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Rating Action:

Moody's downgrades UK NC RMBS notes issued by Mansard Mortgages 2006-1 and 2007- 1 notes

25 Jul 2011

London, 25 July 2011 -- Moody's Investors Service announced today that it has downgraded the ratings of three classes of mezzanine and junior notes issued by Mansard Mortgages 2006-1 PLC and three classes of mezzanine and junior notes issued by Mansard Mortgages 2007-1 PLC. A detailed list of the rating actions is provided at the end of this press release

RATINGS RATIONALE

Today's rating action concludes the review for possible downgrade of these notes and takes into consideration the worse-than-expected performance of the collateral.

Today's rating action reflects the credit quality of the underlying mortgage portfolio, from which Moody's determined the MILAN Aaa Credit Enhancement (MILAN AaaCE) and the lifetime losses (expected loss), as well as the transaction structure and any legal considerations as assessed in Moody's cash flow analysis. The expected loss and the Milan AaaCE are the two key parameters used by Moody's to calibrate its loss distribution curve, which is used in the cash flow model to rate European RMBS transactions.

Portfolio Expected Loss:

Moody's has reassessed its lifetime loss expectations taking into account the collateral performance to date. Although arrear levels in both deals have been moderately decreasing in the last few quarters, which has been the case for the UK non-conforming RMBS sector as a whole, the collateral performance has been worse than assumed since the last rating action in January 2009.

As of April 2011, Mansard Mortgages 2006-1 cumulative losses as a percentage of the original portfolio balance amounted to 5.0%, up from 0.7% as of January 2009. These are among the highest cumulative losses experienced to date by 2006 vintage transactions rated by Moody's. The high cumulative losses resulted in a fully depleted reserve fund and an unpaid balance in the principal deficiency ledger ("PDL"), which led to under-collateralization of class B2 notes. The unpaid PDL balance reached GBP 5.2 million in the third quarter of 2010 and has since decreased to GBP3.8 million, or 19.3% of the outstanding principal balance of class B2 notes. This drop was the result of increasing levels of excess spread generated by the portfolio as delinquencies and periodic repossessions fell from their 2009 peaks.

Loans delinquent by more than 90 days (including outstanding repossessions) as a percentage of the current portfolio amount to 17.4%, decreased from 23.0% as of January 2009. The improvement in delinquencies drove a decrease in periodic repossessions to 0.5% from 1.5% of the outstanding portfolio balance over the same period. Since January 2009, constant prepayment rates have decreased to 6.4% from 34.2%, while weighted average loss severity has increased to 35.3% from 26.7%. Moody's has increased its lifetime expected loss assumption for this portfolio to 9.3% from 5.0% of the original 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.

As of April 2011, Mansard Mortgages 2007-1 cumulative losses as a percentage of the original portfolio balance amount to 4.5%, up from 0.3% as of January 2009. The cumulative losses resulted in depletion of the reserve fund, which now stands at 1% of the target level. The transaction has experienced unpaid PDL balances in the past, but these balances were fully coved as of April 2011, as a result of increasing levels of excess spread generated by the portfolio as delinquencies and periodic repossessions decreased from the peaks experienced in 2009. Loans delinquent by more than 90 days (including outstanding repossessions) as a percentage of the current portfolio amount to 13.4%, decreased from 17.0% as of January 2009. The improvement in delinquencies resulted in the drop in periodic repossessions to 0.7% from 0.8% of the outstanding portfolio balance over the same period. Since January 2009, constant prepayment rates have decreased from 31.3% to 4.7%, while weighted average loss severity has increased to 33.0% from 25.7%. Moody's has increased its lifetime expected loss assumption for this portfolio to 9.5% from 5.0% of the original 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.

MILAN Aaa CE

Moody's has also re-assessed updated loan-by-loan information on the portfolios and increased its MILAN AaaCE assumption to 40.0% from 37.0% in both transactions, mainly due to the increased level of borrower concentration as the portfolios amortise. As of April 2011, Mansard Mortgages 2006-1 pool factor is 40.6% and Mansard Mortgages 2007-1 pool factor is 55.0%. The available credit enhancement for the senior notes is equal to 58.5% and 51% in Mansard Mortgages 2006-1 and Mansard Mortgages 2007-1 respectively.

RATING METHODOLOGIES

The principal methodology used in this rating was Moody's Approach to Rating RMBS in Europe, Middle East, and Africa, published in October 2009. Other methodologies used in this rating are described in Moody's Approach to Rating UK RMBS published in April 2005, Moody's Updated Methodology for Rating UK RMBS published in October 2009 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.

LIST OF RATINGS ACTIONS

Issuer: Mansard Mortgages 2006-1 PLC

....GBP27.5M M2 Certificate, Downgraded to Ba1 (sf); previously on Aug 27, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade

....GBP12.5M B1 Certificate, Downgraded to Caa1 (sf); previously on Aug 27, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade

....GBP20M B2 Certificate, Downgraded to Ca (sf); previously on Aug 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade

Issuer: Mansard Mortgages 2007-1 Plc

....GBP14.375M M2a Notes, Downgraded to Baa3 (sf); previously on Aug 27, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade

....GBP12.5M B1a Notes, Downgraded to B3 (sf); previously on Aug 27, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade

....GBP6.875M B2a Notes, Downgraded to Caa3 (sf); previously on Aug 27, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade

REGULATORY DISCLOSURES

For ratings issued on a program, series or category/class of debt, this announcement provides relevant 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 relevant regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides relevant 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.

The rating has been disclosed to the rated entity or its designated agent and issued with no amendment resulting from that disclosure.

Information sources used to prepare the rating are the following: parties involved in the ratings, public information, and confidential and proprietary Moody's Investors Service information.

Moody's did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of this transaction in the past six months.

Moody's considers the quality of information available on the rated entity, obligation or credit satisfactory for the purposes of issuing a rating.

Moody's adopts all necessary measures so that the information it uses in assigning a rating is of sufficient quality and from sources Moody's considers to be reliable including, when appropriate, independent third-party sources. However, Moody's is not an auditor and cannot in every instance independently verify or validate information received in the rating process.

Moody's Investors Service may have provided Ancillary or Other Permissible Service(s) to the rated entity or its related third parties within the three years preceding the credit rating action. Please see the ratings disclosure page on our website www.moodys.com for further information.

Please see Moody's Rating Symbols and Definitions on the Rating Process page on www.moodys.com for further information on the meaning of each rating category and the definition of default and recovery.

Please see ratings tab on the issuer/entity page on www.moodys.com for the last rating action and the rating history.

The date on which some ratings were first released goes back to a time before Moody's ratings were fully digitized and accurate data may not be available. Consequently, Moody's provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on our website www.moodys.com for further information.

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.

London
Lyudmila Udot
Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

London
Barbara Rismondo
VP - Senior Credit Officer
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 downgrades UK NC RMBS notes issued by Mansard Mortgages 2006-1 and 2007- 1 notes
No Related Data.
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