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Rating Action:

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

17 Jun 2015

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
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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CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT INTENDED FOR USE BY ANY PERSON AS A BENCHMARK AS THAT TERM IS DEFINED FOR REGULATORY PURPOSES AND MUST NOT BE USED IN ANY WAY THAT COULD RESULT IN THEM BEING CONSIDERED A BENCHMARK.

All information contained herein is obtained by MOODY’S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, all information contained herein is provided “AS IS” without warranty of any kind. MOODY'S adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources MOODY'S considers to be reliable including, when appropriate, independent third-party sources. However, MOODY’S is not an auditor and cannot in every instance independently verify or validate information received in the rating process or in preparing the Moody’s publications.

To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability to any person or entity for any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with the information contained herein or the use of or inability to use any such information, even if MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers is advised in advance of the possibility of such losses or damages, including but not limited to: (a) any loss of present or prospective profits or (b) any loss or damage arising where the relevant financial instrument is not the subject of a particular credit rating assigned by MOODY’S.

To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information.

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Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any rating, agreed to pay to Moody’s Investors Service, Inc. for ratings opinions and services rendered by it fees ranging from $1,000 to approximately $2,700,000. MCO and MIS also maintain policies and procedures to address the independence of MIS’s ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”

Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.

Additional terms for Japan only: Moody's Japan K.K. (“MJKK”) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody’s Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody’s SF Japan K.K. (“MSFJ”) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.

MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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