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Rating Action:

Moody's downgrades notes issued by Gracechurch Corporate Loans Series 2007-1

08 Jul 2009

GBP3,500 million of debt securities affected

Paris, July 08, 2009 -- Moody's Investors Service has confirmed the Class A1, A2 and A3 notes issued by Gracechurch Corporate Loans Series 2007-1 and downgraded all other classes of notes. A detailed list of the rating actions can be found at the end of this press release.

Today's rating action concludes the review for downgrade, which was initiated on 17 February 2009, as a result of the continued deterioration in economic conditions and expectations of further contraction in GDP output in the UK and Moody's revision of its methodology for SME granular portfolios in EMEA.

Moody's notes that as of June 2009, the total amount of defaulted reference obligations was GBP2.7 million, relating to five borrowers (0.076% of the total pool balance as of June 2009 compared with 0.064% as of December 2008).with most of the defaults occurring in 2008. An increase in the defaulted reference obligation rate is expected given the high correlation between the GDP growth rate and the company liquidation rate in the UK. As of June 2009, no principal deficiency ledger had been recorded.

The severe downturn in Britain's housing market may also lead to worst portfolio credit quality assumptions than initially expected given the exposure of the pool to the real estate sector -- either through the security in the form of a mortgage or debtors operating in the real estate sector.

Moody's has consequently revised the weighted-average equivalent rating of the pool, which was initially set at Ba2. The default probability of the pool has been changed to be equivalent to B1. Following the methodology for SME granular portfolios in EMEA, the default probability of the pool results from a specific notching approach of the transaction rating assumption derived from RiskCalc. The ratings were first notched down to bring the weighted-average default probability of the pool to be equivalent to a Ba2/Ba3 for Barclays UK SME. Moody's then applied a one notch upgrade for large debtors (corporates with a turnover higher than GBP50 million), one notch downgrade to debtors in the first four industrial sectors (Construction & Building, Hotel, Gaming & Leisure, Services: Business, Retail) and a one notch downgrade as a cycle adjustment factor.

For modelling purposes, Moody's used CDOROM v2.5 but did not apply the embedded 30% default probability stress as the above approach already includes a cycle adjustment to set the default probability assumption for the pool.

Gracechurch Corporate Loans Series 2007-1 is a fully funded synthetic transaction, arranged by Barclays Capital, in which investors are exposed to the credit risk related to a portfolio of loans extended by Barclays Bank PLC (Aa3/C/Prime-1) to UK small and medium-sized companies. The credit risk transferred by Barclays Bank PLC through this transaction relates to a total portfolio of GBP3.5 billion. At closing, the reference pool comprised 1343 separate obligors. The revolving period will end in February 2010.

The average life of the outstanding portfolio is 4.85 years, with the longest maturity 17.91 years. As of June 2009, the reference pool comprised 1456 separate obligors with the highest obligor concentration being 0.7%. The concentration in the "Building and Real Estate" sector according to Moody's industry classification was 19.76%.

Moody's assigned definitive ratings in February 2007. Moody's ratings address the expected loss posed to investors by the legal final maturity of the notes. Moody's ratings address only the credit risks 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 rating and monitoring the transaction is "Moody's Approach to Rating Corporate Collateralized Synthetic Obligations", published in December 2008 and "Refining the ABS SME Approach: Moody's Probability of Default Assumptions in the Rating Analysis of Granular Small and Mid-Sized Enterprise Portfolios in EMEA", published in March 2008. Such methodologies can be found on www.moodys.com in the Credit Policy & Methodologies directory, in the Ratings Methodologies subdirectory. Other methodologies and factors that may have been considered in the process of rating this issue can also be found on this page.

Moody's is closely monitoring the transaction. To obtain a copy of Moody's New Issue Report or periodic Performance Overviews, please visit Moody's website at www.moodys.com or contact our Client Service Desk in London (+44-20-7772 5454).

The detailed list of rating actions is as follows:

- GBP1,046,000,000 Class A1 Secured Floating Rate Notes, confirmed at Aaa; previously on 17 February 2009 Placed Under Review for Possible Downgrade;

- EUR1,058,750,000 Class A2 Secured Floating Rate Notes, confirmed at Aaa; previously on 17 February 2009 Placed Under Review for Possible Downgrade;

- USD2,290,000,000 Class A3 Secured Floating Rate Notes, confirmed at Aaa; previously on 17 February 2009 a Placed Under Review for Possible Downgrade;

- GBP106,750,000 Class AB1 Secured Floating Rate Notes, downgraded to Aa3 from Aaa; previously on 17 February 2009 Placed Under Review for Possible Downgrade;

- EUR103,750,000 Class AB2 Secured Floating Rate Notes, downgraded to Aa3 from Aaa; previously on 17 February 2009 Placed Under Review for Possible Downgrade;

- GBP32,600,000 Class B1 Secured Floating Rate Notes, downgraded to Baa1 from Aa2; previously on 17 February 2009 Placed Under Review for Possible Downgrade;

- EUR65,150,000 Class B2 Secured Floating Rate Notes, downgraded to Baa1 from Aa2; previously on 17 February 2009 Placed Under Review for Possible Downgrade;

- USD10,000,000 Class B3 Secured Floating Rate Notes, downgraded to Baa1 from Aa2; previously on 17 February 2009 Placed Under Review for Possible Downgrade;

- GBP36,400,000 Class C1 Secured Floating Rate Notes, downgraded to Ba1 from A2; previously on 17 February 2009 Placed Under Review for Possible Downgrade;

- EUR70,600,000 Class C2 Secured Floating Rate Notes, downgraded to Ba1 from A2; previously on 17 February 2009 Placed Under Review for Possible Downgrade;

- USD23,000,000 Class C3 Secured Floating Rate Notes, downgraded to Ba1 from A2; previously on 17 February 2009 Placed Under Review for Possible Downgrade;

- GBP33,000,000 Class D1 Secured Floating Rate Notes, downgraded to B2 from Baa3; previously on 17 February 2009 Placed Under Review for Possible Downgrade;

- EUR40,250,000 Class D2 Secured Floating Rate Notes, downgraded to B2 from Baa3; previously on 17 February 2009 Placed Under Review for Possible Downgrade;

- GBP43,100,000 Class E1 Secured Floating Rate Notes, downgraded to Caa1 from Ba2; previously on 17 February 2009 Placed Under Review for Possible Downgrade;

- EUR40,950,000 Class E2 Secured Floating Rate Notes, downgraded to Caa1 from Ba2; previously on 17 February 2009 Placed Under Review for Possible Downgrade;

- GBP28,050,000 Class F1 Secured Floating Rate Notes, downgraded to Ca from B2; previously on 17 February 2009 Placed Under Review for Possible Downgrade;

- EUR26,500,000 Class F2 Secured Floating Rate Notes, downgraded to Ca from B2; previously on 17 February 2009 Placed Under Review for Possible Downgrade.

London
Benedicte Pfister
Managing Director
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Paris
Mehdi Ababou
Vice President - Senior Analyst
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's downgrades notes issued by Gracechurch Corporate Loans Series 2007-1
No Related Data.
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