Untitled

U.K. RMBS Index Report Q4 2013:Improved Performance Reflects TheHousing Market's Recovery AndStrong Economic Upturn

Primary Credit Analyst:

Anne-Marie Lam, London (44) 20-7176-2981; [email protected]

Secondary Contact:

Neil Monro, London (44) 20-7176-6733; [email protected]

Data Analyst:

Shilpi Purkayastha, Data Analyst, London (44) 20-7176-3940;

[email protected]

Table Of Contents

Related Criteria And Research

STRUCTURED

FINANCE

RESEARCH

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT FEBRUARY 26, 2014 1

1264406 | 300051529

U.K. RMBS Index Report Q4 2013: ImprovedPerformance Reflects The Housing Market'sRecovery And Strong Economic UpturnTable 1

Performance Indicators

(%) Q4 2013 Q3 2013 Q2 2013 Q1 2013 Q4 2012

Total delinquencies (including repossessions)

U.K. nonconforming 23.20 23.58 24.16 25.06 25.54

U.K. prime 4.40 4.41 4.51 4.55 4.25

U.K. buy-to-let 5.70 5.72 5.77 5.92 5.91

90+ day delinquencies (including repossessions)


U.K. prime 2.20 2.29 2.32 2.35 2.22

U.K. buy-to-let 3.10 3.07 3.07 3.20 3.18

Prepayment rate


U.K. prime 17.70 17.69 15.77 14.40 13.75

U.K. buy-to-let 5.00 4.42 4.27 3.07 3.66

House price growth*

Halifax 1.90 1.96 2.12 1.40 0.60

Nationwide 2.70 2.20 0.70 0.80 0.40

Economic data§

Real GDP growth* 0.70 0.80 0.70 0.40 (0.30)

Unemployment rate 7.10 7.70 7.80 7.80 7.80

*Quarter-on-quarter, seasonally-adjusted. §Source: Office for National Statistics.

Table 2

Scenarios For U.K. RMBS Collateral: 2013 To 2015

Actual Baseline Downside Comment

Baseline effect

on collateral

credit quality

2012 2013 2014 2015 2014 2015

Real GDP (year-on-year

growth; %)

0.1 1.5 2.3 2.0 2.8 0.3 The U.K. is one of the few European

countries that has seen growth in 2013,

with a further pick-up likely in 2014

Somewhat

favorable

Unemployment rate

(annual average; %)

8.0 7.7 7.5 7.2 7.0 8.2 Unemployment is gradually declining

from its peak, but will remain relatively

elevated

Neutral

House prices

(year-on-year growth; %)

2.3 4.0 5.0 5.0 N/A N/A Government measures to support

homebuyers and lenders will continue

to support house prices

Somewhat

favorable


1264406 | 300051529

Table 2

Scenarios For U.K. RMBS Collateral: 2013 To 2015 (cont.)

Net mortgage lending

(year-on-year growth in

balances, %)

1.6 0.9 1.4 3.1 N/A N/A Lending growth is gaining momentum

as the Bank of England's very

accomodative monetary policy is

keeping interest rates at a historically

low level.

Somewhat

favorable

Bank of England policy

rate (annual average; %)

0.5 0.5 0.5 1.0 N/A N/A No changes likely in the short term Neutral

Sources: Office for National Statistics, OECD, Bank of England, Standard & Poor's. N/A--Not available.

In Q4 2013, 90+ day and total delinquencies continued to decline in Standard & Poor's Ratings Services' U.K.

nonconforming residential mortgage-backed securities (RMBS) index. Delinquencies in our prime and buy-to-let

indices were stable quarter-on-quarter, while prepayment rates increased across all of our three indices.

U.K. unemployment decreased to 7.1% in Q4 2013, close to the 7.0% level highlighted by the Bank of England as a

threshold for its policy guidance. In its February inflation report, the Bank of England Monetary Policy Committee

indicated that interest rates may need to remain at low levels for some time to come. GDP rose by 0.7%

quarter-on-quarter and by 1.9% in 2013. In our opinion, further growth is likely in 2014. However, our downside

scenario for the U.K. economy is a boom and bust cycle, with an increase of 2.8% followed by a 0.3% increase in 2015

(see table 2 and "Credit Conditions: Europe Sees A Slight Improvement, But Structural Weaknesses Persist," published

on Dec. 9, 2013).

Overview

• In Q4 2013, delinquencies in our U.K. nonconforming RMBS index continued to decline, while they remained

flat in our buy-to-let and prime indices.

• U.K. unemployment decreased to 7.1% and GDP rose by 0.7% quarter-on-quarter.

• Despite relatively tight mortgage affordability standards, we forecast that the housing market will continue its

revival.

• With U.K. interest rates remaining at historic lows and attractive mortgage rates available, prepayments

continue to increase.

• We rated three new transactions.

House prices and net mortgage lending have increased in the U.K. as the government continues with measures to

support homebuyers. Despite relatively tight mortgage affordability standards, we forecast that the housing market will

continue its revival. We have raised our house price forecast to an average increase of 5% in both 2014 and 2015 (see

"Europe's Housing Markets May Be On A Slow Path To Recovery," published on Jan. 22, 2014).

Delinquencies in our nonconforming index totaled 23.2%, down from 23.6% in Q3 2013 and 25.5% in Q4 2012. This

decline largely occurred in the 90+ day category, which saw a quarter-on-quarter decline to 14.6% from 15.1%, and

from 16.6% a year ago. Total delinquencies in our prime and buy-to-let indices have remained at 4.4% and 5.7%,

respectively.


1264406 | 300051529

U.K. RMBS Index Report Q4 2013: Improved Performance Reflects The Housing Market's Recovery And StrongEconomic Upturn

We took various rating actions in 12 transactions for performance and counterparty reasons (see "Related Criteria And

Research"). In addition, following the lowering of our long- and short-term issuer credit ratings on The Royal Bank of

Scotland PLC, we took various rating actions in a number of European RMBS transactions (see "Ratings Lowered On

45 European RMBS Tranches After RBS Downgrade, 33 Tranches Placed On CreditWatch Negative," and "Ratings

Lowered On 91 U.K. RMBS Tranches In Granite Master Issuer After RBS Downgrade," both published on Nov. 25,

2013). We have recently resolved eight of these CreditWatch placements.

We rated three new transactions: Rochester Financing No. 1 PLC, Residential Mortgage Securities 27 PLC, and Precise

Mortgage Funding No. 1 PLC. We also rated newly issued tranches from Mortgage Funding 2008-1 PLC (see "Related

Criteria And Research").

Counterparty scenario analysis. In order to provide further transparency on the components of our ratings, at the end

of this report, we have set out a scenario analysis using the assumption that all supporting parties are rated 'AAA' in

order to demonstrate the likely ratings, were counterparties not a constraining factor (see charts 17 to 19 and table 3).

Chart 1


1264406 | 300051529


Chart 2


1264406 | 300051529


Chart 3


1264406 | 300051529


Chart 4


1264406 | 300051529


Chart 5


1264406 | 300051529


Chart 6


1264406 | 300051529


Chart 7


1264406 | 300051529


Chart 8


1264406 | 300051529


Chart 9


1264406 | 300051529


Chart 10


1264406 | 300051529


Chart 11


1264406 | 300051529


Chart 12


1264406 | 300051529


Chart 13


1264406 | 300051529


Chart 14


1264406 | 300051529


Chart 15


1264406 | 300051529


Chart 16

Counterparty scenario analysis. We have carried out a scenario analysis using the assumption that all supporting

parties are rated 'AAA' in order to demonstrate the likely ratings—were counterparties not a constraining factor. The

results of this analysis are intended to provide transparency on the components of our ratings and are not credit

ratings in themselves. Note that the ratings list provided in table 3 is current as of the date of this report, and as we

take further rating actions, it may be subject to change.


1264406 | 300051529


Chart 17


1264406 | 300051529


Chart 18


1264406 | 300051529


Chart 19

Table 3

Estimated Ratings Under A Scenario Where All Counterparties Are Rated 'AAA' (Right-Hand Column)

Transaction Class Current rating

Estimated scenario rating if all

counterparties were rated 'AAA'

Aire Valley Mortgages 2004-1 PLC 3 A1 A+ (sf) AAA


Aire Valley Mortgages 2004-1 PLC 3 B1 A+ (sf) AA+


Aire Valley Mortgages 2004-1 PLC 3 C1 A (sf) A


Aire Valley Mortgages 2004-1 PLC 3 D1 BBB (sf) BBB

Aire Valley Mortgages 2004-1 PLC 3 D2 BBB (sf) BBB








1264406 | 300051529


Table 3

Estimated Ratings Under A Scenario Where All Counterparties Are Rated 'AAA' (Right-HandColumn) (cont.)

Aire Valley Mortgages 2006-1 PLC 1 A A+ (sf) AAA











Aire Valley Mortgages 2007-1 PLC

2007-1

1B A (sf) AA+


2007-1

1C A (sf) A


2007-2

2A1 A (sf) AAA


2007-2

2A2 A (sf) AAA


2007-2

2A3 A (sf) AAA


2007-2

2B A (sf) AA+


2007-2

2C A (sf) A

Aire Valley Mortgages 2007-2 PLC A1 AA- (sf) AAA

Aire Valley Mortgages 2007-2 PLC A2 AA- (sf) AAA

Aire Valley Mortgages 2007-2 PLC B AA- (sf) AA+

Aire Valley Mortgages 2007-2 PLC C A (sf) A

Aire Valley Mortgages 2008-1 PLC 1-A1 AA- (sf) AAA




Aire Valley Mortgages 2008-1 PLC 2-C A (sf) A

Aire Valley Mortgages 2008-1 PLC 2-D BBB (sf) BBB

ALBA 2005-1 PLC A3 AAA (sf) AAA

ALBA 2005-1 PLC B A+ (sf) A+

ALBA 2005-1 PLC C BBB- (sf) BBB-

ALBA 2005-1 PLC D BB (sf) BB

ALBA 2005-1 PLC E B (sf) B

ALBA 2006 - 1 PLC A3a AAA (sf) AAA

ALBA 2006 - 1 PLC A3b AAA (sf) AAA

ALBA 2006 - 1 PLC B A+ (sf) A+

ALBA 2006 - 1 PLC C BBB+ (sf) BBB+


1264406 | 300051529


Table 3


ALBA 2006 - 1 PLC D BB (sf) BB

ALBA 2006 - 1 PLC E B (sf) B

ALBA 2006 - 2 PLC A3a A (sf) AAA

ALBA 2006 - 2 PLC B A- (sf) A-

ALBA 2006 - 2 PLC C BBB- (sf) BBB-

ALBA 2006 - 2 PLC D BB (sf) BB


ALBA 2006 - 2 PLC F B- (sf) B-

ALBA 2006 - 2 PLC A3b A (sf) AAA

ALBA 2007 - 1 PLC A2 AAA (sf) AAA

ALBA 2007 - 1 PLC A3 AAA (sf) AAA

ALBA 2007 - 1 PLC B A- (sf) A-

ALBA 2007 - 1 PLC C BBB (sf) BBB

ALBA 2007 - 1 PLC D BB- (sf) BB-


Alba 2013-1 PLC A AAA (sf) AAA

Arkle Master Issuer PLC 2010-1 5A AAA (sf) AAA

Arkle Master Issuer PLC 2010-1 3A2 AAA (sf) AAA



Arkle Master Issuer PLC 2010-1 5B AA (sf) AA

Arkle Master Issuer PLC 2010-1 5M A (sf) A

Arkle Master Issuer PLC 2010-1 5C BBB (sf) BBB


















Auburn Securities 3 PLC A2 AAA (sf) AAA


1264406 | 300051529


Table 3


Auburn Securities 3 PLC M AA- (sf) AA-


Auburn Securities 4 PLC B AAA (sf) AAA

Auburn Securities 4 PLC M AAA (sf) AAA

Auburn Securities 4 PLC C AA (sf) AA

Auburn Securities 4 PLC D BBB (sf) BBB

Auburn Securities 4 PLC E BB- (sf) BB-


Auburn Securities 5 PLC M AAA (sf) AAA

Auburn Securities 5 PLC B AA (sf) AA

Auburn Securities 5 PLC C A (sf) A

Auburn Securities 5 PLC D BBB- (sf) BBB-

Auburn Securities 5 PLC E BB- (sf) BB-

Bluestone Securities PLC 2005-01 A A (sf) AAA

Bluestone Securities PLC 2005-01 B A (sf) AA

Bluestone Securities PLC 2005-01 C BBB (sf) BBB

Bluestone Securities PLC 2005-01 D BB (sf) BB

Bluestone Securities PLC 2006-01 A1 A (sf) AAA

Bluestone Securities PLC 2006-01 B A (sf) A

Bluestone Securities PLC 2006-01 C BB (sf) BB

Bluestone Securities PLC 2006-01 D B- (sf) B-

Bluestone Securities PLC 2006-01 E B- (sf) B-

Bluestone Securities PLC 2006-01 A2 A (sf) AAA

Bluestone Securities PLC 2007-01 A2 A (sf) AA+

Bluestone Securities PLC 2007-01 Az A (sf) AA

Bluestone Securities PLC 2007-01 B A (sf) A

Bluestone Securities PLC 2007-01 C B (sf) B

Bluestone Securities PLC 2007-01 Da B- (sf) B-

Bluestone Securities PLC 2007-01 Db B- (sf) B-

Brunel Residential Mortgage

Securitisation No. 1 PLC

A4a A+ (sf) AAA



A4b A+ (sf) AA



A4c A+ (sf) AAA



B4a A+ (sf) AA-



B4b A+ (sf) AA-



C4a A (sf) A



C4b A (sf) A


1264406 | 300051529


Table 3




C4c A (sf) A



D4a BBB (sf) BBB



D4b BBB (sf) BBB



D4c BBB (sf) BBB

Clavis Securities PLC 2006-01 A3a A (sf) AA-

Clavis Securities PLC 2006-01 M1a A- (sf) A-

Clavis Securities PLC 2006-01 M2a BB+ (sf) BB+

Clavis Securities PLC 2006-01 B1a B+ (sf) B+

Clavis Securities PLC 2006-01 B2a B- (sf) B-

Clavis Securities PLC 2006-01 A3b A (sf) AA-

Clavis Securities PLC 2006-01 M1b A- (sf) A-

Clavis Securities PLC 2006-01 B1b B+ (sf) B+

Clavis Securities PLC 2007-01 A3a A (sf) AA+

Clavis Securities PLC 2007-01 M1a BB+ (sf) BB+

Clavis Securities PLC 2007-01 M2a B+ (sf) B+

Clavis Securities PLC 2007-01 B1a B (sf) B

Clavis Securities PLC 2007-01 B2a B- (sf) B-

Clavis Securities PLC 2007-01 AZa BBB+ (sf) BBB+

Clavis Securities PLC 2007-01 A3b A (sf) AA+

Clavis Securities PLC 2007-01 M1b BB+ (sf) BB+

Clavis Securities PLC 2007-01 M2b B+ (sf) B+

Clavis Securities PLC 2007-01 B1b B (sf) B

Colston No. 1 PLC A AAA (sf)/Watch Neg AAA

Deva Financing PLC A1 AAA (sf) AAA

Deva Financing PLC A2 AA+ (sf) AAA

Deva Financing PLC A3 AA+ (sf) AAA

Deva Financing PLC A4 AA (sf) AA+

EMF-UK 2008-1 PLC A3 CCC (sf) CCC

Eurohome UK Mortgages 2007-1

PLC

A A (sf) AA


PLC

M1 BBB+ (sf) BBB+


PLC

M2 BB (sf) BB


PLC

B1 B (sf) B


PLC

B2 B- (sf) B-


PLC

C B- (sf) B-


1264406 | 300051529


Table 3



PLC

A2 A (sf) AAA


PLC

A3 BBB+ (sf) BBB+


PLC

M1 BBB (sf) BBB


PLC

M2 BB (sf) BB


PLC

B1 B (sf) B


PLC

B2 B- (sf) B-


PLC

C B- (sf) B-


PLC

A1(A) AAA (sf) AAA


PLC

A1(B) AAA (sf) AAA

EuroMASTR PLC 2007-1V A2 A- (sf) AA+

EuroMASTR PLC 2007-1V B A- (sf) AA

EuroMASTR PLC 2007-1V C BBB (sf) BBB

EuroMASTR PLC 2007-1V D B (sf) B

EuroMASTR PLC 2007-1V E B- (sf) B-

Eurosail 2006-1 PLC A2c A+ (sf) AA+

Eurosail 2006-1 PLC B1a A (sf) A

Eurosail 2006-1 PLC B1c A (sf) A

Eurosail 2006-1 PLC C1a BB (sf) BB

Eurosail 2006-1 PLC C1c BB (sf) BB

Eurosail 2006-1 PLC D1a B (sf) B

Eurosail 2006-1 PLC D1c B (sf) B

Eurosail 2006-1 PLC E B- (sf) B-

Eurosail 2006-2BL PLC A2c A+ (sf) AAA

Eurosail 2006-2BL PLC B1a A+ (sf) AA+

Eurosail 2006-2BL PLC B1b A+ (sf) AA+

Eurosail 2006-2BL PLC C1a A+ (sf) A+

Eurosail 2006-2BL PLC C1c A+ (sf) A+

Eurosail 2006-2BL PLC D1a B (sf) B

Eurosail 2006-2BL PLC D1c B (sf) B

Eurosail 2006-2BL PLC E1c B- (sf) B-

Eurosail 2006-2BL PLC F1c B- (sf) B-

Eurosail 2006-3NC PLC A3a A+ (sf) AAA

Eurosail 2006-3NC PLC A3c A+ (sf) AAA

Eurosail 2006-3NC PLC B1a BBB- (sf) BBB-

Eurosail 2006-3NC PLC C1a B+ (sf) B+


1264406 | 300051529


Table 3


Eurosail 2006-3NC PLC C1c B+ (sf) B+

Eurosail 2006-3NC PLC D1a B- (sf) B-

Eurosail 2006-3NC PLC D1c B- (sf) B-

Eurosail 2006-3NC PLC E1c CCC (sf) CCC

Eurosail 2006-3NC PLC FTc BB+ (sf) BB+

Eurosail 2006-4 NP PLC A3a A- (sf) AAA

Eurosail 2006-4 NP PLC A3c A- (sf) AAA

Eurosail 2006-4 NP PLC M1a A- (sf) AA-

Eurosail 2006-4 NP PLC M1c A- (sf) AA-

Eurosail 2006-4 NP PLC B1a BBB (sf) BBB

Eurosail 2006-4 NP PLC C1a BB (sf) BB

Eurosail 2006-4 NP PLC C1c BB (sf) BB

Eurosail 2006-4 NP PLC D1a B (sf) B

Eurosail 2006-4 NP PLC D1c B (sf) B

Eurosail 2006-4 NP PLC E1c B- (sf) B-

Eurosail PRIME-UK 2007-A PLC A B (sf) B

Eurosail PRIME-UK 2007-A PLC B B- (sf) B-

Eurosail PRIME-UK 2007-A PLC C B- (sf) B-

Eurosail PRIME-UK 2007-A PLC D CCC (sf) CCC

Eurosail PRIME-UK 2007-A PLC M B- (sf) B-

Eurosail -UK 2007-1NC PLC A3a A+ (sf) AA+

Eurosail -UK 2007-1NC PLC A3c A+ (sf) AA+

Eurosail -UK 2007-1NC PLC B1a BBB (sf) BBB

Eurosail -UK 2007-1NC PLC B1c BBB (sf) BBB

Eurosail -UK 2007-1NC PLC C1a BB (sf) BB

Eurosail -UK 2007-1NC PLC D1a B- (sf) B-

Eurosail -UK 2007-1NC PLC D1c B- (sf) B-

Eurosail -UK 2007-1NC PLC E1c B- (sf) B-

Eurosail -UK 2007-1NC PLC ETc B- (sf) B-

Eurosail -UK 2007-1NC PLC FTc CCC (sf) CCC

Eurosail -UK 2007-2NP PLC A2a A- (sf) AAA

Eurosail -UK 2007-2NP PLC A2c A- (sf) AAA

Eurosail -UK 2007-2NP PLC A3a A- (sf) AAA

Eurosail -UK 2007-2NP PLC A3c A- (sf) AAA

Eurosail -UK 2007-2NP PLC M1a A- (sf) AAA

Eurosail -UK 2007-2NP PLC M1c A- (sf) AAA

Eurosail -UK 2007-2NP PLC B1a A- (sf) A+

Eurosail -UK 2007-2NP PLC B1c A- (sf) A+

Eurosail -UK 2007-2NP PLC C1a BBB (sf) BBB

Eurosail -UK 2007-2NP PLC D1a B (sf) B

Eurosail -UK 2007-2NP PLC D1c B (sf) B


1264406 | 300051529


Table 3


Eurosail -UK 2007-2NP PLC E1c B- (sf) B-

Eurosail -UK 2007-4BL PLC A2a BB+ (sf) BB+

Eurosail -UK 2007-4BL PLC A3a B (sf) B

Eurosail -UK 2007-4BL PLC A3c B (sf) B

Eurosail -UK 2007-4BL PLC B1a B- (sf) B-

Eurosail -UK 2007-4BL PLC C1a B- (sf) B-

Eurosail -UK 2007-4BL PLC D1a CCC (sf) CCC

Eurosail -UK 2007-4BL PLC E1c CCC (sf) CCC

Eurosail -UK 2007-6NC PLC A2a B (sf) B

Eurosail -UK 2007-6NC PLC A3a B (sf) B

Eurosail -UK 2007-6NC PLC B1a CCC (sf)/Watch Neg CCC

Eurosail -UK 2007-6NC PLC C1a CCC (sf)/Watch Neg CCC

Eurosail -UK 2007-6NC PLC D1a CCC (sf)/Watch Neg CCC

Eurosail-UK 2007-3BL PLC A2a BB- (sf) BB-

Eurosail-UK 2007-3BL PLC A2b BB- (sf) BB-

Eurosail-UK 2007-3BL PLC A2c BB- (sf) BB-

Eurosail-UK 2007-3BL PLC A3a B- (sf) B-

Eurosail-UK 2007-3BL PLC A3c B- (sf) B-

Eurosail-UK 2007-3BL PLC B1a B- (sf) B-

Eurosail-UK 2007-3BL PLC B1c B- (sf) B-

Eurosail-UK 2007-3BL PLC C1a CCC (sf) CCC

Eurosail-UK 2007-3BL PLC C1c CCC (sf) CCC

Eurosail-UK 2007-3BL PLC D1a CCC (sf) CCC

Eurosail-UK 2007-3BL PLC E1c CCC (sf) CCC

Eurosail-UK 2007-5NP PLC A1a B (sf)/Watch Pos B

Eurosail-UK 2007-5NP PLC A1c B (sf)/Watch Pos B

Farringdon Mortgages No. 1 PLC M2a A- (sf) AA+

Farringdon Mortgages No. 1 PLC B1a A- (sf) A+

Farringdon Mortgages No. 1 PLC B2a B- (sf) B-

Farringdon Mortgages No. 2 PLC A2a A- (sf) AAA

Farringdon Mortgages No. 2 PLC A2a DAC A- (sf) AAA

Farringdon Mortgages No. 2 PLC M2a A- (sf) AA

Farringdon Mortgages No. 2 PLC B1a BBB+ (sf) BBB+

Farringdon Mortgages No. 2 PLC B2a B- (sf) B-

First Flexible (No. 7) PLC A AAA (sf) AAA

First Flexible (No. 7) PLC B B- (sf) B-

First Flexible (No. 7) PLC C B- (sf) B-

First Flexible No. 4 PLC A AAA (sf) AAA

First Flexible No. 4 PLC B A (sf) A

First Flexible No. 4 PLC M AA (sf) AA

First Flexible No. 5 PLC A AAA (sf) AAA


1264406 | 300051529


Table 3


First Flexible No. 5 PLC B BBB+ (sf) BBB+

First Flexible No. 5 PLC M AA (sf) AA

First Flexible No. 6 PLC A1 AA- (sf) AA



First Flexible No. 6 PLC M1 BB- (sf) BB-

First Flexible No. 6 PLC M2 BB- (sf) BB-

Fosse Master Issuer PLC 2010-1 A2 AAA (sf) AAA
















Fosse Master Issuer PLC 2012-1 2A1 AAA (sf) AAA





Fosse Master Issuer PLC 2012-1 2B1 AA (sf) AA

Fosse Master Issuer PLC 2012-1 2B2 AA (sf) AA



Gemgarto 2012-1 PLC series 1 B1 BBB (sf) BBB

Gemgarto 2012-1 PLC series 1 B2 BB (sf) BB

Gemgarto 2012-1 PLC series 1 M1 A+ (sf) A+

Gemgarto 2012-1 PLC series 1 M2 A (sf) A

Gemgarto 2012-1 PLC series 1 A1 AAA (sf) AAA

Gosforth Funding PLC A4 AAA (sf) AAA

Gracechurch Mortgage Financing

PLC 2011-1

2A1 AAA (sf) AAA


PLC 2011-1

3A AAA (sf) AAA


1264406 | 300051529


Table 3



PLC 2011-1

2A2 AAA (sf) AAA


PLC 2012-1

1A AAA (sf) AAA


PLC 2012-1

2A AAA (sf) AAA


PLC 2012-1

3A AAA (sf) AAA


PLC 2012-1

4A AAA (sf) AAA


PLC 2012-1

5A AAA (sf) AAA


PLC 2012-1

6A AAA (sf) AAA

Granite Master Issuer PLC 2005-1 A4 A (sf) AAA



Granite Master Issuer PLC 2005-1 B2 A (sf) AAA


Granite Master Issuer PLC 2005-1 M2 A (sf) AA-


Granite Master Issuer PLC 2005-1 C2 BBB- (sf) BBB-
























1264406 | 300051529


Table 3












































1264406 | 300051529


Table 3










Granite Master Issuer PLC 2007-1 2A1 A (sf) AAA






Granite Master Issuer PLC 2007-1 1B1 A (sf) AAA




Granite Master Issuer PLC 2007-1 1M1 A (sf) AA-




Granite Master Issuer PLC 2007-1 1C1 BBB- (sf) BBB-




















1264406 | 300051529


Table 3







Granite Mortgages 03-2 PLC series 1 A3 A (sf) AAA

Granite Mortgages 03-2 PLC series 1 B A (sf) AAA

Granite Mortgages 03-2 PLC series 1 C A (sf) AA+

Granite Mortgages 03-2 PLC series 2 A A (sf) AAA


Granite Mortgages 03-2 PLC series 2 C1 A (sf) AA+

Granite Mortgages 03-2 PLC series 2 C2 A (sf) AA+

Granite Mortgages 03-2 PLC series 2 M A (sf) AAA






























1264406 | 300051529


Table 3
















Great Hall Mortgages No. 1 PLC

2006-01

A2a A- (sf) AAA


2006-01

A2b A- (sf) AAA


2006-01

Ba A- (sf) AA


2006-01

Bb A- (sf) AA


2006-01

Ca A- (sf) A


2006-01

Cb A- (sf) A


2006-01

Da BBB- (sf) BBB-


2006-01

Db BBB- (sf) BBB-


2006-01

Ea B- (sf) B-


2007-01

A2a A- (sf) AAA


2007-01

A2b A- (sf) AAA


2007-01

Ba A- (sf) AA


2007-01

Bb A- (sf) AA


2007-01

Ca A- (sf) A


2007-01

Cb A- (sf) A


2007-01

Da BB+ (sf) BB+


1264406 | 300051529


Table 3



2007-01

Db BB+ (sf) BB+


2007-01

Ea B- (sf) B-

Great Hall Mortgages No.1 PLC

2007-2

Aa A- (sf) AAA


2007-2

Ba A- (sf) A


2007-2

Ca BBB (sf) BBB


2007-2

Da BB- (sf) BB-


2007-2

Ea B- (sf) B-


2007-2

Ab A- (sf) AAA


2007-2

Ac A- (sf) AAA


2007-2

Cb BBB (sf) BBB


2007-2

Db BB- (sf) BB-


2007-2

Eb B- (sf) B-

Greenock Funding No. 5 PLC A4 AAA (sf) AAA



Greenock Funding No. 5 PLC A VFN AAA (sf) AAA



Headingley RMBS 2011-1 PLC A2 AAA (sf) AAA

Headingley RMBS 2011-1 PLC A3 AAA (sf) AAA

Headingley RMBS 2011-1 PLC B AA+ (sf) AA+

Headingley RMBS 2011-1 PLC C AA+ (sf) AA+

Holmes Master Issuer PLC 2010-1 1A4 AAA (sf) AAA












1264406 | 300051529


Table 3










Holmes Master Issuer PLC 2012-2 A AAA (sf) AAA

Holmes Master Issuer PLC 2012-3 B1 AA (sf) AA

Holmes Master Issuer PLC 2012-3 B2 AA (sf) AA

Holmes Master Issuer PLC 2012-3 A AAA (sf) AAA

Holmes Master Issuer PLC 2013-1 A1 A-1+ (sf) A-1+

Holmes Master Issuer PLC 2013-1 A2 AAA (sf) AAA

Holmes Master Issuer PLC 2013-1 A3 AAA (sf) AAA

Kensington Mortgage Securities PLC

2007-1

A3a A+ (sf) AAA


2007-1

M1a A+ (sf) AA


2007-1

M2b BBB (sf) BBB


2007-1

B1a B (sf) B


2007-1

B2 B- (sf) B-


2007-1

A3b A+ (sf) AAA


2007-1

A3c A+ (sf) AAA


2007-1

M1b A+ (sf) AA


2007-1

B1b B (sf) B

Lanark Master Issuer PLC 2012-1 1A1 AAA (sf) AAA

Lanark Master Issuer PLC 2012-2 1A AAA (sf) AAA

Lanark Master Issuer PLC 2012-2 2A AAA (sf) AAA



Landmark Mortgage Securities No. 1

PLC

Aa A+ (sf) AAA


PLC

B A+ (sf) A+


PLC

Ca BB+ (sf) BB+


PLC

D B (sf) B


1264406 | 300051529


Table 3



PLC

Ac A+ (sf) AAA


PLC

Cc BB+ (sf) BB+


PLC

Aa A+ (sf) AA-


PLC

Ac A+ (sf) AA-


PLC

Ba BB (sf) BB


PLC

Bc BB (sf) BB


PLC

C B (sf) B


PLC

D B- (sf) B-

Leek Finance Number Twenty One

PLC

A AAA (sf) AAA

Leek Finance Number Twenty PLC 0 AA+ (sf) AA+

Leek Finance Number Twenty Two

PLC

A AAA (sf) AAA

Ludgate Funding PLC 2006-FF1 A2a A (sf) AA

Ludgate Funding PLC 2006-FF1 A2b A (sf) AA

Ludgate Funding PLC 2006-FF1 Ba A (sf) A+

Ludgate Funding PLC 2006-FF1 Bb A (sf) A+

Ludgate Funding PLC 2006-FF1 C BBB (sf) BBB

Ludgate Funding PLC 2006-FF1 D B (sf) B

Ludgate Funding PLC 2006-FF1 E B- (sf) B-

Ludgate Funding PLC 2006-FF1 S B+ (sf) B+

Ludgate Funding PLC 2007-FF1 A2a A+ (sf) A+

Ludgate Funding PLC 2007-FF1 A2b A+ (sf) A+

Ludgate Funding PLC 2007-FF1 Bb BB (sf) BB

Ludgate Funding PLC 2007-FF1 Cb B+ (sf) B+

Ludgate Funding PLC 2007-FF1 Da B- (sf) B-

Ludgate Funding PLC 2007-FF1 Db B- (sf) B-

Ludgate Funding PLC 2007-FF1 E B- (sf) B-

Ludgate Funding PLC 2007-FF1 Ma BBB (sf) BBB

Ludgate Funding PLC 2007-FF1 Mb BBB (sf) BBB

Ludgate Funding PLC 2008-W1 A1 A+ (sf) AA+

Ludgate Funding PLC 2008-W1 A2b A- (sf) A

Ludgate Funding PLC 2008-W1 Bb BBB- (sf) BBB-

Ludgate Funding PLC 2008-W1 Cb BB- (sf) BB-

Ludgate Funding PLC 2008-W1 D B (sf) B

Ludgate Funding PLC 2008-W1 E B- (sf) B-

Mansard Mortgages 2006-1 PLC A2a A- (sf) AAA


1264406 | 300051529


Table 3


Mansard Mortgages 2006-1 PLC M1a A- (sf) AA-

Mansard Mortgages 2006-1 PLC M2a BB+ (sf) BB+

Mansard Mortgages 2006-1 PLC B1a B+ (sf) B+

Mansard Mortgages 2006-1 PLC B2a B- (sf) B-

Mansard Mortgages 2007-1 PLC A2a A- (sf) AAA

Mansard Mortgages 2007-1 PLC M1a A- (sf) A-

Mansard Mortgages 2007-1 PLC M2a BB+ (sf) BB+

Mansard Mortgages 2007-1 PLC B1a B (sf) B


Mansard Mortgages 2007-2 PLC A1a AA (sf) AA

Mansard Mortgages 2007-2 PLC A2a AA- (sf) AA-

Mansard Mortgages 2007-2 PLC B1a B (sf) B


Mansard Mortgages 2007-2 PLC M1a BBB+ (sf) BBB+

Mansard Mortgages 2007-2 PLC M2a BB (sf) BB

Marble Arch Residential

Securitisation No. 3 Ltd.

A1a A- (sf) AAA



A1b A- (sf) AAA



M1 A- (sf) AAA



M2 A- (sf) AA



B1 BB+ (sf) BB+



A3c A (sf) AAA



B1a A (sf) AA



B1b A (sf) AA



B1c A (sf) AA



C1a A (sf) AA-



C1c A (sf) AA-



D1a BB (sf) BB



D1c BB (sf) BB



E1c B- (sf) B-

Money Partners Securities 1 PLC M1 AA- (sf) AAA

Money Partners Securities 1 PLC M2a A+ (sf) AAA

Money Partners Securities 1 PLC B1 A- (sf) A-


1264406 | 300051529


Table 3


Money Partners Securities 1 PLC B2 BBB+ (sf) BBB+

Money Partners Securities 1 PLC M2b A+ (sf) AAA

Money Partners Securities 2 PLC A2a A (sf) AAA

Money Partners Securities 2 PLC M1a A (sf) AA

Money Partners Securities 2 PLC M2a A- (sf) A-

Money Partners Securities 2 PLC B1 BB- (sf) BB-

Money Partners Securities 2 PLC M2b A- (sf) A-

Money Partners Securities 2 PLC M1b A (sf) AA

Money Partners Securities 2 PLC A2c A (sf) AAA


Money Partners Securities 3 PLC M1a A (sf) AA

Money Partners Securities 3 PLC M2a A- (sf) A-

Money Partners Securities 3 PLC B1a BBB- (sf) BBB-

Money Partners Securities 3 PLC B2a B- (sf) B-

Money Partners Securities 3 PLC A2b A (sf) AAA

Money Partners Securities 3 PLC A2c A (sf) AAA

Money Partners Securities 3 PLC M1b A (sf) AA

Money Partners Securities 3 PLC M2b A- (sf) A-

Money Partners Securities 3 PLC B1b BBB- (sf) BBB-

Money Partners Securities 3 PLC B2b B- (sf) B-


Money Partners Securities 4 PLC A1b A (sf) AAA

Money Partners Securities 4 PLC M1a A (sf) AAA

Money Partners Securities 4 PLC M1b A (sf) AAA

Money Partners Securities 4 PLC M2a BBB (sf) BBB

Money Partners Securities 4 PLC M2b BBB (sf) BBB

Money Partners Securities 4 PLC B1a B+ (sf) B+

Money Partners Securities 4 PLC B1b B+ (sf) B+

Money Partners Securities 4 PLC B2 B- (sf) B-

Mortgage Funding 2008-1 PLC A1 AA (sf) AA

Mortgages No. 6 PLC A2 A (sf) AAA

Mortgages No. 6 PLC B A (sf) AA

Mortgages No. 6 PLC C A (sf) AA-

Mortgages No. 6 PLC D BBB (sf) BBB

Mortgages No. 6 PLC E B- (sf) B-

Mortgages No. 7 PLC A2 A (sf) AAA

Mortgages No. 7 PLC B A (sf) AA+

Mortgages No. 7 PLC C A- (sf) A-

Mortgages No. 7 PLC D BB (sf) BB

Mortgages No. 7 PLC E B- (sf) B+

Newgate Funding PLC 2006-1 A4 A (sf) AAA


1264406 | 300051529


Table 3


Newgate Funding PLC 2006-1 Ma A (sf) AAA

Newgate Funding PLC 2006-1 Ba A (sf) AA+

Newgate Funding PLC 2006-1 Ca A (sf) A

Newgate Funding PLC 2006-1 D B (sf) B

Newgate Funding PLC 2006-1 E B- (sf) B-

Newgate Funding PLC 2006-1 Mb A (sf) AAA

Newgate Funding PLC 2006-1 Bb A (sf) AA+

Newgate Funding PLC 2006-1 Cb A (sf) A

Newgate Funding PLC 2006-2 A3a A (sf) AA+

Newgate Funding PLC 2006-2 M A (sf) AA-

Newgate Funding PLC 2006-2 Ba A- (sf) A-

Newgate Funding PLC 2006-2 Ca BB (sf) BB

Newgate Funding PLC 2006-2 Da B- (sf) B-


Newgate Funding PLC 2006-2 Q BB+ (sf) BB+

Newgate Funding PLC 2006-2 A3b A (sf) AA+

Newgate Funding PLC 2006-2 Bb A- (sf) A-

Newgate Funding PLC 2006-2 Cb BB (sf) BB

Newgate Funding PLC 2006-2 Db B- (sf) B-


Newgate Funding PLC 2006-3 A3a A (sf) A

Newgate Funding PLC 2006-3 Mb A (sf) A

Newgate Funding PLC 2006-3 Ba BBB- (sf) BBB-

Newgate Funding PLC 2006-3 Cb B+ (sf) B+

Newgate Funding PLC 2006-3 Da B (sf) B


Newgate Funding PLC 2006-3 A3b A (sf) A

Newgate Funding PLC 2006-3 Bb BBB- (sf) BBB-

Newgate Funding PLC 2006-3 Db B (sf) B


Newgate Funding PLC 2007-1 A3 A (sf) AA+

Newgate Funding PLC 2007-1 Ma A (sf) AA

Newgate Funding PLC 2007-1 Ba BB (sf) BB

Newgate Funding PLC 2007-1 Cb B (sf) B



Newgate Funding PLC 2007-1 F B- (sf) B-

Newgate Funding PLC 2007-1 Mb A (sf) AA

Newgate Funding PLC 2007-1 Bb BB (sf) BB


Newgate Funding PLC 2007-2 A3 A (sf) AA-


1264406 | 300051529


Table 3


Newgate Funding PLC 2007-2 M BBB+ (sf) A

Newgate Funding PLC 2007-2 Bb BB- (sf) BB-




Newgate Funding PLC 2007-2 F B- (sf) B-


Newgate Funding PLC 2007-3 A2b A (sf) AAA

Newgate Funding PLC 2007-3 A3 BBB+ (sf) BBB+

Newgate Funding PLC 2007-3 Ba BB (sf) BB

Newgate Funding PLC 2007-3 Bb BB (sf) BB


Newgate Funding PLC 2007-3 D B- (sf) B-


Paragon Mortgages (No. 10) PLC A1 A-1 (sf) A-1+

Paragon Mortgages (No. 10) PLC A2a AA (sf) AA+

Paragon Mortgages (No. 10) PLC A2b AA (sf) AA+

Paragon Mortgages (No. 10) PLC B1a AA- (sf) AA-

Paragon Mortgages (No. 10) PLC B1b AA- (sf) AA-

Paragon Mortgages (No. 10) PLC C1a A- (sf) A-

Paragon Mortgages (No. 10) PLC C1b A- (sf) A-

Paragon Mortgages (No. 11) PLC A1 AA (sf) AA

Paragon Mortgages (No. 11) PLC A2a AA (sf) AA

Paragon Mortgages (No. 11) PLC A2b AA (sf) AA

Paragon Mortgages (No. 11) PLC B1a A (sf) A

Paragon Mortgages (No. 11) PLC B1b A (sf) A

Paragon Mortgages (No. 11) PLC C1b BBB (sf) BBB

Paragon Mortgages (No. 12) PLC 12 A1 AA+ (sf) AA+

Paragon Mortgages (No. 12) PLC 12 A2a AA+ (sf) AA+

Paragon Mortgages (No. 12) PLC 12 A2b AA+ (sf) AA+

Paragon Mortgages (No. 12) PLC 12 A2c AA+ (sf) AA+

Paragon Mortgages (No. 12) PLC 12 B1a A (sf) A

Paragon Mortgages (No. 12) PLC 12 B1b A (sf) A

Paragon Mortgages (No. 12) PLC 12 C1a BBB (sf) BBB

Paragon Mortgages (No. 12) PLC 12 C1b BBB (sf) BBB

Paragon Mortgages (No. 13) PLC A1 AA (sf) AA

Paragon Mortgages (No. 13) PLC A2a AA (sf) AA

Paragon Mortgages (No. 13) PLC A2b AA (sf) AA

Paragon Mortgages (No. 13) PLC A2c AA (sf) AA

Paragon Mortgages (No. 13) PLC B1a A- (sf) A

Paragon Mortgages (No. 13) PLC B1b A- (sf) A


1264406 | 300051529


Table 3


Paragon Mortgages (No. 13) PLC C1a BBB (sf) BBB

Paragon Mortgages (No. 13) PLC C1b BBB (sf) BBB

Paragon Mortgages (No. 14) PLC A1 AAA (sf) AAA

Paragon Mortgages (No. 14) PLC A2a AAA (sf) AAA

Paragon Mortgages (No. 14) PLC A2b AAA (sf) AAA

Paragon Mortgages (No. 14) PLC A2c AAA (sf) AAA

Paragon Mortgages (No. 14) PLC B1a AA- (sf) AA-

Paragon Mortgages (No. 14) PLC B1b AA- (sf) AA-

Paragon Mortgages (No. 14) PLC C1a BBB- (sf) BBB-

Paragon Mortgages (No. 14) PLC C1b BBB- (sf) BBB-

Paragon Mortgages (No. 15) PLC A1 AAA (sf) AAA

Paragon Mortgages (No. 15) PLC A2a AAA (sf) AAA

Paragon Mortgages (No. 15) PLC A2b AAA (sf) AAA

Paragon Mortgages (No. 15) PLC A2c AAA (sf) AAA

Paragon Mortgages (No. 15) PLC B1a A+ (sf) A+

Paragon Mortgages (No. 15) PLC B1b A+ (sf) A+

Paragon Mortgages (No. 15) PLC C1b BB (sf) BB

Paragon Mortgages (No. 17) PLC A AAA (sf) AAA

Paragon Mortgages (No. 17) PLC B AA (sf) AA

Paragon Mortgages (No. 17) PLC C A (sf) A

Paragon Mortgages (No. 18) PLC A AAA (sf) AAA

Paragon Mortgages (No. 18) PLC B AA (sf) AA

Paragon Mortgages (No. 18) PLC C A (sf) A

Paragon Mortgages (No. 7) PLC A1a A (sf) AAA

Paragon Mortgages (No. 7) PLC A1b A (sf) AAA

Paragon Mortgages (No. 7) PLC A1c A (sf) AAA

Paragon Mortgages (No. 7) PLC B1a A (sf) A

Paragon Mortgages (No. 7) PLC B1b A (sf) A

Paragon Mortgages (No. 8) PLC A2a AA (sf) AAA

Paragon Mortgages (No. 8) PLC A2b AA (sf) AAA

Paragon Mortgages (No. 8) PLC B1a A- (sf) A-

Paragon Mortgages (No. 8) PLC B1b A- (sf) A-

Paragon Mortgages (No. 9) PLC Aa A (sf) AA+

Paragon Mortgages (No. 9) PLC Ab A (sf) AA+

Paragon Mortgages (No. 9) PLC Ac A (sf) AA+

Paragon Mortgages (No. 9) PLC Ba A (sf) AA-

Paragon Mortgages (No. 9) PLC Bb A (sf) AA-

Paragon Mortgages (No. 9) PLC Ca BBB+ (sf) BBB+

Paragon Mortgages (No. 9) PLC Cb BBB+ (sf) BBB+

Permanent Master Issuer PLC 2009-1 1A Ser 1 AAA (sf) AAA



1264406 | 300051529


Table 3



Permanent Master Issuer PLC 2010-1 2A2 AAA (sf) AAA


Permanent Master Issuer PLC 2010-1 3A AAA (sf) AAA


















Permanent Master Issuer PLC 2013-1 1M A (sf) A


Preferred Residential Securities 05-1

PLC

A2c A (sf) AAA


PLC

B1a A (sf) AA


PLC

B1c A (sf) AA


PLC

C1c A (sf) A


PLC

D1c BB- (sf) BB-


PLC

E B- (sf) B-


PLC

A2a A (sf) AAA


PLC

A2c A (sf) AAA


PLC

B1a A (sf) AA


PLC

B1c A (sf) AA


PLC

C1a A (sf) A


1264406 | 300051529


Table 3



PLC

C1c A (sf) A


PLC

D1c B (sf) B


PLC

E1c B- (sf) B-


PLC

A2a A (sf) AAA


PLC

A2b A (sf) AAA


PLC

A2c A (sf) AAA


PLC

B1a A (sf) AA


PLC

B1c A (sf) AA


PLC

C1a A (sf) A


PLC

C1c A (sf) A


PLC

D1a B (sf) B


PLC

D1c B (sf) B


PLC

E1c B- (sf) B-


PLC

FTc CCC (sf) CCC

Preferred Residential Securities 7

PLC

A2 A (sf) AAA


PLC

B A (sf) AAA


PLC

C A (sf) AA


PLC

D BBB (sf) BBB


PLC

A1a1 A (sf) AAA


PLC

B1a A (sf) AAA


PLC

C1a A (sf) AA-


PLC

D1a BB- (sf) BB-


PLC

E B- (sf) B-


PLC

A1a2 A (sf) AAA


PLC

A1b A (sf) AAA


1264406 | 300051529


Table 3



PLC

A1c A (sf) AAA


PLC

B1c A (sf) AAA


PLC

C1c A (sf) AA-


PLC

D1c BB- (sf) BB-

Residential Mortgage Securities 19

PLC

A2a A (sf) AAA


PLC

A2c A (sf) AAA


PLC

M1a A (sf) AAA


PLC

M1c A (sf) AAA


PLC

M2a A (sf) AAA


PLC

M2c A (sf) AAA


PLC

B1a BBB- (sf) BBB-


PLC

B1c BBB- (sf) BBB-


PLC

A2a A+ (sf) AAA


PLC

A2c A+ (sf) AAA


PLC

M1a A+ (sf) AAA


PLC

M1c A+ (sf) AAA


PLC

M2a A+ (sf) AA+


PLC

M2c A+ (sf) AA+


PLC

B1a BB+ (sf) BB+


PLC

B1c BB+ (sf) BB+


PLC

A3a A+ (sf) AAA


PLC

A3c A+ (sf) AAA


PLC

M1a A+ (sf) AAA


PLC

M1c A+ (sf) AAA


PLC

M2a A (sf) A


1264406 | 300051529


Table 3



PLC

M2c A (sf) A


PLC

B1a BB (sf) BB


PLC

B1c BB (sf) BB


PLC

B2a B- (sf) B-


PLC

A3a A (sf) AAA


PLC

A3c A (sf) AAA


PLC

M1a A (sf) AAA


PLC

M1c A (sf) AAA


PLC

M2a A (sf) AA


PLC

M2c A (sf) AA


PLC

B1a BBB (sf) BBB


PLC

B1c BBB (sf) BBB


PLC

B2 B- (sf) B-


PLC

A AAA (sf) AAA


PLC

B2-Dfrd B (sf) B


PLC

M1-Dfrd AA (sf) AA


PLC

B1-Dfrd BBB (sf) BBB


PLC

M2-Dfrd A (sf) A


PLC

B3-Dfrd B- (sf) B-


PLC

A1 AAA (sf) AAA


PLC

A2 AAA (sf) AAA


PLC

M1 AA (sf) AA


PLC

M2 A (sf) A


PLC

B1 BBB (sf) BBB


PLC

B2 BB (sf) BB


1264406 | 300051529


Table 3



PLC

A1 AAA (sf) AAA

ResLoc U.K. 2007-1 PLC A3a BBB- (sf) BBB-

ResLoc U.K. 2007-1 PLC M1a BB (sf) BB

ResLoc U.K. 2007-1 PLC B1a BB- (sf) BB-

ResLoc U.K. 2007-1 PLC C1a B (sf) B

ResLoc U.K. 2007-1 PLC D1a B- (sf) B-

ResLoc U.K. 2007-1 PLC E1b B- (sf) B-

ResLoc U.K. 2007-1 PLC E2b CCC (sf) CCC

ResLoc U.K. 2007-1 PLC F1b Defer CCC (sf) CCC

ResLoc U.K. 2007-1 PLC A3b BBB- (sf) BBB-

ResLoc U.K. 2007-1 PLC A3c BBB- (sf) BBB-

ResLoc U.K. 2007-1 PLC M1b BB (sf) BB

ResLoc U.K. 2007-1 PLC B1b BB- (sf) BB-

ResLoc U.K. 2007-1 PLC C1b B (sf) B

ResLoc U.K. 2007-1 PLC D1b B- (sf) B-

RMAC 2003-NS1 PLC A3 A (sf) AAA



RMAC 2003-NS4 PLC A3 A (sf) AA+

RMAC 2004-NS1 PLC A3 A (sf) AA-

RMAC 2004-NS3 PLC A2a A (sf) AAA

RMAC 2004-NS3 PLC M1 A (sf) AA

RMAC 2004-NS3 PLC M2 A (sf) A

RMAC 2004-NS3 PLC B BBB (sf) BBB

RMAC 2004-NS3 PLC A2c A (sf) AAA

RMAC 2004-NSP2 PLC A3 A (sf) AA-

RMAC 2004-NSP4 PLC A2 A (sf) AAA

RMAC 2004-NSP4 PLC M1 A (sf) AA-

RMAC 2004-NSP4 PLC M2 A- (sf) A-

RMAC 2004-NSP4 PLC B1 BBB- (sf) BBB-



RMAC 2005-NS1 PLC M2 BBB- (sf) BBB-

RMAC 2005-NS1 PLC B1 B+ (sf) B+



RMAC 2005-NS3 PLC M1a A (sf) AAA

RMAC 2005-NS3 PLC M2a BBB (sf) BBB

RMAC 2005-NS3 PLC B1a B- (sf) B-



1264406 | 300051529


Table 3


RMAC 2005-NS3 PLC M1c A (sf) AAA

RMAC 2005-NS3 PLC M2c BBB (sf) BBB

RMAC 2005-NS3 PLC B1c B- (sf) B-


RMAC 2005-NS4 PLC M1 A (sf) AAA


RMAC 2005-NS4 PLC B1 B- (sf) B-

RMAC 2005-NSP2 PLC A2a A (sf) AAA

RMAC 2005-NSP2 PLC M1a BBB+ (sf) BBB+

RMAC 2005-NSP2 PLC M2a BB+ (sf) BB+

RMAC 2005-NSP2 PLC B1a B- (sf) B-

RMAC 2005-NSP2 PLC A2b A (sf) AAA

RMAC 2005-NSP2 PLC A2c A (sf) AAA

RMAC 2005-NSP2 PLC M1c BBB+ (sf) BBB+

RMAC 2005-NSP2 PLC M2c BB+ (sf) BB+

RMAC 2005-NSP2 PLC B1c B- (sf) B-

RMAC Securities No. 1 PLC

2006-NS1

A2a A (sf) AAA


2006-NS1

A2c A (sf) AAA


2006-NS1

M1a A (sf) A+


2006-NS1

M1c A (sf) A+


2006-NS1

M2a BBB (sf) BBB


2006-NS1

M2c BBB (sf) BBB


2006-NS1

B1c BB (sf) BB


2006-NS2

A2a A (sf) AAA


2006-NS2

A2c A (sf) AAA


2006-NS2

M1a A (sf) AA


2006-NS2

M1c A (sf) AA


2006-NS2

M2c BBB- (sf) BBB-


2006-NS2

B1a B (sf) B


2006-NS2

B1c B (sf) B


2006-NS2

B2a B- (sf) B-


1264406 | 300051529


Table 3



2006-NS3

A2a A+ (sf) AAA


2006-NS3

M1a BBB (sf) BBB


2006-NS3

M1c BBB (sf) BBB


2006-NS3

M2c BB- (sf) BB-


2006-NS3

B1c B- (sf) B-


2006-NS4

A3a A (sf) AAA


2006-NS4

M1a BBB+ (sf) BBB+


2006-NS4

M2a BB+ (sf) BB+


2006-NS4

B1a B- (sf) B-


2006-NS4

M1c BBB+ (sf) BBB+


2006-NS4

M2c BB+ (sf) BB+


2006-NS4

B1c B- (sf) B-


2007-NS1

A2a A+ (sf) AA+


2007-NS1

M1a BB (sf) BB


2007-NS1

M2c B (sf) B


2007-NS1

B1a B- (sf) B-


2007-NS1

A2b A+ (sf) AA+


2007-NS1

A2c A+ (sf) AA+


2007-NS1

M1c BB (sf) BB


2007-NS1

B1c B- (sf) B-

Rochester Financing No.1 PLC B AA+ (sf) AA+

Rochester Financing No.1 PLC C AA- (sf) AA-

Rochester Financing No.1 PLC D A- (sf) A-

Rochester Financing No.1 PLC E BBB+ (sf) BBB+

Rochester Financing No.1 PLC A1 AAA (sf) AAA

Rochester Financing No.1 PLC A2 AAA (sf) AAA

Silverstone Master Issuer PLC 2009-1 A1 AAA (sf) AAA



1264406 | 300051529


Table 3






Silverstone Master Issuer PLC 2011-1 3A3 AAA (sf) AAA



Silverstone Master Issuer PLC 2011-1 1A AAA (sf) AAA






Southern Pacific Financing 04-A PLC A A (sf) AAA

Southern Pacific Financing 04-A PLC B A (sf) AAA

Southern Pacific Financing 04-A PLC C A (sf) AA+

Southern Pacific Financing 04-A PLC D A- (sf) A-

Southern Pacific Financing 04-A PLC E B (sf) B

Southern Pacific Financing 05-B PLC A A (sf) AAA

Southern Pacific Financing 05-B PLC B A (sf) AA-

Southern Pacific Financing 05-B PLC C A (sf) A

Southern Pacific Financing 05-B PLC D BB- (sf) BB-

Southern Pacific Financing 05-B PLC E B- (sf) B-

Southern Pacific Financing 06-A PLC A AA- (sf) AA-

Southern Pacific Financing 06-A PLC B A+ (sf) A+

Southern Pacific Financing 06-A PLC C BBB- (sf) BBB-

Southern Pacific Financing 06-A PLC D1 B (sf) B

Southern Pacific Financing 06-A PLC E B- (sf) B-

Southern Pacific Securities 04-1 PLC A2 AA (sf) AA

Southern Pacific Securities 04-1 PLC M A+ (sf) A+

Southern Pacific Securities 04-1 PLC B BBB+ (sf) BBB+

Southern Pacific Securities 04-2 plc C1a A (sf) AAA

Southern Pacific Securities 04-2 plc C1c A (sf) AAA

Southern Pacific Securities 04-2 plc D1a A (sf) A+

Southern Pacific Securities 04-2 plc D1c A (sf) A+

Southern Pacific Securities 04-2 plc E BB- (sf) BB-

Southern Pacific Securities 05-1 PLC B1c AA (sf) AA

Southern Pacific Securities 05-1 PLC C1c A+ (sf) A+

Southern Pacific Securities 05-1 PLC D1c B+ (sf) B+

Southern Pacific Securities 05-1 PLC E B- (sf) B-

Southern Pacific Securities 05-2 PLC B1a A (sf) AAA


1264406 | 300051529


Table 3


Southern Pacific Securities 05-2 PLC B1c A (sf) AAA

Southern Pacific Securities 05-2 PLC C1a A (sf) AAA

Southern Pacific Securities 05-2 PLC C1c A (sf) AAA

Southern Pacific Securities 05-2 PLC D1a BBB- (sf) BBB-

Southern Pacific Securities 05-2 PLC E1c B- (sf) B-

Southern Pacific Securities 05-2 PLC E2c BB- (sf) BB-

Southern Pacific Securities 05-3 PLC A2a A (sf) AAA

Southern Pacific Securities 05-3 PLC A2c A (sf) AAA

Southern Pacific Securities 05-3 PLC B1a A (sf) AAA


Southern Pacific Securities 05-3 PLC C1a A (sf) AA-

Southern Pacific Securities 05-3 PLC C1c A (sf) AA-

Southern Pacific Securities 05-3 PLC D1a B+ (sf) B+

Southern Pacific Securities 05-3 PLC D1c B+ (sf) B+


Southern Pacific Securities 05-3 PLC FTc CCC (sf) CCC

Southern Pacific Securities 06-1 PLC A2a A (sf) AAA

Southern Pacific Securities 06-1 PLC A2c A (sf) AAA


Southern Pacific Securities 06-1 PLC C1a A- (sf) A-

Southern Pacific Securities 06-1 PLC C1c A- (sf) A-

Southern Pacific Securities 06-1 PLC D1a B (sf) B

Southern Pacific Securities 06-1 PLC D1c B (sf) B


Southern Pacific Securities 06-1 PLC ETc B- (sf) B-

Southern Pacific Securities 06-1 PLC FTc CCC (sf) CCC

Tenterden Funding PLC A AAA (sf) AAA

Trinity Financing PLC A3 AAA (sf) AAA


Uropa Securities PLC 2007-1B A2b A- (sf) AAA

Uropa Securities PLC 2007-1B A3a A- (sf) AAA


Uropa Securities PLC 2007-1B A4a A- (sf) AAA


Uropa Securities PLC 2007-1B M1a BBB- (sf) BBB-

Uropa Securities PLC 2007-1B M1b BBB- (sf) BBB-

Uropa Securities PLC 2007-1B M2a BB- (sf) BB-

Uropa Securities PLC 2007-1B B1a B (sf) B

Uropa Securities PLC 2007-1B B1b B (sf) B

Uropa Securities PLC 2007-1B B2a B- (sf) B-

Uropa Securities PLC 2008-1 M1 AA (sf) AA


1264406 | 300051529


Table 3


Uropa Securities PLC 2008-1 M2 A+ (sf) A+

Uropa Securities PLC 2008-1 B BBB+ (sf) BBB+

Uropa Securities PLC 2008-1 C BB- (sf) BB-

Uropa Securities PLC 2008-1 A AAA (sf) AAA

Virgil Mortgage No.1 PLC A AA (sf) AA


PLC

A AAA (sf) AAA

Precise Mortgage Funding No.1 PLC A AAA (sf) AAA

Precise Mortgage Funding No.1 PLC B AA (sf) AA

Precise Mortgage Funding No.1 PLC C AA- (sf) AA-

Precise Mortgage Funding No.1 PLC D BBB (sf) BBB

Precise Mortgage Funding No.1 PLC E BB+ (sf) BB+

Mortgage Funding 2008-1 PLC A2 A (sf) A

Mortgage Funding 2008-1 PLC A3 BB (sf) BB


Uropa Securities PLC 2007-1B M1a BBB- (sf) BBB-

Uropa Securities PLC 2007-1B M1b BBB- (sf) BBB-

Uropa Securities PLC 2007-1B M2a BB- (sf) BB-

Uropa Securities PLC 2007-1B B1a B (sf) B

Uropa Securities PLC 2007-1B B1b B (sf) B

Uropa Securities PLC 2007-1B B2a B- (sf) B-

Uropa Securities PLC 2008-1 M1 AA (sf) AA

Uropa Securities PLC 2008-1 M2 A+ (sf) A+

Uropa Securities PLC 2008-1 B BBB+ (sf) BBB+

Uropa Securities PLC 2008-1 C BB- (sf) BB-

Uropa Securities PLC 2008-1 A AAA (sf) AAA




Uropa Securities PLC series 2007-1B A2b A- (sf) AAA

Uropa Securities PLC series 2007-1B A3a A- (sf) AAA


Uropa Securities PLC series 2007-1B A4a A- (sf) AAA


Uropa Securities PLC series 2007-1B M1a BBB- (sf) BBB-

Uropa Securities PLC series 2007-1B M1b BBB- (sf) BBB-

Uropa Securities PLC series 2007-1B M2a BB- (sf) BB-

Uropa Securities PLC series 2007-1B B1a B (sf) B

Uropa Securities PLC series 2007-1B B1b B (sf) B

Uropa Securities PLC series 2007-1B B2a B- (sf) B-

Uropa Securities PLC series 2008-1 A AAA (sf) AAA


1264406 | 300051529


Table 3


Uropa Securities PLC series 2008-1 M1 AA (sf) AA

Uropa Securities PLC series 2008-1 M2 A+ (sf) A+

Uropa Securities PLC series 2008-1 B BBB+ (sf) BBB+

Uropa Securities PLC series 2008-1 C BB- (sf) BB-


Related Criteria And Research

• Europe's Housing Markets May Be On A Slow Path To Recovery, Jan. 22, 2014

• Rating Lowered On Marble Arch Residential Securitisation No. 3's Class B1 U.K. RMBS Notes; All Other Ratings

Affirmed, Dec. 20, 2013

• Credit Conditions: Europe Sees A Slight Improvement, But Structural Weaknesses Persist, Dec. 9, 2013

• Ratings On Eurosail-UK 2007-5NP's Junior Notes Lowered To 'D (sf)'; Classes A1a And A1c Placed On CreditWatch

Positive, Dec. 5, 2013

• New Issue: Precise Mortgage Funding No.1 PLC, Dec. 5, 2013

• Various Rating Actions Taken In Four Eurosail U.K. Nonconforming RMBS Transactions, Nov. 29, 2013

• Ratings Lowered On 45 European RMBS Tranches After RBS Downgrade, 33 Tranches Placed On CreditWatch

Negative, Nov. 25, 2013

• Ratings Lowered On 91 U.K. RMBS Tranches In Granite Master Issuer After RBS Downgrade, Nov. 25, 2013

• Ratings Raised And Assigned In U.K. RMBS Transaction Mortgage Funding 2008-1 Following Restructuring, Nov.

21, 2013

• Rating Raised On Southern Pacific Securities 05-2's Class E2c U.K. RMBS Notes; Ratings On All Other Classes

Affirmed, Nov. 19, 2013

• Various Rating Actions Taken In U.K. Nonconforming RMBS Transactions Preferred Residential Securities 7, 8, And

05-2, Oct. 31, 2013

• New Issue: Residential Mortgage Securities 27 PLC, Oct. 31, 2013

• Ratings Lowered On Southern Pacific Securities 05-3's Class D1a And D1c U.K. RMBS Notes; Remaining Classes

Affirmed, Oct. 29, 2013

• New Issue: Rochester Financing No.1 PLC, Oct. 16, 2013

• U.K. RMBS Methodology And Assumptions, Dec. 9, 2011

• Methodology Behind European RMBS Indices, Nov. 8, 2004

Under Standard & Poor's policies, only a Rating Committee can determine a Credit Rating Action (including a Credit

Rating change, affirmation or withdrawal, Rating Outlook change, or CreditWatch action). This commentary and its

subject matter have not been the subject of Rating Committee action and should not be interpreted as a change to, or

affirmation of, a Credit Rating or Rating Outlook.

Additional Contact:

Structured Finance Europe; [email protected]


1264406 | 300051529


S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P

reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites,

www.standardandpoors.com (free of charge), and www.ratingsdirect.com and www.globalcreditportal.com (subscription) and www.spcapitaliq.com

(subscription) and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information

about our ratings fees is available at www.standardandpoors.com/usratingsfees.

S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective

activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established

policies and procedures to maintain the confidentiality of certain nonpublic information received in connection with each analytical process.

To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain

regulatory purposes, S&P reserves the right to assign, withdraw, or suspend such acknowledgement at any time and in its sole discretion. S&P

Parties disclaim any duty whatsoever arising out of the assignment, withdrawal, or suspension of an acknowledgment as well as any liability for any

damage alleged to have been suffered on account thereof.

Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and

not statements of fact. S&P's opinions, analyses, and rating acknowledgment decisions (described below) are not recommendations to purchase,

hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to

update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment

and experience of the user, its management, employees, advisors and/or clients when making investment and other business decisions. S&P does

not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be

reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives.

No content (including ratings, credit-related analyses and data, valuations, model, software or other application or output therefrom) or any part

thereof (Content) may be modified, reverse engineered, reproduced or distributed in any form by any means, or stored in a database or retrieval

system, without the prior written permission of Standard & Poor's Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be

used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees or

agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness or availability of the Content. S&P Parties are not

responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for

the security or maintenance of any data input by the user. The Content is provided on an "as is" basis. S&P PARTIES DISCLAIM ANY AND ALL

EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR

A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT'S FUNCTIONING

WILL BE UNINTERRUPTED, OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no

event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential

damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by

negligence) in connection with any use of the Content even if advised of the possibility of such damages.

Copyright © 2014 Standard & Poor's Financial Services LLC, a part of McGraw Hill Financial. All rights reserved.


1264406 | 300051529

Untitled

Documents

Transcript of Untitled