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I AGREE
Rating Action:

Moody's places M2 notes on review for upgrade, M1 notes on rating direction uncertain, and affirms ratings on other notes in RMAC Securities No1. PLC Series 2006 NS-1

07 Mar 2014

London, 07 March 2014 -- Moody's Investors Service has today reviewed RMAC Securities No. 1 PLC Series 2006 NS-1 (RMAC 2006 NS-1) and placed M2a, M2c notes on review for upgrade and M1a, M1c notes on rating direction uncertain. RMAC 2006 NS-1 is a UK non-conforming residential mortgage-backed securities (RMBS) transaction. M1a and M1c notes were placed on review for possible downgrade on the 14th November 2013, in relation to swap counterparty exposure following the introduction of the rating agency's updated approach to assessing swap counterparty linkage in structured finance transactions. (https://www.moodys.com/research/Moodys-reviews-for-downgrade-EMEA-RMBS-and-ABS-transactions-due--PR_286515). At the same time, Moody's affirms the ratings on A2a, A2c, and B1c.

For a detailed list of affected ratings, refer to the end of this press release just before regulatory disclosures section.

The main drivers for today's action are the improved collateral performance, the increased credit enhancement due to deleveraging, and the linkage to currency swap counterparty.

RATINGS RATIONALE

-- Collateral Performance

Moody's conducted a loan by loan analysis on the securitized portfolio. The percentage of outstanding loans more than 90 days in arrears has decreased to below 15% from more than 25% in 2009. The cumulative realized loss as a percentage of the collateral balance at transaction issuance only increased from 0.56% at the end of 2008 to 1.76% at the end of 2013. Improving house prices in the UK also helps improve the weighted average LTV of the portfolio. As a result, Moody's reduces its MILAN assumption on the transaction to 25% from 31%. The portfolio's expected loss assumption remains at 3.2%.

-- Credit Enhancement

The transaction's pool factor is below 30%. Deleveraging has resulted in the build-up of the credit enhancement. Including the reserve fund amount, the available credit enhancements are 41%, 24%, 15%, and 5% for class A2, M1, M2, and B1 notes respectively.

Moody's conducted cash flow analysis reflecting the improved collateral performance and the increased credit enhancement. Moody's found upward rating pressure on class M1, M2 notes. Class A2 rating, due to operational risk, as analyzed in July 2011 rating action, remain capped at Aa2 (sf). Class B1c rating remains at B3 (sf).

-- Linkage to Swap Counterparty

Royal Bank of Scotland plc (RBS) (A3, possible downgrade/P-2) is the currency swap counterparty to the transaction. As part of this review, Moody's has incorporated the risk of additional losses on the notes in the event of them becoming unhedged following the default of the currency swap counterparty.

Moody's has received a confirmation from the Issuer that a collateral account has been opened with BNP Paribas (A2/P-1) and RBS has posted collateral to this account following the breach of the first counterparty rating requirement at A1.

The exchange loss in the event of swap counterparty default is borne by first the subordinate tranches, then the higher rank non-sterling tranches. Hence, class A2a has no exposure to currency swap counterparty.

With the linkage and exposure to swap counterparty, the scale of possible rating upgrade on class M1 and M2 notes is reduced. Class A2c and B1c notes are not impacted by swap counterparty risk due to sufficient credit enhancement for A2c and the already low rating on B1c.

RBS is currently on review for downgrade. (https://www.moodys.com/research/Moodys-reviews-Royal-Bank-of-Scotlands-ratings-for-downgrade--PR_291987) An actual downgrade of RBS and no transfer of swap counterparty will result in further limited upgrades or even downgrades on M1 notes and further limited upgrades on M2 notes. Consequently, Moody's places M1 notes on rating direction uncertain, M2 notes on review for upgrade, and affirms A2 notes at Aa2 (sf), B1c notes at B3 (sf).

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:

Factors or circumstances that could lead to a downgrade of the ratings affected by today's action would be the worse-than-expected performance of the underlying collateral, and deterioration in the credit quality of the counterparties.

Factors or circumstances that could lead to an upgrade of the ratings affected by today's action would be the better-than-expected performance of the underlying assets, and a decline in counterparty risk.

The principal methodology used in this rating 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.

LIST OF AFFECTED RATINGS

Issuer: RMAC SECURITIES No. 1 PLC Series 2006 NS-1

....GBP23.25M M2a Notes, Baa3 (sf) Placed Under Review for Possible Upgrade; previously on Feb 18, 2009 Downgraded to Baa3 (sf)

....EUR20M M2c Notes, Baa3 (sf) Placed Under Review for Possible Upgrade; previously on Feb 18, 2009 Downgraded to Baa3 (sf)

....GBP30M M1a Notes, A1 (sf) Placed Under Review Direction Uncertain; previously on Nov 14, 2013 A1 (sf) Placed Under Review for Possible Downgrade

....EUR59M M1c Notes, A1 (sf) Placed Under Review Direction Uncertain; previously on Nov 14, 2013 A1 (sf) Placed Under Review for Possible Downgrade

....GBP385M A2a Notes, Affirmed Aa2 (sf); previously on Jul 20, 2011 Downgraded to Aa2 (sf)

....EUR400M A2c Notes, Affirmed Aa2 (sf); previously on Jul 20, 2011 Downgraded to Aa2 (sf)

....EUR60.5M B1c Notes, Affirmed B3 (sf); previously on Feb 18, 2009 Downgraded to B3 (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 this transaction in the past six months.

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 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.

Kevin Ma
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

Christophe de Noaillat
MD - Structured Finance
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 places M2 notes on review for upgrade, M1 notes on rating direction uncertain, and affirms ratings on other notes in RMAC Securities No1. PLC Series 2006 NS-1
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.

CREDIT RATINGS ISSUED BY MOODY'S CREDIT RATINGS AFFILIATES ARE THEIR CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY’S (COLLECTIVELY, “PUBLICATIONS”) MAY INCLUDE SUCH CURRENT OPINIONS. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE APPLICABLE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS (“ASSESSMENTS”), AND OTHER OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. AND/OR ITS AFFILIATES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES ITS PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any credit rating, agreed to pay to Moody’s Investors Service, Inc. for credit ratings opinions and services rendered by it fees ranging from $1,000 to approximately $5,000,000. MCO and Moody’s Investors Service also maintain policies and procedures to address the independence of Moody’s Investors Service credit ratings and credit rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold credit ratings from Moody’s Investors Service and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”

Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.

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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY100,000 to approximately JPY550,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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