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Rating Action:

Moody's upgrades four UK RBMS deals following upgrade of Danske Bank A/S

08 Dec 2014

London, 08 December 2014 -- Moody's Investors Services has today upgraded seven notes in four UK residential mortgage backed securities (RMBS) deals: Eurosail PRIME-UK 2007-A PLC, Eurosail-UK 2007-6NC PLC, Mansard Mortgages 2006-1 PLC and Mansard Mortgages 2007-1 PLC. Upgrade of Danske Bank A/S that acts as an issuer account bank in the affected deals prompted today's upgrades. Moody's upgraded the long-term rating of Danske Bank A/S to A3 from Baa1 on 27 November 2014 (http://www.moodys.com/viewresearchdoc.aspx?docid=PR_313860).

LIST OF AFFECTED RATINGS

Issuer: Eurosail PRIME-UK 2007-A PLC

....GBP270M A1 Notes, Upgraded to Aa1 (sf); previously on Aug 1, 2014 Upgraded to Aa2 (sf)

Issuer: Eurosail-UK 2007-6NC PLC

....GBP79.6M A2a Notes, Upgraded to Aa1 (sf); previously on Jun 5, 2014 Upgraded to Aa2 (sf)

....GBP122.1001M A3a Notes, Upgraded to A2 (sf); previously on Jun 5, 2014 Upgraded to A3 (sf)

Issuer: Mansard Mortgages 2006-1 PLC

....GBP217.5M A2 Notes, Upgraded to Aa1 (sf); previously on May 23, 2014 Downgraded to Aa2 (sf)

....GBP65M M1 Notes, Upgraded to Aa2 (sf); previously on May 23, 2014 Confirmed at Aa3 (sf)

Issuer: Mansard Mortgages 2007-1 PLC

....GBP97.5M A2a Notes, Upgraded to Aa1 (sf); previously on May 23, 2014 Downgraded to Aa2 (sf)

....GBP36.25M M1a Notes, Upgraded to Aa2 (sf); previously on May 23, 2014 Affirmed Aa3 (sf)

RATINGS RATIONALE

Today's upgrades reflect decrease in counterparty risk following the upgrade of Danske Bank A/S. The issuers holds collections, reserve account balance and, in case of both Mansard Mortgages deals, standby liquidity facility drawing balance with Danske Bank A/S. Moody's considers the replacement trigger as ineffective because Danske Bank A/S continues acting as an issuer account bank following the replacement trigger breach in March 2012.

The ratings of the senior and senior mezzanine notes in the affected deals are linked to the ratings of Danske Bank A/S. Moody's assessed the risk and effect of a default of Danske Bank A/S on the issuer's ability to meet its obligation in the transaction. Moody's applied the methodology outlined in "Temporary use of cash in structured finance transactions: Eligible Investment and Bank Guidelines" published in March 2013 in analysing the degree of linkage.

The key collateral assumptions have not been updated as part of this review. The performance of the underlying asset portfolios remain in line with Moody's assumptions. Moody's has a positive outlook for UK RMBS transactions.

Sensitivity of the ratings to increases in key collateral assumptions has been incorporated into the quantitative analysis. The results of the sensitivity analysis limited the potential upgrade of the mezzanine and junior ratings in the affected deals.

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) a 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) a worse than expected performance of the underlying collateral (2) deterioration in the notes' available credit enhancement and (3) deterioration in the credit quality of the transaction counterparties.

The principal methodology used in these ratings was "Moody's Approach to Rating RMBS Using the MILAN Framework" published in March 2014. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

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.

Moody's did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of these transactions in the past six months.

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.

As the section on loss and cash flow analysis describes, 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.

Lyudmila Udot
Asst Vice President - 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/Manager
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 upgrades four UK RBMS deals following upgrade of Danske Bank A/S
No Related Data.
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