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22 Jan 2009
Approximately GBP 292.7 million of debt securities affected
London, 22 January 2009 -- Moody's Investors Service has today taken the following rating action
on Mansard Mortgages 2006-1 plc ("Mansard 2006-1"):
- Class A2a, Downgraded to Aa1; previously on 31 October
2006 Assigned Aaa;
- Class M1a, Downgraded to Aa3; previously on 31 October
2006 Assigned Aa2;
- Class M2a, Downgraded to Baa1; previously on 31 October
2006 Assigned A2;
- Class B1a, Downgraded to Ba1; previously on 31 October
2006 Assigned Baa2;
- Class B2a, Downgraded to Caa1; previously on 31 October
2006 Assigned Ba2.
Today's rating actions were prompted by the worse-than-expected
collateral performance and took into consideration the increased portfolio
loss expectation and the negative outlook for the UK housing market and
The collateral performance of Mansard 2006-1 has deteriorated significantly
within the last two reporting periods during which the percentage of loans
with fixed and discounted interest rates decreased from 44.0%
and 14.7% in July 2008 to 0% and 10.8%
in January 2009. On the January 2009 payment date 40.3%
of current portfolio balance (CB) was reported to be delinquent.
From July 2008 to January 2009 the 90+ delinquencies, excluding
repossessions, have increased from 5.7% of current
portfolio balance (CB) to 23.0% of CB and the outstanding
unsold repossession balance has increased from 1.9% of CB
to 4.3% of CB. Within the same time frame the cumulative
realized losses have increased from for 0.09% to 0.69%
of the original portfolio balance. The realized losses and the
reduction of the available spread due to the increase of delinquencies
have caused a second consecutive drawing of the reserve fund, which
after the last payment date it is equal to 53.7% of its
Moody's has assessed updated loan-by-loan information of
the outstanding portfolio to determine the increase in credit support
needed and the volatility of future losses. Taking into account
the current amount of realised losses, and completing a roll-rate
and severity analysis for the non-defaulted portion of the portfolio,
Moody's has adjusted its loss expectations for this portfolio to 5%
of original balance (original expected loss range was 2.8%
to 3.2% of original balance).
Mansard 2006-1 closed in November 2006 and its current pool factor
is 58.5%. The collateral included in Mansard 2006-1
was originated by Rooftop Mortgages Limited. Crown Mortgage Management
Ltd ("CMM") is the sub-delegated day-to-day servicer.
The back-up servicer is Vertex Mortgage Services Ltd.
Moody's monitors this transaction using the rating methodology for EMEA
RMBS as described in the Rating Methodology reports "Moody's Approach
to Rating UK RMBS" published in April 2005 , "Moody's Updated Methodology
for Rating UK RMBS" published in November 2007 and "Revising Default/Loss
Assumptions Over the Life of an ABS/RMBS Transaction" published
in December 2008. There has been no rating action on the notes
issued by Mansard 2006-1 since the initial rating assignment in
October 2006. Moody's will continue to monitor closely the performance
of this transaction.
Please refer to the "UK Non-Conforming RMBS Q3 2008 Indices",
which can be found on www.moodys.com under the Credit Index
category of Structured Finance research
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's takes action on Mansard Mortgages 2006-1 plc
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
No Related Data.
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