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Rating Action:

Moody's takes action in three UK non-conforming residential mortgage-backed securities

23 Jul 2015

London, 23 July 2015 -- Moody's Investors Service has today upgraded the ratings of 15 notes and affirmed the ratings of 4 notes in three UK non-conforming residential mortgage-backed securities ("RMBS") transactions: Mansard Mortgages 2006-1 PLC ("Mansard 2006-1"), Mansard Mortgages 2007-1 PLC ("Mansard 2007-1") and Marble Arch Residential Securitisation No. 4 plc ("Marble Arch No. 4").

Today's rating actions are prompted by (i) the update of several of Moody's cross-sector, primary and secondary rating methodologies for structured finance securities, to incorporate the new Counterparty Risk (CR) Assessment that it introduced for banks as part of its revised bank rating methodology (see "Banks," published on March 16, 2015), (ii) completion of rating review actions of banks and the assignment of its Counterparty Risk Assessment to the relevant banks acting as counterparties following the application of Moody's bank methodology, (iii) change in key collateral assumption, (iv) deleveraging and (v) the sufficiency of credit enhancement in these transactions.

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

RATINGS RATIONALE

Today's rating upgrades conclude the placement on review for upgrade of 6 rated tranches after the updates to several Moody's structured finance rating methodologies.

Today's affirmations reflect Moody's view that the available credit enhancement is sufficient to maintain the current rating on the affected notes.

-- COUNTERPARTY RISK EXPOSURE AND UPDATES TO MOODY'S STRUCTURE FINANCE RATING METHODOLOGIES

Today's rating actions took into consideration the notes' exposure to relevant counterparties, such as servicer, account banks or swap providers. Moody's incorporated the updates to its structured finance methodologies in its analysis of the transactions affected by today's rating actions (see "Moody's updates several structured finance rating methodologies in light of its new counterparty risk assessment for banks", published on 16 March 2015).

Moody's now matches banks' exposure in structured finance transactions to the CR Assessment for commingling risk, and to the bank deposit rating when analyzing set-off risk. Moody's has introduced a recovery rate assumption of 45% for both exposures.

Moody's considered how the liquidity available in the transactions and other mitigants support continuity of note payments, in case of servicer default, using the CR Assessment as a reference point for servicers or cash managers.

Moody's also assessed the default probability of each transaction's account bank providers by referencing the bank's deposit rating.

The ratings of the notes issued by Marble Arch No. 4 remain capped at Aa1 (sf) due to operational risk associated to possible payment disruption. Despite the presence of back-up servicer in the structure, the back-up arrangements are not sufficiently warm to avoid payment disruption in case of servicer default. Acenden Limited (NR) is the servicer and cash manager. Homeloan Management Limited (NR) acts as the back-up servicer.

There are no swaps in Mansard 2006-1 and Mansard 2007-1. For Marble Arch No. 4, Moody's analysis considered the risks of additional losses on the notes if they were to become unhedged following a swap counterparty default by using the CR Assessment as reference point for the swap counterparty. The ratings of Class D1a and D1c in Marble Arch No. 4 were constrained by swap exposure.

-- KEY COLLATERAL ASSUMPTIONS

For Mansard 2006-1 and Mansard 2007-1 the lifetime loss expectations have not been updated as part of this review. The performance of the underlying asset portfolios remain in line with Moody's assumptions. Moody's revised the MILAN CE assumption to 26% in Mansard 2006-1 and Mansard 2007-1, from 35% respectively, reflecting an updated minimum expected loss multiple applied to the current portfolio expected loss.

The collateral performance in Marble Arch No. 4 has been better than expected by Moody's. The cumulative losses realised since last review in August 2014 have only slightly increased to 3.96% from 3.86% of the original pool balance. 90+ arrears excl. other amounts owed as per the servicer report decreased to 14.0% from 14.3% in Q3 2014. Moody's has decreased its expected loss assumption to 6.2% from 7.0% of the original pool balance and has decreased the MILAN CE assumption to 26% from 32% reflecting updated portfolio characteristics.

The ratings were not subject to an analysis on the sensitivity of key collateral assumptions.

Principal Methodology:

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:

Factors or circumstances that could lead to an upgrade of the ratings include (1) better-than-expected performance of the underlying collateral, (2) deleveraging of the capital structure and (3) improvements in the credit quality of the transaction counterparties.

Factors or circumstances that could lead to a downgrade of the ratings include (1) worse-than-expected performance of the underlying collateral, (2) deterioration in the notes' available credit enhancement and (3) deterioration in the credit quality of the transaction counterparties.

LIST OF AFFECTED RATINGS

Issuer: Mansard Mortgages 2006-1 PLC

....GBP217.5M A2 Notes, Upgraded to Aaa (sf); previously on Mar 20, 2015 Aa1 (sf) Placed Under Review for Possible Upgrade

....GBP12.5M B1 Notes, Upgraded to A3 (sf); previously on May 23, 2014 Upgraded to B1 (sf)

....GBP20M B2 Notes, Upgraded to Caa2 (sf); previously on May 23, 2014 Upgraded to Caa3 (sf)

....GBP65M M1 Notes, Upgraded to Aaa (sf); previously on Mar 20, 2015 Aa2 (sf) Placed Under Review for Possible Upgrade

....GBP27.5M M2 Notes, Upgraded to Aa1 (sf); previously on May 23, 2014 Upgraded to Baa1 (sf)

Issuer: Mansard Mortgages 2007-1 PLC

....GBP97.5M A2a Notes, Upgraded to Aaa (sf); previously on Mar 20, 2015 Aa1 (sf) Placed Under Review for Possible Upgrade

....GBP12.5M B1a Notes, Upgraded to Baa2 (sf); previously on May 23, 2014 Upgraded to B2 (sf)

....GBP6.875M B2a Notes, Upgraded to B3 (sf); previously on May 23, 2014 Upgraded to Caa2 (sf)

....GBP36.25M M1a Notes, Upgraded to Aaa (sf); previously on Mar 20, 2015 Aa2 (sf) Placed Under Review for Possible Upgrade

....GBP14.375M M2a Notes, Upgraded to Aa1 (sf); previously on May 23, 2014 Upgraded to Baa1 (sf)

Issuer: Marble Arch Residential Securitisation No. 4 plc

....GBP231M A3c Notes, Affirmed Aa1 (sf); previously on Aug 12, 2014 Affirmed Aa1 (sf)

....EUR36.4M B1a Notes, Affirmed Aa1 (sf); previously on Aug 12, 2014 Upgraded to Aa1 (sf)

....US$27.1M B1b Notes, Affirmed Aa1 (sf); previously on Aug 12, 2014 Upgraded to Aa1 (sf)

....GBP20M B1c Notes, Affirmed Aa1 (sf); previously on Aug 12, 2014 Upgraded to Aa1 (sf)

....US$43.45M C1a Notes, Upgraded to Aa1 (sf); previously on Mar 20, 2015 Aa3 (sf) Placed Under Review for Possible Upgrade

....GBP15M C1c Notes, Upgraded to Aa1 (sf); previously on Mar 20, 2015 Aa3 (sf) Placed Under Review for Possible Upgrade

....EUR20.7M D1a Notes, Upgraded to A3 (sf); previously on Aug 12, 2014 Upgraded to Ba2 (sf)

....GBP26M D1c Notes, Upgraded to A3 (sf); previously on Aug 12, 2014 Upgraded to Ba2 (sf)

....GBP25.2M E1c Notes, Upgraded to B3 (sf); previously on Aug 12, 2014 Upgraded to Caa3 (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.

Gaby Trinkaus
Asst Vice President - 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

Masako Oshima
Senior Vice President
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 takes action in three UK non-conforming residential mortgage-backed securities
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