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Announcement:

Moody's updates on Wolfhound Funding 2008-1 Ltd, Irish RMBS

21 Dec 2009

Approximately EUR 4.3 billion of debt securities affected

London, 21 December 2009 -- Moody's Investors Service has reviewed the impact of a series of amendments to the transaction documents of Wolfhound Funding 2008-1 Ltd (Wolfhound 2008-1) and has taken no rating action on the notes issued by this Irish RMBS.

TRIGGER BREACHES

On 5 August 2009 the senior unsecured debt rating of Bank of Scotland (Ireland) (BoSI) was downgraded from A2/P-1 to Baa1/P-2. Under Wolfhound 2008-1 BoSI acts as originator, seller, liquidity facility provider, interest rate swap provider, transaction account bank, collections account bank, subordinated loan provider, servicer and cash manager.

As a result this downgrade Wolfhound 2008-1 incurred several rating trigger breaches within the transaction documentation. Moody's notes that the following remedial actions have been taken:

On 4 September 2009, as required under the original transaction documents, the full amount of EUR 172 million available under the liquidity facility was drawn and placed in the transaction account. Originally EUR 43 million of this facility was available exclusively for the purchase of further advances in between interest payment dates. On 2 December 2009 this part of the liquidity facility was cancelled, the stand-by drawing has therefore been reduced to EUR 129 million.

On 2 December 2009, Bank of Scotland plc (BoS, Aa3/P-1) was appointed guarantor of the obligations of BoSI under the interest rate swap agreement, in line with the requirement of the schedule to the ISDA agreement signed at closing. Moody's notes that the swap documents in this transaction are consistent with Moody's current swap criteria as described in Moody's report titled "Framework for De-Linking Hedge Counterparty Risks from Global Structured Finance Cashflow Transactions".

The original transaction documents required that upon a downgrade of BoSI below P-1 the Issuer had to transfer the collections account and the transaction account to a suitably rated bank. According to the amendment agreement signed on 2 December 2009 the transaction parties have agreed to keep the accounts with BoSI and to put in place the following structural changes:

1. Bank of Scotland plc (BoS, Aa3/P-1) has been appointed guarantor of the obligations of BoSI as transaction account bank. If BoSI defaults on its obligations the guarantor is obligated to pay promptly and in full the amounts on the transaction account as required under the transaction documents up to a limit of EUR 800 million.

2. Within 180 days from 2 December 2009 the cash manager will open and maintain an additional account in the name of the issuer with a sufficiently rated third party bank which can be used to deposit the issuer's funds in case BoSI were to become insolvent.

3. The cash manager is obligated to invest excess funds over EUR 800 million in authorised investments with a P-1 entity. These investments could be euro denominated demand or time deposits, certificates of deposit and short term debt obligations that mature prior to the following distribution date, and may be terminated or demanded by the issuer without a cost.

4. To mitigate any liquidity and commingling risk associated with the collections account, in case BoSI becomes insolvent, EUR 215 million has been deposited into the transaction account as a pre-funding loan. Should there be any disruption in the existing daily sweep from the collections account to the transaction account this pre-funding loan can be used to cover the resulting revenue and interest shortfall. Any amounts used are only repaid if and when the disrupted payments are recovered from the collections account.

5. Should BOSI be downgraded below Baa3 then the borrowers will be notified of the sale of the mortgage loans to the issuer including a request to redirect future payments directly into the issuer's transaction account thereby further mitigating any commingling risk.

In Moody's opinion these amendments are sufficient to mitigate the risks associated with BoSI continuing to act as collections and transaction account bank in this transaction. The amount of the guarantee is sufficient to fully cover the reserve fund (EUR 172 million), the liquidity facility standby drawing (EUR 129 million), the pre-funding loan (EUR 215 million) and an additional EUR 284 million of principal and interest collections. In addition the pre-funding loan is equal to two months of principal collections assuming 30% repayment of the notional per year and together with the daily transfer of all funds to the Issuer account, this is sufficient to mitigate the potential commingling risk in case BoSI were to become insolvent prior to the breach of the transfer trigger.

Additionally, on 2 December 2009, the documentation has been amended so BoS guarantees that BoSI will perform its duties as a cash manager and day to day servicer. If BoSI becomes insolvent:

a. BoS will appoint a member of the Lloyds Banking Group to step in as servicer and cash manager with the same terms and conditions drafted in the cash management and servicing agreements.

b. BoS guarantees that the special servicing responsibilities will be assumed in full by another member of Lloyds within 30 business days from the insolvency date.

Today's update relates to the amendments of the transaction documents only and should not be taken to imply that Moody's will not take a rating action in respect of the securities by virtue of any other events or circumstances that may be occurring now or that occur in the future. There has been no rating action on Wolfhound 2008-1 since the initial ratings were issued on 20 November 2008.

The principal methodology used in monitoring the transaction is "Moody's MILAN Methodology for Rating Irish RMBS" published in April 2009, which can be found at www.moodys.com in the Credit Policy & Methodologies directory, in the Ratings Methodologies subdirectory. Other methodologies and factors that may have been considered in the process of rating this issue can also be found in the Credit Policy & Methodologies directory.

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 risks have not been addressed, but may have a significant effect on yield to investors.

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

London
Anthony Parry
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's updates on Wolfhound Funding 2008-1 Ltd, Irish RMBS
No Related Data.
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