stabilising labour market, and continuous low interest rate environment.

The performance across UK RMBS has remained stable since the last review in October 2012. Moody's maintained the lifetime loss assumptions in all but two out of 119 UK NC, prime and BTL RMBS transactions reviewed. The increased loss assumptions in the two UK NC RMBS are due to worse-than-anticipated performance of the underlying mortgage portfolios. The remaining 117 transactions are performing as expected. A list of the 119 transactions reviewed with the updated assumptions is available at the following link:http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF344511.

The review of the performance assumptions for the two UK NC transactions described below has no rating implications because the credit enhancement available under the corresponding notes fully offsets the effect of the increased loss assumption.

Expected loss assumptions remain subject to uncertainties such as general future economic activity, interest rates and house prices. Lower than assumed realised recovery rates or higher than assumed default rates would negatively affect the ratings of the transactions.

Bluestone Securities plc - Series 2007-1

As of September 2013, cumulative losses as a percentage of the original portfolio balance amounted to 3.3%, up from 0.5% as of March 2009 (latest data point available as of the last change of the expected loss assumption). Loans delinquent by more than 90 days (including outstanding repossessions) amounted to 14.9% of the current portfolio balance. After considering the current amount of realised losses and completing a roll-rate and severity analysis for the non-defaulted portion of the portfolio, Moody's has increased its lifetime expected loss assumption for the portfolio from 5.5% to 6.5% of the original portfolio balance. This is the second change of the expected loss assumption since closing of the transaction in June 2007.

Eurohome UK Mortgages 2007-2 PLC

As of September 2013, cumulative losses as a percentage of the original portfolio balance amounted to 6.5%, up from 4.1% as of September 2010 (latest data point available as of the last change of the expected loss assumption). Loans delinquent by more than 90 days (including outstanding repossessions) as a percentage of the current portfolio balance amount to 21.5%, an increase from 18.5% as of September 2010. Taking into account the performance of the underlying mortgage portfolio to date, Moody's has increased its lifetime expected loss assumption for the portfolio from 11.0% to 15.0% of the original portfolio balance. This is the second change of the expected loss assumption since closing of the transaction in August 2007.

PRINCIPAL METHODOLOGIES

The methodologies used in these reviews were Moody's Approach to Rating RMBS Using the MILAN Framework published in May 2013, and Revising Default/Loss Assumptions Over the Life of an ABS/RMBS Transaction published in December 2008. Please see the Credit Policy page on www.moodys.com for a copy of these methodologies.

The below contact information is provided for information purposes only. Please see the ratings tab of the issuer page at www.moodys.com, for each of the ratings covered, Moody's disclosures on the lead analyst and the Moody's legal entity that has issued the ratings.

Lyudmila Udot
Asst Vice President - 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

Christophe de Noaillat
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 concludes performance review of 119 UK RMBS deals
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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