TEXT-Fitch affirms Millshaw SAMS

July 11 - Fitch Ratings has affirmed Millshaw SAMS No. 1 Limited, a
securitisation of shared appreciation mortgage loans granted to borrowers in the
UK, as follows:

Class A (ISIN XS0095095856) affirmed at 'AAAsf'; Outlook Stable;

The underlying assets in the portfolio do not accrue interest. Instead the
borrower pays 75% of the house price appreciation since the loan was granted.
Loans were aimed at borrowers over the age of 50, with maximum loan-to-value
ratios of 25%. In addition the loans in the portfolio do not have a specific
maturity date and typically amortise upon the death of the borrower.

Due to the non-standard features of these assets, Fitch did not apply its
standard EMEA mortgage loss criteria.

In order to assess the level of house price depreciation that the properties
would have to suffer before a loss on the class A notes would be incurred, Fitch
analysed the house price movements since transaction close against its standard
mortgage value decline assumptions for the UK. According to the Nationwide house
price index, since Q199 house prices have more than doubled. In its analysis of
the transaction, Fitch found that house prices would have to decline by at least
80%, which exceeds the agency's standard 'AAAsf' market value decline
assumptions as per Fitch's RMBS mortgage loss criteria for UK. For this reason
Fitch was able to affirm the ratings on the notes.

The agency also applied the most recent mortality rates for England and Wales
(source: Office for National Statistics) to determine whether the structural
features in place are sufficient to ensure the full amortisation of the notes.
As of June 2012, 49% of the borrowers in the portfolio were over 81 years of
age. Applying the mortality rates to the outstanding portfolio and assuming no
prepayments, the agency would expect a negligible number of loans to be
outstanding by legal final maturity of the notes in 2054, at which stage the
reserve fund would be more than sufficient to redeem the remaining outstanding
notes.

The affirmation also follows Fitch's assessment of the structural features
within the transaction which provide support for income deficiencies and can be
utilised to cover senior expenses. The principal repayment received from the
borrowers is used to pay down the notes. Instead of interest payments, as is
standard in most other Fitch-rated RMBS transactions, the noteholders receive
shared appreciation amounts. Neither the principal nor the shared appreciation
amounts can be used to cover senior items in the priority of payments. Instead,
the main source of revenue for this transaction is the interest earned on the
guaranteed invested contract (GIC) deposit account, which will earn the higher
of 5% and the Jersey retail price index (RPI) increased by 200bps. Based on the
most recent information published by the States of Jersey, in April 2012 the
Jersey RPI stood at 4.7%, indicating that the current interest rate earned on
the GIC account is 6.7%. Fitch has analysed the expected inflow and outflow of
funds in this transaction, and believes that sufficient revenue will be
generated by this deposit account until legal final maturity of the deal in
2054.

The ratings above were solicited by, or on behalf of, the issuer, and therefore,
Fitch has been compensated for the provision of the ratings.

Applicable criteria, 'Global Structured Finance Rating Criteria', dated 6 June
2012 are available at www.fitchratings.com.

Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria