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Rating Action:

Moody's reviews Gracechurch Corporate Loans Series 2007-1 notes for possible downgrade

17 Feb 2009

Equivalent of GBP 3,500 million of rated securities affected.

Paris, February 17, 2009 -- Moody's Investors Service has today placed the ratings of the notes issued by Gracechurch Corporate Loans Series 2007-1 under review for possible downgrade. The detailed list of rating actions can be found at the bottom of this press release.

Today's rating action has been prompted by the continued deterioration in the marco-economic conditions and expectations of further contraction in GDP output in 2009 in the UK. Additionally, the review is caused by Moody's continued analysis of the borrower financial data on the portfolio. Moody's is especially assessing data which relates to 2005 and before on a substantial part of the portfolio which may prove very sensitive under the calculation of Moody's 1-year-EDF. Moody's understands that Barclays Bank is preparing the most up-to-date borrower financial data for the portfolio.

Moody's notes that as of January 2009, the total amount of defaulted reference obligations was GBP2.2 million, relating to four borrowers (0.06% of the total pool balance as of January 2009 compared with 0% as of January 2008). If no Principal Deficiency Ledger exists as of January 2009, the trend of defaulted reference obligations is negative as most of the defaults occurred 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.

Moreover, the severe downturn in Britain's housing market may lead to worse portfolio credit quality assumptions than initially expected, with 19.89% of the exposure related to borrowers operating in the Building and Real Estate sector.

Consequently, the initial average equivalent Moody's rating of the underlying portfolio set at closing as a range of Ba1 and Ba2 will likely be revised.

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 is related to a total portfolio of GBP3.5 billion. This reference pool initially comprised 1434 separate obligors. The revolving period will end in February 2010.

The average life of the outstanding portfolio is 4.83 years, with the longest maturity 18.20 years. As of January 2009, the reference pool comprised 1544 separate obligors with the highest obligor concentration being 0.7%.

Moody's expects to conclude the rating review after receipt of additional information by Barclays Bank PLC namely relating to the up-to-date credit quality of the underlying borrowers. A detailed assessment of the effects of the performance on the outstanding ratings will be conducted considering also the updated borrower credit quality.

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.

Moody's initially analysed and currently monitors this transaction using the rating methodology for general ABS of SMEs in EMEA ("Moody's Approach to Rating Granular SME Transactions in Europe, Middle East and Africa", June2007) and for CDO Synthetic ("Moody's Approach to Rating Corporate Collateralized Synthetic Obligations", December 2008).

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).

Detailed list of rating actions:

- GBP1,046,000,000 Class A1 Secured Floating Rate Notes, Placed Under Review for Possible Downgrade; Previously on 15 February, 2007 Assigned Aaa;

- EUR1,058,750,000 Class A2 Secured Floating Rate Notes, Placed Under Review for Possible Downgrade; Previously on 15 February, 2007 Assigned Aaa;

- USD2,290,000,000 Class A3 Secured Floating Rate Notes, Placed Under Review for Possible Downgrade; Previously on 15 February, 2007 Assigned Aaa;

- GBP106,750,000 Class AB1 Secured Floating Rate Notes, Placed Under Review for Possible Downgrade; Previously on 15 February, 2007 Assigned Aaa;

- EUR103,750,000 Class AB2 Secured Floating Rate Notes, Placed Under Review for Possible Downgrade; Previously on 15 February, 2007 Assigned Aaa;

- GBP32,600,000 Class B1 Secured Floating Rate Notes, Placed Under Review for Possible Downgrade; Previously on 15 February, 2007 Assigned Aa2;

- EUR65,150,000 Class B2 Secured Floating Rate Notes, Placed Under Review for Possible Downgrade; Previously on 15 February, 2007 Assigned Aa2;

- USD10,000,000 Class B3 Secured Floating Rate Notes, Placed Under Review for Possible Downgrade; Previously on 15 February, 2007 Assigned Aa2;

- GBP36,400,000 Class C1 Secured Floating Rate Notes, Placed Under Review for Possible Downgrade; Previously on 15 February, 2007 Assigned A2;

- EUR70,600,000 Class C2 Secured Floating Rate Notes, Placed Under Review for Possible Downgrade; Previously on 15 February, 2007 Assigned A2;

- USD23,000,000 Class C3 Secured Floating Rate Notes, Placed Under Review for Possible Downgrade; Previously on 15 February, 2007 Assigned A2;

- GBP33,000,000 Class D1 Secured Floating Rate Notes, Placed Under Review for Possible Downgrade; Previously on 15 February, 2007 Assigned Baa3;

- EUR40,250,000 Class D2 Secured Floating Rate Notes, Placed Under Review for Possible Downgrade; Previously on 15 February, 2007 Assigned Baa3;

- GBP43,100,000 Class E1 Secured Floating Rate Notes, Placed Under Review for Possible Downgrade; Previously on 15 February, 2007 Assigned Ba2;

- EUR40,950,000 Class E2 Secured Floating Rate Notes, Placed Under Review for Possible Downgrade; Previously on 15 February, 2007 Assigned Ba2;

- GBP28,050,000 Class F1 Secured Floating Rate Notes, Placed Under Review for Possible Downgrade; Previously on 15 February, 2007 Assigned B2;

- EUR26,500,000 Class F2 Secured Floating Rate Notes, Placed Under Review for Possible Downgrade; Previously on 15 February, 2007 Assigned B2;

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 reviews Gracechurch Corporate Loans Series 2007-1 notes for possible downgrade
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