London, 19 October 2012 -- Moody's Investors Service has completed a performance review of the UK
Non-Conforming (NC) RMBS sector and updated its portfolio loss
assumptions in 17 transactions and MILAN CE in 4 transaction out of 81
transactions reviewed. A list of the 17 transactions with the updated
assumptions is available at the following link: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF303093.
Today's update reflects the collateral performance to date and Moody's
negative outlook for the UK NC RMBS sector. In 11 out of 17 affected
transactions Moody's has increased its lifetime loss assumption,
as the performance of the underlying mortgage portfolios to date has been
worse than previously assumed. The remaining six transactions are
performing better than expected. This review of the assumptions
has no rating implications because (1) the credit enhancement available
under the corresponding notes fully offsets the effect of the increase
of the loss assumption; and (2) the decrease of the loss assumption
is not sufficient to upgrade the rating.
Expected loss assumptions remain subject to uncertainties such as general
future economic activity, interest rates and house prices.
Lower than assumed realised recovery rates or higher than assumed default
rates would negatively affect the ratings of the transactions.
TRANSACTION OVERVIEWS
CLAVIS SECURITIES PLC: SERIES 2007-1
As of September 2012, cumulative losses as a percentage of the original
portfolio balance amounted to 0.8%. Loans delinquent
by more than 90 days (including outstanding repossessions) amounted to
14.8% of the current portfolio balance. After considering
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 increased its lifetime expected loss assumption for the portfolio
from 1.7% to 2.4% of the original portfolio
balance. This is the first change of the expected loss assumption
since closing of the transaction in May 2007.
EMF-UK 2008-1 PLC
As of September 2012, cumulative losses as a percentage of the original
portfolio balance amounted to 1.1%, up from 0.8%
as of December 2010 (latest data point available as of the last change
of the expected loss assumption). Loans delinquent by more than
90 days (including outstanding repossessions) as a percentage of the current
portfolio balance amount to 11.3%, an increase from
7.8% as of December 2010. Taking into account the
performance of the underlying mortgage portfolio to date, Moody's
has increased its lifetime expected loss assumption for the portfolio
from 3.0% to 4.1% of the original portfolio
balance. Moody's has also increased the MILAN CE from 13.5%
to 14.7%.
EUROSAIL 2006-2BL PLC
As of September 2012, cumulative losses as a percentage of the original
portfolio balance amounted to 4.2%, up from 2.0%
as of June 2009 (latest data point available as of the last change of
the expected loss assumption). Loans delinquent by more than 90
days (including outstanding repossessions) as a percentage of the current
portfolio balance amount to 27.8%, an increase from
22.8% as of June 2009. Taking into account the performance
of the underlying mortgage portfolio to date, Moody's has increased
its lifetime expected loss assumption for the portfolio from 6.5%
to 7.1% of the original portfolio balance.
EUROSAIL 2006-3NC PLC
As of June 2012, cumulative losses as a percentage of the original
portfolio balance amounted to 3.9%, up from 1.5%
as of June 2009 (latest data point available as of the last change of
the expected loss assumption). Loans delinquent by more than 90
days (including outstanding repossessions) as a percentage of the current
portfolio balance amounted to 36.9%, an increase from
31.5% as of June 2009. Taking into account the performance
of the underlying mortgage portfolio to date, Moody's has increased
its lifetime expected loss assumption for the portfolio from 7.5%
to 8.5% of the original portfolio balance. Moody's
has also increased the MILAN CE from 33.0% to 40.0%.
EUROSAIL-UK 2007-1NC PLC
As of September 2012, cumulative losses as a percentage of the original
portfolio balance amounted to 4.5%, up from 4.0%
as of July 2011 (latest data point available as of the last change of
the expected loss assumption). Loans delinquent by more than 90
days (including outstanding repossessions) as a percentage of the current
portfolio balance amounted to 35.5% and loans more than
360 days delinquent amounted to 6.0% of the outstanding
principal balance. Taking into account the performance of the underlying
mortgage portfolio to date, Moody's has increased its lifetime expected
loss assumption for the portfolio from 9.0% to 10.0%
of the original portfolio balance. Moody's has also increased the
MILAN CE from 31.0% to 37.0%.
MORTGAGES NO 6 PLC
As of July 2012, cumulative losses as a percentage of the original
portfolio balance amounted to 0.8%, which is lower
than previously expected by Moody's. Loans delinquent by
more than 90 days (including outstanding repossessions) as a percentage
of the current portfolio balance amounted to 20.4%.
Taking into account the performance of the underlying mortgage portfolio
to date, Moody's has decreased its lifetime expected loss assumption
for the portfolio from 2.1% to 1.4% of the
original portfolio balance. This is the first change of the expected
loss assumption since closing of the transaction in December 2004.
Moody's has also increased the MILAN CE from 15.0% to 17.5%.
MORTGAGES NO 7 PLC
As of July 2012, cumulative losses as a percentage of the original
portfolio balance amounted to 1.3%. Loans delinquent
by more than 90 days (including outstanding repossessions) as a percentage
of the current portfolio balance amounted to 24.4%.
Taking into account the performance of the underlying mortgage portfolio
to date, Moody's has increased its lifetime expected loss assumption
for the portfolio from 2.1% to 2.4% of the
original portfolio balance. This is the first change of the expected
loss assumption since closing of the transaction in August 2005.
PREFERRED RESIDENTIAL SECURITIES 05-1 PLC
As of August 2012, cumulative losses as a percentage of the original
portfolio balance amounted to 2.6%, up from 2.4%
as of August 2009 (latest data point available as of the last change of
the expected loss assumption). Loans delinquent by more than 90
days (including outstanding repossessions) as a percentage of the current
portfolio balance amounted to 33.0%, an increase from
21.1% as of August 2009. Despite the increase in
delinquencies the loss realisation has been lower than previously assumed
by Moody's, mostly due to lower than previously assumed loss
severity of 16.9% over the period. Taking into account
the performance of the underlying mortgage portfolio to date, Moody's
has decreased its lifetime expected loss assumption for the portfolio
from 5.5% to 4.0% of the original portfolio
balance.
PREFERRED RESIDENTIAL SECURITIES 06-1 PLC
As of September 2012, cumulative losses as a percentage of the original
portfolio balance amounted to 3.3%, up from 2.5%
as of September 2009 (latest data point available as of the last change
of the expected loss assumption). Loans delinquent by more than
90 days (including outstanding repossessions) as a percentage of the current
portfolio balance amounted to 28.2%, an increase from
21.8% as of September 2009. Despite the increase
in delinquencies the loss realisation has been lower than previously assumed
by Moody's, mostly due to lower than previously assumed loss
severity of 21.9% over the period. Taking into account
the performance of the underlying mortgage portfolio to date, Moody's
has decreased its lifetime expected loss assumption for the portfolio
from 6.5% to 6.0% of the original portfolio
balance.
RESLOC UK 2007-1 PLC
As of September 2012, cumulative losses as a percentage of the original
portfolio balance amounted to 2.8%, up from 2.2%
as of September 2010 (latest data point available as of the last change
of the expected loss assumption). The loss realisation has been
higher than previously assumed by Moody's. Loans delinquent
by more than 90 days (including outstanding repossessions) as a percentage
of the current portfolio balance amounted to 10.7% broadly
in line with 11.6% as of September 2010. Taking into
account the performance of the underlying mortgage portfolio to date,
Moody's has increased its lifetime expected loss assumption for the portfolio
from 5.0% to 6.0% of the original portfolio
balance.
RMAC 2003-NS3 PLC
As of September 2012, cumulative losses as a percentage of the original
portfolio balance amounted to 0.4%, up from 0.2%
as of December 2008 (latest data point available as of the last change
of the expected loss assumption). Loans delinquent by more than
90 days (including outstanding repossessions) as a percentage of the current
portfolio balance amounted to 12.8%, an increase from
10.1% as of December 2008. Taking into account the
performance of the underlying mortgage portfolio to date, Moody's
has increased its lifetime expected loss assumption for the portfolio
from 0.4% to 0.5% of the original portfolio
balance.
RMAC 2003-NS4 PLC
As of September 2012, cumulative losses as a percentage of the original
portfolio balance amounted to 0.4%, up from 0.3%
as of December 2008 (latest data point available as of the last change
of the expected loss assumption). Loans delinquent by more than
90 days (including outstanding repossessions) as a percentage of the current
portfolio balance amounted to 19.1%, an increase from
10.6% as of December 2008. Taking into account the
performance of the underlying mortgage portfolio to date, Moody's
has increased its lifetime expected loss assumption for the portfolio
from 0.5% to 0.6% of the original portfolio
balance.
RMAC 2004-NS3 PLC
As of September 2012, cumulative losses as a percentage of the original
portfolio balance amounted to 0.5%, which is lower
than previously expected by Moody's. Loans delinquent by
more than 90 days (including outstanding repossessions) as a percentage
of the current portfolio balance amounted to 15.8%.
Taking into account the performance of the underlying mortgage portfolio
to date, Moody's has decreased its lifetime expected loss assumption
for the portfolio from 1.7% to 1.0% of the
original portfolio balance. This is the first change of the expected
loss assumption since closing of the transaction in June 2004.
RMAC SECURITIES No. 1 PLC Series 2006-NS2
As of September 2012, cumulative losses as a percentage of the original
portfolio balance amounted to 1.9%, up from 0.5%
as of December 2008 (latest data point available as of the last change
of the expected loss assumption). Loans delinquent by more than
90 days (including outstanding repossessions) as a percentage of the current
portfolio balance amounted to 17.7%, an increase from
15.4% as of December 2008. Taking into account the
performance of the underlying mortgage portfolio to date, Moody's
has increased its lifetime expected loss assumption for the portfolio
from 3.3% to 4.2% of the original portfolio
balance.
RMAC SECURITIES No. 1 PLC Series 2006-NS4
As of September 2012, cumulative losses as a percentage of the original
portfolio balance amounted to 2.2%, up from 0.4%
as of December 2008 (latest data point available as of the last change
of the expected loss assumption). Loans delinquent by more than
90 days (including outstanding repossessions) as a percentage of the current
portfolio balance amount to 17.8%, an increase from
10.2% as of December 2008. Taking into account the
performance of the underlying mortgage portfolio to date, Moody's
has increased its lifetime expected loss assumption for the portfolio
from 4.5% to 5.7% of the original portfolio
balance.
SOUTHERN PACIFIC FINANCING 05-B PLC
As of September 2012, cumulative losses as a percentage of the original
portfolio balance amounted to 1.6%, up from 1.3%
as of September 2009 (latest data point available as of the last change
of the expected loss assumption). This loss realization is lower
than was previously assumed by Moody's. Loans delinquent
by more than 90 days (including outstanding repossessions) as a percentage
of the current portfolio balance amounted to 20.7%,
a decrease from 22.4% as of September 2009. Taking
into account the performance of the underlying mortgage portfolio to date,
Moody's has decreased its lifetime expected loss assumption for the portfolio
from 3.5% to 3.0% of the original portfolio
balance.
SOUTHERN PACIFIC FINANCING 06-A PLC
As of September 2012, cumulative losses as a percentage of the original
portfolio balance amounted to 2.9%, up from 2.5%
as of March 2010 (latest data point available as of the last change of
the expected loss assumption). This loss realisation is lower than
was previously assumed by Moody's. Loans delinquent by more
than 90 days (including outstanding repossessions) as a percentage of
the current portfolio balance amounted to 24.6%, a
minor increase from 23.3% as of March 2010. Taking
into account the performance of the underlying mortgage portfolio to date,
Moody's has decreased its lifetime expected loss assumption for the portfolio
from 5.5% to 5.0% of the original portfolio
balance.
PRINCIPAL METHODOLOGIES
The methodologies used in these reviews were Moody's Approach to Rating
RMBS in Europe, Middle East, and Africa published in June
2012, and Revising Default/Loss Assumptions Over the Life of an
ABS/RMBS Transaction published in December 2008. Please see the
Credit Policy page on www.moodys.com for a copy of these
methodologies.
In addition to the information provided below please find on the ratings
tab of the issuer page at www.moodys.com, for each
of the ratings covered, Moody's disclosures on the lead rating
analyst and the Moody's legal entity that has issued each of the
ratings.
Lyudmila Udot
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
Barbara Rismondo
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 updates assumptions in 17 UK non-conforming RMBS deals
