ֳ

Rating Action Commentary

ֳ Assigns Mansard Mortgages 2007-1 Plc's Mortgage-Backed Notes Final Ratings

Mon 02 Apr, 2007 - 7:12 AM ET

ֳ-London-02 April 2007: ֳ has today assigned final ratings to Mansard Mortgages 2007-1 Plc's GBP250m-equivalent mortgage-backed floating-rate notes due in 2049 as follows:

GBP82.5m Class A1 notes: 'AAA'
GBP97.5m Class A2 notes: 'AAA'
GBP36.25m Class M1 notes: 'AA'
GBP14.375m Class M2 notes: 'A'
GBP12.5m Class B1 notes: 'BBB'
GBP6.875m Class B2 notes: 'BB'

The collateral underlying the notes in this transaction consists solely of Rooftop Mortgage Limited ("RML") originations. RML is jointly owned by The Bear Stearns Companies Inc (rated 'A+'/'F1+'/Outlook Stable) and Crown Asset Management Limited ("CAM"), at 80% and 20%, respectively.

The final ratings are based on the quality of the collateral, available credit enhancement, the underwriting criteria of Rooftop Mortgages and the sound legal structure of the transaction. The 28.8% credit enhancement for the Class A notes is provided by the subordination of the Class M1 (14.5%), Class M2 (5.75%), Class B1 (5%), Class B2 (2.75%) notes, excess spread and a reserve fund with an initial and target balance of 0.8% of the total outstanding note balance as of closing. There is also a liquidity facility available to meet income deficiencies, including interest shortfalls on the Class A notes. However, it will not be available to fund any periodic principal deficiencies.

To determine appropriate credit enhancement levels, ֳ analysed the collateral using its default model, details of which can be found in the report "UK Residential Mortgage Default Model Criteria", dated 5 February 2007, available at . The agency also modelled cash flows using the results of the default model with structural stresses including various prepayment and interest rate scenarios. The cash flow tests showed that each class of notes could withstand loan losses at a level corresponding to the related stress scenario without incurring any principal loss or interest shortfall and can retire principal by legal final maturity.

This issuance marks RML's fourth foray into the UK non-conforming market, although some of its loans also previously formed part of the collateral for the Bluestone Securities plc transaction, which closed in December 2004.

Contact: Alastair Bigley, London, Tel: +44 (0) 20 7417 6278; Nik Downham, +44 (0)20 7417 4208.

Media Relations: Julian Dennison, London, Tel: +44 20 7862 4080.

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PARTICIPATION STATUS

The rated entity (and/or its agents) or, in the case of structured finance, one or more of the transaction parties participated in the rating process except that the following issuer(s), if any, did not participate in the rating process, or provide additional information, beyond the issuer’s available public disclosure.

Solicitation Status

The ratings above were solicited and assigned or maintained at the request of the rated entity/issuer or a related third party. Any exceptions follow below.

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