London, 17 June 2015 -- Moody's Investors Service has today upgraded the ratings of 12 notes,
confirmed the ratings of 2 notes and affirmed the ratings of 9 notes in
3 UK non-conforming residential mortgage-backed securities
(RMBS) transactions: RMAC 2005-NSP2 PLC, RMAC SECURITIES
No. 1 PLC Series 2006-NS1 and RMAC SECURITIES No.
1 PLC Series 2006-NS2.
Today's rating actions are prompted by (i) the conclusion of the review
of the rating of the swap counterparty (ii) the revision of key collateral
assumptions. The rating actions also incorporate the operational
risk cap of Aa2 placed on the notes' ratings across all three transactions.
Please refer to the end of the Ratings Rationale section for a list of
affected ratings.
RATINGS RATIONALE
Today's rating actions conclude the placement on review for upgrade of
4 notes in RMAC 2005-NSP2 PLC, 5 notes in RMAC SECURITIES
No. 1 PLC Series 2006-NS1 and 5 notes in RMAC SECURITIES
No. 1 PLC Series 2006-NS2 after the updates to several Moody's
rating methodologies.
Following the placement on review of the notes on 20 March 2015,
The Royal Bank of Scotland plc (RBS)'s long term domestic deposit
rating was upgraded to A3 and its Counterparty Risk Assessment ("CR
Assessment") was assigned at A3(cr) on 28 May 2015 (http://www.moodys.com/viewresearchdoc.aspx?docid=PR_326277).
RBS acts as the swap counterparty in all three transactions.
Moody's confirmed the ratings of securities whose credit enhancement
is sufficient to maintain 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 uses CR Assessments to measure the risk of default for exposures
to swap counterparties.
-- KEY COLLATERAL ASSUMPTIONS
Moody's has reassessed its lifetime loss expectation taking into account
the collateral performance of the transactions to date. The three
securitized pools are performing in line with Moody's expected loss
assumptions. As a result, Moody's maintained the Expected
Loss assumptions at 1.5% for RMAC 2005-NSP2 PLC,
3.2% for RMAC SECURITIES No. 1 PLC Series 2006-NS1,
and 4.2% for RMAC SECURITIES No. 1 PLC Series 2006-NS2
of the original pool balance.
Today's actions also reflect the improving characteristics of the collateral
resulting in a lower MILAN CE assumption for all three transactions.
Moody's lowered the MILAN CE assumption in all three transactions to reflect
the decreasing weighted average loan-to-value ratio since
their last rating actions. Moody's revised the Milan CE assumption
to 14.1% in RMAC 2005-NSP2 PLC from 20.5%,
to 17.85% in RMAC SECURITIES No. 1 PLC Series 2006-NS1
from 25% and to 20.65% in RMAC SECURITIES No.
1 PLC Series 2006-NS2 from 32%.
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 www.moodys.com
for a copy of this methodology.
The analysis undertaken by Moody's at the initial assignment of
a rating for an RMBS security 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) an increase in sovereign risk; (2) worse-than-expected
performance of the underlying collateral; (3) deterioration in the
notes' available credit enhancement; and (4) deterioration in the
credit quality of the transaction counterparties.
List of Affected Ratings:
Issuer: RMAC 2005-NSP2 PLC
....GBP220M Class A2a Notes, Affirmed
Aa2 (sf); previously on Jul 20, 2011 Downgraded to Aa2 (sf)
....US$440M Class A2b Notes,
Affirmed Aa2 (sf); previously on Jul 20, 2011 Downgraded to
Aa2 (sf)
....EUR290M Class A2c Notes, Affirmed
Aa2 (sf); previously on Jul 20, 2011 Downgraded to Aa2 (sf)
....GBP22M Class M1a Notes, Affirmed
Aa2 (sf); previously on Mar 11, 2015 Confirmed at Aa2 (sf)
....EUR48M Class M1c Notes, Affirmed
Aa2 (sf); previously on Mar 11, 2015 Confirmed at Aa2 (sf)
....GBP26M Class M2a Notes, Upgraded
to Aa3 (sf); previously on Mar 20, 2015 A2 (sf) Placed Under
Review for Possible Upgrade
....EUR37M Class M2c Notes, Upgraded
to Aa3 (sf); previously on Mar 20, 2015 A2 (sf) Placed Under
Review for Possible Upgrade
....GBP10M Class B1a Notes, Upgraded
to A1 (sf); previously on Mar 20, 2015 Baa2 (sf) Placed Under
Review for Possible Upgrade
....EUR22M Class B1c Notes, Upgraded
to A1 (sf); previously on Mar 20, 2015 Baa2 (sf) Placed Under
Review for Possible Upgrade
Issuer: RMAC SECURITIES No. 1 PLC Series 2006-NS1
....GBP385M Class A2a Notes, Affirmed
Aa2 (sf); previously on Mar 7, 2014 Affirmed Aa2 (sf)
....EUR400M Class A2c Notes, Affirmed
Aa2 (sf); previously on Mar 7, 2014 Affirmed Aa2 (sf)
....GBP30M Class M1a Notes, Upgraded
to Aa2 (sf); previously on Mar 20, 2015 Aa3 (sf) Placed Under
Review for Possible Upgrade
....EUR59M Class M1c Notes, Upgraded
to Aa2 (sf); previously on Mar 20, 2015 A1 (sf) Placed Under
Review for Possible Upgrade
....GBP23.25M Class M2a Notes,
Upgraded to A1 (sf); previously on Mar 20, 2015 A3 (sf) Placed
Under Review for Possible Upgrade
....EUR20M Class M2c Notes, Upgraded
to A1 (sf); previously on Mar 20, 2015 A3 (sf) Placed Under
Review for Possible Upgrade
....EUR60.5M Class B1c Notes,
Upgraded to Baa1 (sf); previously on Mar 20, 2015 Ba1 (sf)
Placed Under Review for Possible Upgrade
Issuer: RMAC SECURITIES No. 1 PLC Series 2006-NS2
....GBP210.6M Class A2a Notes,
Affirmed Aa2 (sf); previously on Jul 20, 2011 Downgraded to
Aa2 (sf)
....EUR225M Class A2c Notes, Affirmed
Aa2 (sf); previously on Jul 20, 2011 Downgraded to Aa2 (sf)
....GBP26M Class M1a Notes, Upgraded
to Aa2 (sf); previously on Mar 20, 2015 A1 (sf) Placed Under
Review for Possible Upgrade
....EUR37.5M Class M1c Notes,
Upgraded to Aa2 (sf); previously on Mar 20, 2015 A1 (sf) Placed
Under Review for Possible Upgrade
....EUR35.6M Class M2c Notes,
Upgraded to A1 (sf); previously on Mar 20, 2015 Baa1 (sf) Placed
Under Review for Possible Upgrade
....GBP15M Class B1a Notes, Confirmed
at Ba2 (sf); previously on Mar 20, 2015 Ba2 (sf) Placed Under
Review for Possible Upgrade
....EUR13.8M Class B1c Notes,
Confirmed at Ba2 (sf); previously on Mar 20, 2015 Ba2 (sf)
Placed Under Review for Possible Upgrade
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.
Christophe Larpin
Vice President - Senior 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
Carole Bernard
Vice President - Senior Analyst
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 rating actions in RMAC 2005-NSP2 PLC, RMAC SECURITIES No. 1 PLC Series 2006-NS1 and RMAC SECURITIES No. 1 PLC Series 2006-NS2