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Rating Action:

Moody's takes action on RMAC 2004-NS1 and RMAC 2004-NSP2 following Ambac downgrade

31 Jul 2009

Approximately GBP 284 million of debt securities affected

London, 31 July 2009 -- Moody's has today placed under review for possible downgrade the underlying ratings of the following notes issued by two transactions of the UK RMAC series.

The underlying ratings reflect the intrinsic credit quality of the notes assuming the absence of the financial guarantee. The current ratings on the below notes are consistent with Moody's practice of rating insured securities at the higher of the guarantor's insurance financial strength rating and any underlying rating. Please see the press release dated November 10, 2008, titled "Moody's modifies approach to rating structured finance securities wrapped by financial guarantors

Issuer: RMAC 2004-NS1 PLC ("RMAC 2004-NS1")

Class A2a,A2b and A2c , Placed Under Review for Possible downgrade; previously on 13 February 2009 Downgraded to Baa1

Class A3, Placed Under Review for Possible Downgrade; previously on 13 February 2009 Downgraded to Baa1

Financial Guarantor: Ambac Assurance Corporation (Caa2; previously on 5 November 2008 Downgraded to Baa1 from Aa3)

Issuer: RMAC 2004 NSP2 PLC ("RMAC 2004- NSP2")

Class A2a, A2b and A2c, Placed Under Review for Possible Downgrade; previously on 13 February 2009 Downgraded to Baa1

Class A3 Placed Under Review for Possible Downgrade; previously on 13 February 2009 Downgraded to Baa1

Financial Guarantor: Ambac Assurance Corporation (Caa2; previously on 5 November 2008 Downgraded to Baa1 from Aa3)

Today ratings action follows the downgrade of Ambac Assurance Corporation ("Ambac") to Caa2 from Ba3 and takes into consideration the exposure of these two transactions to Ambac acting as guarantor of the cross currency swap provider. On the 13th of April 2009 the downgrade of Ambac to Ba3 had already resulted in certain rating related provisions being triggered under the relevant swaps. In particular each swap provides that upon the downgrade of Ambac below Baa2 the swap provider has the obligation to use reasonable effort to transfer its rights and obligations under the swap to a suitable rated third party. Moody's is aware that the swap provider has not yet been able to find a replacement counterparty but we understand from GMAC-RFC that Ambac has attempted to do so and that it is in the meantime posting collateral.

Furthermore as noted in the press release dated 13th of February, the swap documents for these transactions are not fully compliant with our current criteria for de-linking swap counterparty risks ("Moody's Framework") - see Moody's Report, "Framework for De-Linking Hedge Counterparty Risks from Global Structured Finance Cashflow Transactions", May 2007. For example, although Ambac Assurance Corporation guarantees the payment obligations of the swap provider, in Moody's view it does not, in all circumstances, guarantee performance obligations such as the obligation to post collateral. We acknowledge that these transactions closed when Moody's Framework was not yet published, however Moody's current assessment of linkage to the credit risk of the swap guarantor is based on Moody's Framework. In view of all this Moody's considers that, upon default of Ambac Assurance Corporation as swap guarantor, there is a material likelihood that the respective issuers would lose the benefit of the swaps and would not hold sufficient collateral to fully mitigate any resultant losses.

During its review Moody's will take into consideration the residual exposure to the cross currency guarantor considering the size of the outstanding classes A2b and A2c denominated in

USD and EUR respectively in the two transactions. Moody's will also consider the increased subordination available in the structures to mitigate either the potential foreign exchange risk or the additional costs necessary to replace the swap counterparty in case of Ambac default.

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 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, "Revising Default/Loss Assumptions Over the Life of an ABS/RMBS Transaction" published in December 2008, and "Framework for De-Linking Hedge Counterparty Risks from Global Structured Finance Cashflow Transactions", published in May 2007 which can be found at www.mooodys.com in the Credit Policy & Methodologies directory, the Ratings Methodologies subdirectory. Other methodologies and factors that may have been considered in the process of monitoring this issue can also be found in the Credit Policy & methodologies directory

Paris
Carole Gintz
VP - Senior Credit Officer
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

London
Barbara Rismondo
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's takes action on RMAC 2004-NS1 and RMAC 2004-NSP2 following Ambac downgrade
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