Moody's Updates on Bocage Mortgages 1 and 2 following swap termination and other transactions amendments

London, 28 November 2012 -- Moody's has determined that the proposed action to: (i) terminate the basis swaps; (ii) appoint a back up servicer; and (iii) increase the cash available to cover losses and support the transactions with liquidity, will not result in a downgrade or withdrawal of the current ratings of the notes (the "Notes") issued by Bocage Mortgages No.1 Limited and Bocage Mortgages No.2 Limited (the "Issuers"). Moody's opinion addresses only the credit impact of the proposed action, and Moody's is not expressing any opinion as to whether the action has, or could have, other non-credit related effects that may have a detrimental impact on the interests of note holders and/or counterparties.

Moody's has assessed the proposals to terminate the basis swaps between Barclays Bank plc and the Issuers, which leaves the structures un-hedged with respect to: (i) base rate and timing of base rate mismatches; and (ii) interest rate risk stemming from loans that pay a fixed rate (around 1% to 4% of the pools for Bocage 1 and 2 respectively) and the floating rate which is paid on the notes. Moody's has haircut the available interest generated from the pools to take into account these risks.

Finsolutia - Consultoria e Gestão de Créditos S.A. has been appointed as back-up servicer in both transactions. It is required to establish preliminary procedures for how to transfer the servicing functions and conduct an initial mapping of the servicer's data systems and processes. The back-up servicer will step in as servicer in case a servicer termination event occurs with respect to Barclays Bank plc.

In Bocage Mortgages 2 an additional amount equal to EUR20 million has been added to a Liquidity Account through the issuance of a Variable Funding Note. The amounts on the Liquidity Account will be transferred to the Cash Reserve in case the Cash Reserve is below its floor. In this way the EUR20 million will work as both credit enhancement and liquidity support. In Bocage Mortgages 1 the Liquidity Account was introduced on 10 February 2012 when EUR16 million was added as extra credit enhancement and liquidity support through the issuance of a Variable Funding Note. The Variable Funding Note has been increased by EUR20 million taking the total amount of extra support that have been added in this way to EUR36 million.

The principal methodology used in these ratings 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.

Moody's will continue to monitor the ratings of the transaction. Any change in the ratings will be publicly disseminated by Moody's through appropriate media.

On 21 August 2012, Moody's released a Request for Comment seeking market feedback on proposed adjustments to its modelling assumptions. These adjustments are designed to account for the impact of rapid and significant country credit deterioration on structured finance transactions. If the adjusted approach is implemented as proposed, the rating of the notes affected by today rating action may be negatively affected. See "Approach to Assessing the Impact of a Rapid Country Credit Deterioration on Structured Finance Transactions", (http://www.moodys.com/research/Approach-to-Assessing-the-Impact-of-a-Rapid-Country-Credit--PBS_SF294880) for further details regarding the implications of the proposed methodology changes on Moody's ratings.

Maria Divid Analyst Structured Finance Group Moody'sInvestors Service Ltd. One Canada SquareCanary WharfLondon E14 5FA United Kingdom JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 Annabel Schaafsma Senior Vice President Structured Finance Group JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 Releasing Office: Moody's Investors Service Ltd. One Canada SquareCanary WharfLondon E14 5FA United Kingdom JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 (C) 2012 Moody's Investors Service, Inc. and/or its licensors and affiliates (collectively, "MOODY'S"). All rights reserved.

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