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Announcement:

Moody's updates assumptions in 3 Prime and Buy-to-Let UK RMBS deals

19 Oct 2012

London, 19 October 2012 -- Moody's Investors Service has today updated its loss assumptions in one prime and two buy-to-let (BTL) UK RMBS deals, following a performance review of the UK prime and BTL RMBS non master trust sector, which included 38 Moody's rated deals. The affected deals are Trinity Financing Plc, Auburn Securities 3 PLC and Ludgate Funding Series 2007-FF1, respectively. The rating agency has taken no rating actions on the deals, as (1) the levels of credit enhancement available in Trinity Financing Plc and Ludgate Funding Series 2007-FF1 offsets performance deterioration, and (2) ratings of notes in Auburn Securities 3 PLC are capped at the current level due to payment disruption risks.

The remaining 35 transactions are performing in line with expectations.

TRANSACTION OVERVIEWS

TRINITY FINANCING PLC

As of August 2012, cumulative losses as a percentage of the original portfolio balance amounted to 0.2%. Loans delinquent by more than 90 days (including outstanding repossessions) amounted to 5.3% 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 0.8% to 1.5% of the original portfolio balance. This is the first change of the expected loss assumption since closing of the transaction in December 2008.

AUBURN SECURITIES 3 PLC

As of September 2012, cumulative losses as a percentage of the original portfolio balance amounted to 0.02%. Loans delinquent by more than 90 days (including outstanding repossessions) amounted to 0.4% of the current portfolio balance. 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 0.8% to 0.3% of the original portfolio balance. This is the first change of the expected loss assumption since the closing of the transaction in November 2002.

This decrease in the loss assumption has no rating implications because of exposure to payment disruption risk. Detailed analysis of the payment disruption risk is contained in "Moody's downgrades ratings on UK RMBS notes issued by Auburn Securities 3, 4 and 5", 02 June 2011.

LUDGATE FUNDING SERIES 2007-FF1

As of October 2012, cumulative losses as a percentage of the original portfolio balance amounted to 1.7%, up from 1.0% as of October 2010 (latest data point available as of the last change of the expected loss assumption), which is worse than previously assumed. Loans delinquent by more than 90 days (including outstanding repossessions) as a percentage of the current portfolio balance amounted to 3.8%, a decrease from 4.9% 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 3.0% to 4.3% of the original portfolio balance.

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.

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 3 Prime and Buy-to-Let UK RMBS deals
No Related Data.
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