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Rating Action:

Moody's downgrades UK RMBS notes issued by Whinstone Capital Management Limited and Whinstone 2 Capital Management Limited

07 Dec 2010

Approximately GBP 389 million of rated debt securities affected

Milan, December 07, 2010 -- Issuer: Whinstone Capital Management Limited

GBP 35M B1 Certificate, Downgraded to Baa3 (sf); previously on Nov 16, 2005 Definitive Rating Assigned Baa2 (sf)

EUR 67.8M B2 Certificate, Downgraded to Baa3 (sf); previously on Nov 16, 2005 Definitive Rating Assigned Baa2 (sf)

US$ 40.3M B3 Certificate, Downgraded to Baa3 (sf); previously on Nov 16, 2005 Definitive Rating Assigned Baa2 (sf)

GBP 21M C1 Certificate, Downgraded to B2 (sf); previously on Nov 16, 2005 Definitive Rating Assigned Ba2 (sf)

EUR 115.2M C2 Certificate, Downgraded to B2 (sf); previously on Nov 16, 2005 Definitive Rating Assigned Ba2 (sf)

US$ 32M C3 Certificate, Downgraded to B2 (sf); previously on Nov 16, 2005 Definitive Rating Assigned Ba2 (sf)

Issuer: WHINSTONE 2 CAPITAL MANAGEMENT LIMITED

GBP 80M C1 Notes, Downgraded to B2 (sf); previously on Jun 20, 2006 Definitive Rating Assigned Ba2 (sf)

EUR 129M C2 Notes, Downgraded to B2 (sf); previously on Jun 20, 2006 Assigned Ba2 (sf)

RATINGS RATIONALE

Whinstone is a transaction closed in November 2005, under which Northern Rock Asset Management plc ("NRAM") receives credit protection on the Issuer Reserve Funds of the transactions issued out of Funding of Granite Master Trust.

Whinstone 2 is a transaction closed in June 2006, under which NRAM receives credit protection on a certain portion of the Granite Master Issuer Reserve Fund and the Funding 2 Reserve Fund that are both part of the Granite Master Trust.

Today's rating actions take into account worse than expected collateral performance within Granite, which has resulted in increased loss expectations for the mortgage portfolio, continued draws on the Granite Funding reserve fund, and low excess spread observed in the trust as a whole.

The ratings of the notes take into account the credit quality of the underlying mortgage loan pool, from which Moody's determined the MILAN Aaa Credit Enhancement (MILAN Aaa CE) and the portfolio expected loss, as well as the transaction structure as assessed in Moody's cash flow analysis. The expected loss and the MILAN Aaa CE are the two key parameters used by Moody's to calibrate its loss distribution curve, which is one of the core inputs in the cash-flow model it uses to rate RMBS transactions.

Portfolios Expected Loss: Moody's has reassessed its lifetime loss expectation for the portfolio backing Granite master trust taking into account the collateral performance to date. The portfolio has been performing worse than Moody's initial assumptions. Cumulative losses amount to 0.94% of the original portfolio balance, repossessions over the last 12 months represent approximately 1.25% of the outstanding portfolio balance with average loss severity in 2010 of 22%, and the arrears levels in the portfolio are relatively high - currently 90+ days delinquencies constitute 5.68% of the outstanding portfolio . Furthermore, the Granite master trust portfolio has been affected by the adverse macroeconomic conditions, such as increase in unemployment and house price depreciation, as well as by the negative selection of loans remaining in the pool and these factors are expected to impact future performance. 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 total loss expectations to 2.5% of the current portfolio balance.

MILAN Aaa CE: Moody's has assessed the loan-by-loan information for the portfolio and has increased our MILAN Aaa CE assumption to 23.0%. This increase reflects (i) the weighted average loan-to-value (LTV) of 78.87% with 63% of the pool having LTV higher than 80%,(ii) the presence in the pool of 37% of Interest Only mortgage loans, and (iii) the high portion of Together mortgage loans (38.5%) that historically have shown an adverse performance.

The other factors that have lead to today's rating actions are: (i) the continuing draws on Funding reserve fund, which currently is at GBP49,124,401 (1.42% of Funding notes outstanding), whereas the required amount is GBP57,670,313 (1.67% of Funding notes outstanding) and (ii) the increased WA note coupon of Funding and Funding 2 (0.19% and 0.24%respectively) that is expected to increase to 0.25% and 0.70% respectively in a year at current CPR levels.

The rating addresses the expected loss posed to investors by the legal final maturity of the notes. In Moody's opinion, the structure allows for payment of principal with respect of the notes by the legal final maturity. Moody's ratings only address the credit risk associated with the transaction. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors.

The principal methodologies used in this rating were Moody's Approach to Rating UK RMBS published in April 2005, Moody's Updated Methodology for Rating UK RMBS published in November 2007 and Moody's RMBS Master Trust Cash Flow Analysis, April 2008.

Moody's Investors Service received and took into account a third party due diligence report on the underlying assets or financial instruments in this transaction and the due diligence report had a neutral impact on the rating.

REGULATORY DISCLOSURES

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

Information sources used to prepare the credit rating are the following: parties involved in the ratings, parties not involved in the ratings, public information, and confidential and proprietary Moody's Investors Service information.

Moody's Investors Service considers the quality of information available on the issuer or obligation satisfactory for the purposes of maintaining a credit rating.

Additional research, including the pre-sale report for this transaction and reports for prior transactions, are available at www.moodys.com. 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

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 www.moodys.com/disclosures on our website for further information.

Moody's adopts all necessary measures so that the information it uses in assigning a credit 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.

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

The date on which some Credit Ratings were first released goes back to a time before Moody's Investors Service's Credit Ratings were fully digitized and accurate data may not be available. Consequently, Moody's Investors Service 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 the Credit Policy page on Moodys.com for the methodologies used in determining ratings, further information on the meaning of each rating category and the definition of default and recovery.

Milan
Pier Paolo Vaschetti
Vice President - Senior Analyst
Structured Finance Group
Moody's Italia S.r.l
Telephone:+39-02-9148-1100

London
Neal Shah
MD - Structured Finance
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's Italia S.r.l
Corso di Porta Romana 68
Milan 20122
Italy
Telephone:+39-02-9148-1100

Moody's downgrades UK RMBS notes issued by Whinstone Capital Management Limited and Whinstone 2 Capital Management Limited
No Related Data.
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