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Rating Action:

Moody's upgrades notes in Granite Master Trust

24 Jun 2015

London, 24 June 2015 -- Moody's Investors Service has today upgraded the ratings of 62 notes issued from the Granite UK residential mortgage-backed securities (RMBS) master trusts. These upgrades were primarily driven by the assignment of counterparty risk assessments (CR Assessments) to various FX swap counterparties in the trusts (the Swap Counterparties). This also reflects the higher than initially anticipated Senior Unsecured Rating of The Royal Bank of Scotland plc (RBS) combined with our assessment of the effectiveness of certain rating triggers to mitigate the exposure to RBS as FX swap counterparty. This action concludes the review initiated on March 20, 2015 due to the updates to Moody's structured finance rating methodologies to incorporate the new CR Assessment for banks. In addition Moody's has today withdrawn 3 short term ratings following the termination of remarketing and conditional purchase agreements.

On May 28, 2015 Moody's assigned the following CR Assessments to the Swap Counterparties: Barclays Bank PLC (A1(cr)), BNP Paribas (Aa3(cr)), Credit Suisse International (Aa3(cr)), Deutsche Bank AG, London Branch (A2(cr)), Goldman Sachs Bank USA (Aa3(cr)) and HSBC Bank plc (Aa1(cr)) (http://www.moodys.com/viewresearchdoc.aspx?docid=PR_326277). Also on May 28, 2015, Moody's upgraded the senior unsecured ratings of RBS to A3 from Baa1.

Please click on this http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF411628 for the List of Affected Credit Ratings. This list is an integral part of this Press Release and identifies each affected issuer.

RATINGS RATIONALE

Today's rating actions reflect (1) the assignment of the CR Assessment to the Swap Counterparties; (2) Moody's assessment of the effectiveness of the transfer triggers in the relevant swaps provided by RBS and (3) termination of the remarketing and conditional purchase agreements.

--- ASSIGNMENT OF NEW COUNTERPARTY RISK (CR) ASSESSMENT

The assignment of the above CR Assessments, which is one notch higher than the corresponding senior unsecured rating for Barclays Bank PLC, BNP Paribas, Credit Suisse International, Deutsche Bank AG, London Branch, Goldman Sachs Bank USA and HSBC Bank plc results in a decrease in the probability of losing the benefit of hedging provided by the Swap Counterparties.

A CR Assessment reflects the probability that a bank will default on certain senior operating obligations and other contractual commitments. Moody's uses CR Assessments to measure the risk of default for various bank exposures faced by structured finance transactions, including exposures to swap counterparties.

As part of its swap analysis, Moody's, has given less benefit to pre-2007 swaps which contain material inconsistencies with the Model Swap Framework set out in its current criteria. Full benefit is given to newer swaps if they are substantially consistent with the Model Swap Framework and include collateral volatility buffers that Moody's gives value to under its swap criteria. Furthermore, given the uncertainty of transaction documentation as to whether deal credit enhancement is available to cover swap losses, Moody's has assessed these transactions using both the scenario where credit enhancement is available, and the scenario where swap losses are allocated directly to the affected note. In the absence of credit enhancement, should the transactions become unhedged there is potential for high loss severities on these tranches.

--- LINKAGE TO RBS

Following the upgrade of RBS' long term senior unsecured rating to A3 from Baa1, the transfer trigger breach that occurred under the FX swap agreement upon the downgrade of RBS' senior unsecured rating to Baa1 on March 13, 2014 (the 2014 Trigger Breach) has been cured. However, the trigger will be breached again in the event of a future downgrade of RBS' senior unsecured rating below A3. Moreover, although RBS did not take remedial action to cure the Trigger Breach prior to its recent upgrade, Moody's understands that RBS had planned to take such action and is confident it would have done so. Moody's is now giving full benefit to the transfer trigger in accordance with its swap methodology.

--- RATING WITHDRAW

Moody's has withdrawn the short term rating of P-1 assigned to Granite Master Issuer 2006-3 class A4, Granite Master Issuer 2006-1 class A1 and Granite Master Issuer 2007-2 class 4A1 following the termination of the remarketing and conditional purchase agreement with Barclays Bank PLC.

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 on www.moodys.com for a copy of this methodology.

The analysis undertaken by Moody's at the initial assignment of ratings for RMBS securities 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 are (1) performance of the underlying collateral that exceeds Moody's expectations; (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 are (1) performance of the underlying collateral that does not meet Moody's expectations; (2) deterioration in the notes' available credit enhancement; and (3) deterioration in the credit quality of the transaction counterparties.

REGULATORY DISCLOSURES

Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF411628 for the List of Affected Credit Ratings. This list is an integral part of this Press Release and provides, for each of the credit ratings covered, Moody's disclosures on the following items:

- Lead analyst

- Key Rationale for Action

- Principal Methodology

- Person Approving the Credit Rating

- Releasing office

- Loss and Cash Flow Analysis

- Stress Scenarios

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.

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.

Steven Becker
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

Annabel Schaafsma
MD - Structured Finance
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 notes in Granite Master Trust
No Related Data.
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