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Rating Action:

Moody's downgrades seven senior notes and affirms 21 mezzanine and junior notes in three UK NC RMBS transactions

19 Dec 2013

London, 19 December 2013 -- Moody's Investors Service has today downgraded the senior note ratings and affirmed all other outstanding note ratings in Great Hall Mortgages No. 1 Plc Series 2006-1, 2007-1 and 2007-2. Today's rating action reflects the exposure to operational risk because of a weak servicer, in addition to there being no back-up servicer in case of a servicer disruption.

For a detailed list of affected ratings, see towards the end of the ratings rationale section.

RATINGS RATIONALE

Today's downgrade of the senior note ratings in Great Hall Mortgages No. 1 Plc Series 2006-1, 2007-1 and 2007-2 has been triggered by a correction to the identity of the servicer and its linkage to Co-Operative Bank Plc (Caa1/NP) and lack of any back-up servicer arrangements.

Western Mortgage Services Limited (NR), a subsidiary of Co-Operative Bank Plc acts as servicer in the three transactions, with the Co-Operative Bank Plc itself acting as master servicer. Moody's considers that the transactions are exposed to servicer disruption risk as there is no back-up servicing arrangements in case of servicer disruption.

The Bank of New York Mellon (Aa2/P-1) acts as cash manager, investment and issuer account bank in the three transactions. The transactions benefit from a liquidity facility and reserve funds which partially offset the lack of back-up servicing arrangement. In case of a payment disruption, Bank of New York Mellon can use the available liquidity held in the transactions' investment accounts to make interest payments due under the notes.

Moody's estimates that the available liquidity would prevent the issuer from missing an interest payment or payment under the swap agreements for at least two quarters. Moody's notes that this is a positive element as it reduces the likelihood of a potential default under the current swap agreements which could have an adverse impact for noteholders.

Factors that would lead to an upgrade or downgrade of the rating

Factors or circumstances that could lead to a downgrade of the ratings are performance of the underlying collateral that is worse than Moody's expected, deterioration in the credit of the transactions main counterparties and the other factors Moody's outlines in this press release.

Factors or circumstances that could lead to an upgrade of the ratings are better performance of the underlying assets than Moody's expects, a decline in counterparty risk and other factors Moody's describes in this press release.

The principal methodology used in these ratings was Moody's Approach to Rating RMBS Using the MILAN Framework published in November 2013. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

Issuer: Great Hall Mortgages No. 1 Plc Series 2006-01

....GBP216.3M A2a Notes, Downgraded to Aa3 (sf); previously on Dec 13, 2006 Definitive Rating Assigned Aaa (sf)

....EUR175M A2b Notes, Downgraded to Aa3 (sf); previously on Dec 13, 2006 Assigned Aaa (sf)

....GBP25.8M Ba Notes, Affirmed Aa3 (sf); previously on Dec 13, 2006 Definitive Rating Assigned Aa3 (sf)

....EUR7.5M Bb Notes, Affirmed Aa3 (sf); previously on Dec 13, 2006 Assigned Aa3 (sf)

....GBP11.5M Ca Notes, Affirmed A3 (sf); previously on Dec 13, 2006 Definitive Rating Assigned A3 (sf)

....EUR8M Cb Notes, Affirmed A3 (sf); previously on Dec 13, 2006 Assigned A3 (sf)

....GBP5.6M Ea Notes, Affirmed Ba2 (sf); previously on Dec 13, 2006 Definitive Rating Assigned Ba2 (sf)

....GBP6M Da Notes, Affirmed Baa3 (sf); previously on Dec 13, 2006 Definitive Rating Assigned Baa3 (sf)

....EUR11.5M Db Notes, Affirmed Baa3 (sf); previously on Dec 13, 2006 Assigned Baa3 (sf)

Issuer: Great Hall Mortgages No. 1 Plc Series 2007-01

....GBP264M A2a Notes, Downgraded to Aa3 (sf); previously on Sep 24, 2009 Confirmed at Aaa (sf)

....EUR396M A2b Notes, Downgraded to Aa3 (sf); previously on Sep 24, 2009 Confirmed at Aaa (sf)

....GBP47.1M Ba Notes, Affirmed Aa3 (sf); previously on Sep 24, 2009 Downgraded to Aa3 (sf)

....EUR55.6M Bb Notes, Affirmed Aa3 (sf); previously on Sep 24, 2009 Downgraded to Aa3 (sf)

....GBP19M Da Notes, Affirmed B2 (sf); previously on Sep 24, 2009 Downgraded to B2 (sf)

....GBP14.5M Ea Notes, Affirmed Ca (sf); previously on Sep 24, 2009 Downgraded to Ca (sf)

....EUR22.9M Db Notes, Affirmed B2 (sf); previously on Sep 24, 2009 Downgraded to B2 (sf)

....GBP14M Ca Notes, Affirmed Baa3 (sf); previously on Sep 24, 2009 Downgraded to Baa3 (sf)

....EUR33.4M Cb Notes, Affirmed Baa3 (sf); previously on Sep 24, 2009 Downgraded to Baa3 (sf)

Issuer: Great Hall Mortgages No. 1 Plc Series 2007-02

....US$600M Ac Notes, Downgraded to Aa3 (sf); previously on Sep 24, 2009 Downgraded to Aa1 (sf)

....GBP278.8M Aa Notes, Downgraded to Aa3 (sf); previously on Sep 24, 2009 Downgraded to Aa1 (sf)

....EUR30M Ab Notes, Downgraded to Aa3 (sf); previously on Sep 24, 2009 Downgraded to Aa1 (sf)

....GBP75.2M Ba Notes, Affirmed A3 (sf); previously on Sep 24, 2009 Downgraded to A3 (sf)

....GBP7.5M Ea Notes, Affirmed Ca (sf); previously on Sep 24, 2009 Downgraded to Ca (sf)

....EUR10M Eb Notes, Affirmed Ca (sf); previously on Sep 24, 2009 Downgraded to Ca (sf)

....GBP9M Ca Notes, Affirmed Ba2 (sf); previously on Sep 24, 2009 Downgraded to Ba2 (sf)

....EUR42.1M Cb Notes, Affirmed Ba2 (sf); previously on Sep 24, 2009 Downgraded to Ba2 (sf)

....GBP2M Da Notes, Affirmed Caa2 (sf); previously on Sep 24, 2009 Downgraded to Caa2 (sf)

....EUR28M Db Notes, Affirmed Caa2 (sf); previously on Sep 24, 2009 Downgraded to Caa2 (sf)

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.

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 these transactions in the past six months.

Moody's did not use any models, or loss or cash flow analysis, in its analysis.

Moody's did not use any stress scenario simulations in its analysis.

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 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 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 rating action, and whose ratings may change as a result of this 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.

Sebastian Hoepfner
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

Carole Bernard
Vice President - Senior Analyst
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 downgrades seven senior notes and affirms 21 mezzanine and junior notes in three UK NC RMBS transactions
No Related Data.
© 2022 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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