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Announcement:

Moody's reviews for downgrade remaining top rated Irish structured finance deals

02 Dec 2010

Approximately EUR 14.4 billion of debt securities affected

London, 02 December 2010 -- Moody's Investors Service today placed the Aaa(sf) ratings on 6 Irish residential mortgage-backed securities (RMBS) and one balance sheet collateralised loan obligation (CLO) on review for possible downgrade. Moody's also placed all mezzanine and junior mezzanine ratings on 5 Irish RMBS tranches on review for downgrade. A complete list of all 26 affected tranches placed on review for downgrade can be found at the end of this press release. Moody's previously placed its other ratings on Irish RMBS on review for possible downgrade in July and October 2010.

Despite the recent EU/IMF agreement, we believe the medium term stress on Irish structured finance transactions will be greater than we expected as recently as last summer. We anticipate further stress on borrowers from the austerity measures necessary to manage the increasing government debt burden resulting from the bail-out of the banking sector.

The rating actions reflect Moody's expectation that RMBS and SME corporate performance will deteriorate further in the context of increasing uncertainty to Ireland's economic outlook. At this time Moody's no longer views Aaa(sf) ratings as achievable for Irish structured finance deals, except, for example, those with very short remaining maturities. All ratings on the 22 outstanding Irish RMBS and the sole Irish CLO are now on review for possible downgrade.

Aaa(sf) Not Achievable on most Irish Securitizations in Current Environment

Due to Ireland's increasingly uncertain economic situation and pending rating actions on the sovereign and banking sector in Ireland, Aaa(sf) ratings are not currently achievable in Ireland for most structured finance transactions, independent of the credit enhancement made available.

As described in a Moody's sector comment published on November 22 (" Ireland's EU/IMF Bailout is Major Step Addressing Credit Risks, but Greater Weaknesses Are Exposed") the increase in the Irish Republic's debt burden exceeds Moody's expectations as of last October when Moody's placed Ireland's Aa2 rating on review for possible downgrade; Moody's most likely scenario is a multi-notch downgrade for the Irish sovereign rating, leaving the rating in the investment-grade category.

In addition, the majority of Irish bank ratings are on review for possible downgrade, reflecting the uncertainties on the Irish banking sector. That review raises concerns about operational risks for Irish structured finance transactions in extreme scenarios, because of key roles (such as servicing, cash management, hedging) that Irish banks perform for the securitized pools.

As part of the rating review, Moody's will examine a) the exposure of the transactions to the sovereign risk and b) assess in detail the operational risks associated with the Irish banks acting as transaction parties. A critical component of this assessment will be the outcome of the rating reviews for the sovereign and bank ratings.

Further Deterioration Expected on Underlying Pool Performance

Moody's anticipates further deterioration in the performance of Irish pools of residential mortgage loans. Please see the Special Comment entitled "Key credit drivers of Irish mortgage borrower default" published on 1st December 2010 for a detailed discussion of the evolution of the economic stress on Irish borrowers.

Arrears on existing Irish RMBS transactions continue to increase (Moody's latest index shows 90-day plus delinquencies at 5.1% of RMBS prime pools as of September vs. 4.4% in June of this year). Additionally, Irish Central Bank data show that an additional 5% of loans are current only because of loan modifications. We expect greater loan modification going forward and limited appetite from lenders to enforce on highly delinquent loans. Unemployment has increased to 13.6% and is expected to remain relatively stable for coming two years.

Irish house prices fell about 35% to date from peak in late 2006 further decline is expected in the coming two years, possibly reaching an overall 45%, possibly 50% house price decline over the next 2 years. All RMBS have securitized pools with some loans currently in negative equity; the proportion ranging from 7% to 60% depending on the transaction.

In the light of weakening collateral performance, Moody's will, as part of its rating review of the structured finance transactions, re-assess the key performance parameters, including roll-rates, life time pool losses, repayment assumptions and credit enhancement requirements.

Timing of SF Rating Actions

Once Moody's has concluded its review of the Irish government rating and the ratings of the Irish banks, it will finalise the review of the structured finance ratings for the affected transactions and communicate to the market its new assumptions and rating levels.

List of Affected Ratings

RMBS

Issuer: CELTIC RESIDENTIAL IRISH MORTGAGE SECURISATION NO. 11 PLC

....EUR385M A2a Certificate, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Dec 14, 2006 Definitive Rating Assigned Aaa (sf)

....US$328M A2b Certificate, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Dec 14, 2006 Assigned Aaa (sf)

Issuer: CELTIC RESIDENTIAL IRISH MORTGAGE SECURITISATION NO. 16 LTD

....EUR260M A1 Certificate, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Assigned Aaa (sf)

....EUR260M A2 Certificate, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Assigned Aaa (sf)

....EUR257M A3 Certificate, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 6, 2010 Assigned Aaa (sf)

Issuer: Celtic Residential Irish Mortgage Securitisation No.12 Ltd.

....EUR487.5M A2 Notes, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Jun 29, 2007 Definitive Rating Assigned Aaa (sf)

....EUR39M B Notes, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Aug 12, 2010 Downgraded to Baa1 (sf)

....EUR87.75M C Notes, B3 (sf) Placed Under Review for Possible Downgrade; previously on Aug 12, 2010 Downgraded to B3 (sf)

Issuer: Clogher Securities Ltd

....EUR1900M A Notes, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Apr 23, 2009 Assigned Aaa (sf)

Issuer: Fastnet Securities 7 Ltd

....EUR375M A1 Certificate, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Mar 23, 2009 Assigned Aaa (sf)

....EUR375M A2 Certificate, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Mar 23, 2009 Assigned Aaa (sf)

....EUR375M A3 Certificate, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Mar 23, 2009 Assigned Aaa (sf)

Issuer: Fastnet securities 8 Ltd

....EUR483M A1 Certificate, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Jul 22, 2010 Assigned Aaa (sf)

....EUR483M A2 Certificate, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Jul 22, 2010 Assigned Aaa (sf)

....EUR483M A3 Certificate, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Jul 22, 2010 Assigned Aaa (sf)

Issuer: Lansdowne Mortgage Securities No. 1 p.l.c

....EUR258M A2 Certificate, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Dec 11, 2009 Downgraded to Aa1 (sf)

....EUR13.85M M1 Certificate, A1 (sf) Placed Under Review for Possible Downgrade; previously on Dec 11, 2009 Downgraded to A1 (sf)

....EUR9.25M M2 Certificate, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Dec 11, 2009 Downgraded to Ba1 (sf)

....EUR11.1M B1 Certificate, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Dec 11, 2009 Downgraded to Caa2 (sf)

Issuer: Lansdowne Mortgage Securities No. 2 p.l.c.

....EUR372.75M A2 Certificate, A2 (sf) Placed Under Review for Possible Downgrade; previously on Dec 11, 2009 Downgraded to A2 (sf)

....EUR15.75M M1 Certificate, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Dec 11, 2009 Downgraded to Ba2 (sf)

....EUR11.8M M2 Certificate, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Dec 11, 2009 Downgraded to Caa2 (sf)

Issuer: Phoenix Funding 2 Limited

....EUR7125M A Notes, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Sep 1, 2010 Downgraded to Aa2 (sf)

....EUR375M B Notes, B1 (sf) Placed Under Review for Possible Downgrade; previously on Sep 1, 2010 Downgraded to B1 (sf)

Issuer: Phoenix funding 3 Limited

....EUR160M B Notes, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Sep 1, 2010 Downgraded to Ba2 (sf)

Balance sheet CLO

Issuer: Liffey Funding No. 1 Limited

....EUR1419.99M Class A EUR 2010-01 Notes Notes, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Feb 24, 2010 Assigned Aaa (sf)

All principal methodologies that Moody's applies when rating structured finance transactions are available on www.moodys.com in the Rating Methodologies sub-directory under the Research & Ratings tab. Other methodologies and factors that may have been considered in the process of rating these transactions can also be found in this Rating Methodologies sub-directory. 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. For further information, please visit our website directly or contact Moody's Client Service Desk (+44 20) 7772 5454.

Paris
Annick Poulain
MD - Structured Finance
Structured Finance Group
Moody's France SAS
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

London
Carole Bernard
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom

Moody's reviews for downgrade remaining top rated Irish structured finance deals
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