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Rating Action:

Moody's downgrades 1 tranche's rating and puts on review for downgrade 4 tranches' ratings in the Irish RMBS Lansdowne series

20 Apr 2017

London, 20 April 2017 -- Moody's Investors Service has today downgraded the rating of 1 note and put it on review for downgrade in Lansdowne Mortgage Securities No. 1 p.l.c., and put on review for downgrade the ratings of 3 other notes in Lansdowne Mortgage Securities No. 1 p.l.c. and Lansdowne Mortgage Securities No. 2 p.l.c.. The rating agency has also downgraded and put on review for downgrade the Counterparty Instrument Rating (CIR) relating to the Lansdowne Mortgage Securities No.1 p.l.c. basis swap. The rating action is prompted by prolonging worse than expected collateral performance.

LIST OF AFFECTED RATINGS

Issuer: Lansdowne Mortgage Securities No. 1 p.l.c.

....EUR258M Class A2 Notes, Downgraded to Ba1 (sf) and Placed Under Review for Possible Downgrade; previously on Jul 1, 2016 Upgraded to Baa2 (sf)

....EUR13.8M Class M1 Notes, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 1, 2016 Upgraded to B2 (sf)

....EUR9.3M Class M2 Notes, Ca (sf) Placed Under Review for Possible Downgrade; previously on Aug 22, 2014 Confirmed at Ca (sf)

....Basis Swap Certificates, Downgraded to Ba1 (sf) and Placed Under Review for Possible Downgrade; previously on Jul 1, 2016 Upgraded to Baa2 (sf)

Issuer: Lansdowne Mortgage Securities No. 2 p.l.c.

....EUR372.8M Class A2 Notes, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jan 23, 2015 Affirmed B2 (sf)

RATINGS RATIONALE

Today's rating action reflects the increased key collateral assumptions, namely the portfolio Expected Loss (EL) assumptions due to prolonging of underperforming collateral and lack of clarity regarding the strategy to resolve long-term arrears. The placements on review for downgrade reflect Moody's intention to further refine the EL levels. The EL will be reviewed in conjunction with timing and level of recoveries of the mortgage loans in long term arrears under expected and stressed scenarios along with the strategy to resolve such arrears.

Total delinquencies have remained high in the past year, with 90 days plus arrears currently standing at 54.74% of current pool balance for Lansdowne Mortgage Securities No. 1 p.l.c. and 54.52% for Lansdowne Mortgage Securities No. 2 p.l.c.. Cumulative losses currently stand at 2.82% of original pool balance for Lansdowne Mortgage Securities No. 1 p.l.c. and 4.90% for Lansdowne Mortgage Securities No. 2 p.l.c..

Moody's increased the expected loss assumption to 12.3% as a percentage of original pool balance from 8.0% for Lansdowne Mortgage Securities No. 1 p.l.c., and to 18.6% from 13.5% for Lansdowne Mortgage Securities No. 2 p.l.c..

Since the Issuer's obligations under the basis swap agreement rank pari passu with Class A2 notes the expected loss assuming no swap counterparty default equals the expected loss for the Class A2 noteholders, i.e. Ba1 (sf) . In a second step we consider whether the payment obligations of Lansdowne Mortgage Securities No. 1 p.l.c. might be affected by Barclays' Bank PLC financial strength. However, since the expected loss assuming no counterparty default is lower than the rating of the counterparty, the CIR is capped by the Ba1 (sf). The CIR has also been placed on review for downgrade.

The principal methodology used in these ratings was "Moody's Approach to Rating RMBS Using the MILAN Framework" published in September 2016. Please see the Rating Methodologies page on www.moodys.com for a copy of this methodology.

The analysis undertaken by Moody's at the initial assignment of these ratings for RMBS securities may focus on aspects that become less relevant or typically remain unchanged during the surveillance stage. Please see Moody's Approach to Rating RMBS Using the MILAN Framework for further information on Moody's analysis at the initial rating assignment and the on-going surveillance in RMBS.

Factors that would lead to an downgrade of the ratings:

Factors or circumstances that could lead to a downgrade of the ratings include (1) an increase in sovereign risk, (2) performance of the underlying collateral that is worse than Moody's expected, (3) deterioration in the notes' available credit enhancement and (4) deterioration in the credit quality of the transaction counterparties.

REGULATORY DISCLOSURES

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions of the disclosure form.

The analysis relies on an assessment of collateral characteristics to determine the collateral loss distribution, that is, the function that correlates to an assumption about the likelihood of occurrence to each level of possible losses in the collateral. As a second step, Moody's evaluates each possible collateral loss scenario using a model that replicates the relevant structural features to derive payments and therefore the ultimate potential losses for each rated instrument. The loss a rated instrument incurs in each collateral loss scenario, weighted by assumptions about the likelihood of events in that scenario occurring, results in the expected loss of the rated instrument.

Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody's weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.

For ratings issued on a program, series or category/class of debt, this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Germain-Pierre Fargue
Associate 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

Masako Oshima
Associate Managing Director
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

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