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​​

PLEASE READ AND SCROLL DOWN!

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Rating Action:

Moody's reviews six notes for upgrade and nine notes for downgrade in Aire Valley and Granite

30 Oct 2015

NOTE: On 05 November 2015, the press release was corrected as follows: Amended to correctly identify Credit Suisse International as the FX swap provider. Revised release follows.

London, 30 October 2015 -- Moody's Investors Service has today placed on review for upgrade the ratings of six notes and placed on review for downgrade the ratings of nine notes in Granite UK residential mortgage-backed securities (RMBS) master trusts ("Granite") and Aire Valley UK residential mortgage-backed securities (RMBS) master trusts ("Aire Valley") that have exposure to UBS AG and Credit Suisse International.

The review follows the rating action taken on UBS AG and Credit Suisse International. UBS AG CR assessment was placed on review for upgrade on 12 October 2015 (http://www.moodys.com/viewresearchdoc.aspx?docid=PR_336410) and Credit Suisse International CR assessment was placed on review for downgrade on 21 October 2015 (http://www.moodys.com/viewresearchdoc.aspx?docid=PR_337032).

Please refer to the end of the Ratings Rationale section for a list of affected ratings.

RATINGS RATIONALE

Today's rating action reflects the linkage between the ratings of the affected notes and that of UBS AG and Credit Suisse International through its role as swap provider in the transactions. Two notes in Granite and seven notes in Aire Valley are negatively impacted with Credit Suisse International as FX swap counterparty. Six notes are positively impacted in Granite with UBS AG as FX swap counterparty.

The principal methodology used in these ratings was "Moody's Approach to Rating RMBS Using the MILAN Framework" published in January 2015. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

The analysis undertaken by Moody's at the initial assignment of ratings for RMBS securities may focus on aspects that become less relevant or typically remain unchanged during the surveillance stage. Please see Moody's Approach to Rating RMBS Using the MILAN Framework for further information on Moody's analysis at the initial rating assignment and the on-going surveillance in RMBS.

Factors that would lead to an upgrade or downgrade of the ratings:

The potential downgrade of the affected securities is linked to the downgrade of Credit Suisse International. As stated in the related press release on 21 October 2015, if a downgrade of Credit Suisse International did occur it would most likely be limited to one notch. If Credit Suisse International is downgraded by more than one notch more notes of the two RMBS transactions referenced above may be impacted.

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.

List of Affected Ratings:

Issuer: Aire Valley Mortgages 2004-1 plc

....EUR 460M Series 3 A2 Notes, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Jun 17, 2015 Upgraded to Aaa (sf)

....EUR 25M Series 3 B2 Notes, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Jun 17, 2015 Upgraded to Aaa (sf)

Issuer: Aire Valley Mortgages 2005-1 plc

....EUR 276M Series 2 A2 Notes, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Jun 17, 2015 Upgraded to Aaa (sf)

....USD 50M Series 2 A3 Notes, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Jun 17, 2015 Upgraded to Aaa (sf)

....EUR 23M Series 2 B2 Notes, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Jun 17, 2015 Upgraded to Aaa (sf)

Issuer: Aire Valley Mortgages 2006-1 plc

....USD 1500M Series 1 A Notes, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Jun 17, 2015 Upgraded to Aaa (sf)

....USD 70M Series 1 B1 Notes, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Jun 17, 2015 Upgraded to Aaa (sf)

Issuer: Granite Master Issuer plc Series 2006-1

....EUR 1900M A6 Notes, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Jun 24, 2015 Upgraded to Aa1 (sf)

....EUR 94.5M B4 Notes, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Jun 24, 2015 Upgraded to Aa1 (sf)

Issuer: Granite Master Issuer plc Series 2006-2

....EUR 1360M A5 Notes, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Jun 24, 2015 Upgraded to Aaa (sf)

....EUR 37.5M B3 Notes, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Jun 24, 2015 Upgraded to Aaa (sf)

Issuer: Granite Master Issuer plc Series 2006-4

....USD 704.3M A4 Notes, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Jun 24, 2015 Upgraded to Aa1 (sf)

....CAD 350M A5 Notes, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Jun 24, 2015 Upgraded to Aa1 (sf)

....USD 1130M A6 Notes, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Jun 24, 2015 Upgraded to Aa1 (sf)

....USD 60.6M B1 Notes, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Jun 24, 2015 Upgraded to Aa1 (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.

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 quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody's weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.

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.

Steven Becker
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

Michelangelo Margaria
Senior Vice President/Manager
Structured Finance Group
Telephone:+39-02-9148-1100

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 reviews six notes for upgrade and nine notes for downgrade in Aire Valley and Granite
No Related Data.
© 2019 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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