Moody's Investors Service assigns definitive credit ratings to UK RMBS notes issued by Cambric Finance Number One PLC

Milan, December 12, 2012 -- Moody's Investors Service has today assigned definitive credit ratings to the following class of notes issued by Cambric Finance Number One PLC:

...GBP 1,448.5 M Class A Notes due 2055, Definitive Rating Assigned Aaa (sf)

Moody's has not rated the Class B1 VFN, Class B2 VFN or Class C VFN.

RATINGS RATIONALE

The notes are backed by a pool of prime and non-conforming UK residential mortgage loans originated by Platform Funding Limited ("NR").

The ratings are primarily based on the credit quality of the portfolio, its diversity, the structural features of the transaction and its legal integrity. From the assessment of the credit quality of the underlying mortgage loan pool, Moody's determined the portfolio expected loss of 2.8% and MILAN Credit Enhancement (CE) of 12.5%.

The expected portfolio loss of 2.8% of the original balance of the portfolio at closing and the MILAN required Credit Enhancement of 12.5% served as input parameters for Moody's cash flow model, which is based on a probabilistic lognormal distribution as described in the report "The Lognormal Method Applied to ABS Analysis", published in September 2000.

The key drivers for the portfolio expected loss are (i) the low weighted average current loan-to-value (LTV) of 64.8%, which compares favorably with other UK non conforming RMBS transactions, (ii) approximately 70% of the pool has some non conforming characteristic, in fact for 13.4% of the pool borrowers had little or no income verification (self cert loans) and 56% are Buy-to-Let, (iii) the current economic conditions in the UK in combination with historic recovery data of foreclosures received from the seller.

The key drivers for the MILAN Credit Enhancement number are (i) the low LTV of 64.8%, which compares favorably with other UK non conforming RMBS transactions, (ii) 71% of the pool includes interest only loans, borrowers pay only interest until the final redemption date and (iii) the option of the seller to grant further advances and product switch, which may increase LTV and portion of risk products in the pool (e.g. interest only loans).

Co-operative Bank (A3 possible downgrade / P-2) will be acting as servicer and cash manager in the transaction. There is a back up servicer facilitator and a back-up cash manager facilitator in place at closing, triggers to appoint back up servicer and cash manager should the rating of Co-operative Bank fall below Baa3. To help ensure continuity of payments both the terms and conditions of the notes and the swap documents contain estimation language whereby the cashflows will be estimated from the three most recent servicer reports should such a document not be available.

The structure benefits from a non-amortising Reserve Fund that will be funded to 2.5% of the pool balance (equivalent to around 2.9% of the rated notes balance). The total credit enhancement for the Class A notes will be 16.5%. If Co-operative Bank is downgraded below Baa2, a liquidity reserve will be funded to give a total reserve of 4% of the outstanding Class A Notes less amounts in the Reserve Fund subject to floor of zero.

The V Score for this transaction is Medium, which is lower than the score assigned for the UK non Conforming RMBS sector. Certain sub-components deviate from the sector V Score, the main deviations are (i) the originator provided detailed historical data, 9 years of performance data covering the period from 2004 to 2012, split for product type (self cert, BTL and prime) and loan by loan repossession data from the period from 2008 to 2012; (ii) the transaction will be exposed to basis risk between Libor due on the notes and BBR paid by mortgage loans for the entire pool when all the fixed-rate mortgage loans will switch to floating and (iii) the non-amortizing Reserve Fund is provided by Co-operative Bank, who also purchased all the subordinated notes. V Scores are a relative assessment of the quality of available credit information and of the degree of dependence on various assumptions used in determining the rating. High variability in key assumptions could expose a rating to more likelihood of rating changes. The V-Score has been assigned accordingly to the report "V-Scores and Parameter Sensitivities in the Major EMEA RMBS Sectors" published in April 2009.

Moody's Parameter Sensitivities provide a quantitative/model-indicated calculation of the number of rating notches that a Moody's structured finance security may vary if certain input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged and is not intended to measure how the rating of the security might migrate over time, but rather how the initial rating of the security might have differed if key rating input parameters were varied. Parameter Sensitivities for the typical EMEA RMBS transaction are calculated by stressing key variable inputs in Moody's primary rating model.

At the time the rating was assigned, the model output indicated that all Class A Notes would have achieved a Aaa even if the expected loss was as high as 5.6% (stress of 2 times) and the MILAN Aaa CE was as high as 17.5% (stress of 1.4 times) and all other factors were constant.

The principal methodology used in this rating was Moody's Approach to Rating RMBS in Europe, Middle East, and Africa published in June 2012. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

Other factors used in this rating are described in Global Structured Finance Operational Risk Guidelines: Moody's Approach to Analyzing Performance Disruption Risk published in June 2011.

In rating this transaction, Moody's used ABSROM to model the cash flows and determine the loss for each tranche. The cash flow model evaluates all default scenarios that are then weighted considering the probabilities of the lognormal distribution assumed for the portfolio default rate. In each default scenario, the corresponding loss for each class of notes is calculated given the incoming cash flows from the assets and the outgoing payments to third parties and noteholders. Therefore, the expected loss or EL for each tranche is the sum product of (i) the probability of occurrence of each default scenario; and (ii) the loss derived from the cash flow model in each default scenario for each tranche.

As such, Moody's analysis encompasses the assessment of stressed scenarios.

The definitive ratings address the expected loss posed to investors by the legal final maturity. In Moody's opinion the structure allows for timely payment of interest and ultimate payment of principal at par on or before the rated final legal maturity date. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors.

Moody's will monitor this transaction on an ongoing basis. For updated monitoring information, please contact monitor.rmbs@moodys.com.

REGULATORY DISCLOSURES

For ratings issued on a program, series or category/class of debt, this announcement provides relevant 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 relevant 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 relevant 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.

The rating has been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.

Information sources used to prepare the rating are the following: parties involved in the ratings, public information, and confidential and proprietary Moody's Investors Service information.

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 in this transaction.

Further information on the representations and warranties and enforcement mechanisms available to investors are available on http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF304698

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Pier Paolo Vaschetti Vice President - Senior Analyst Structured Finance Group Moody's Italia S.r.l Corso di Porta Romana 68 Milan 20122 Italy Telephone:+39-02-9148-1100Michelangelo Margaria VP - Senior Credit Officer Structured Finance Group Telephone:+39-02-9148-1100 Releasing Office: Moody's Italia S.r.l Corso di Porta Romana 68 Milan 20122 Italy Telephone:+39-02-9148-1100(C) 2012 Moody's Investors Service, Inc. and/or its licensors and affiliates (collectively, "MOODY'S"). All rights reserved.

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