TEXT-Fitch assigns Brass No 2 plc expected ratings

Link to Fitch Ratings' Report: Brass No. 2 PlcSept 18 - Fitch Ratings has assigned Brass No 2 plc's RMBS notes expected
ratings, as follows:

Class A1 floating-rate notes: 'AAAsf(EXP)', Stable Outlook (Amount TBD)
Class A2 floating-rate notes: 'AAAsf(EXP)', Stable Outlook (Amount TBD)
Class Z VFN floating-rate notes: Not rated (Amount TBD)

The final ratings are subject to the receipt of final documents conforming to
information already received.

The expected ratings are based on Fitch's assessment of the underlying
collateral, available credit enhancement (CE), the origination and underwriting
procedures used by Accord Mortgages Limited (a wholly owned subsidiary of
Yorkshire Building Society ('BBB+'/Stable/F2)), its servicing capabilities and
the transaction's sound legal structure. CE for the class A notes will initially
total 11.7%, which will be provided by the subordination of the class Z VFN
notes (9.0%), as well as a fully funded reserve account of 2.7%. The notes will
represent the second standalone pass-through UK RMBS issuance under the Brass
series.

The agency has compared the performance of loans originated by Accord Mortgages
Limited, which meet the eligibility criteria for Brass No.2 Plc, with Fitch's UK
prime three months-plus arrears index and other similar statistics from other UK
prime lenders. The agency considers that the performance of Accord's eligible
loans is commensurate with that of other UK prime lenders.

To analyse CE levels, Fitch evaluated the collateral using its default model,
details of which can be found in the reports referenced below. Accord provided
Fitch with a loan-by-loan data template. The data quality and availability was
solid, with no material data fields missing. The most relevant provisional pool
characteristics (as of April 2012) are outlined below.

Of the loans in the provisional pool, 97.6% were fixed-rate or floating BBR
loans. At the end of their remaining average teaser period of one to two years,
all loans will start paying an interest rate linked to the standard variable
rate (SVR) set by Accord, which is currently above market average (5.99%). Fitch
has factored in a potential payment shock for borrowers derived from reversion
to SVR by applying a lender adjustment hit of 1.15.

Fitch received repossession information for 3,283 loans originated by Accord
Mortgages Limited, which it used to validate its quick sale adjustment
assumption of 22%.
Of the loans in the provisional pool, 30.1% have at least one interest only part
(IO loans). The agency has adjusted the probability of default of all IO loans
upward by 30% to account for the balloon payment risk associated with these type
of loans in its default assumptions.

Fitch modelled the transaction cash flows using default and loss severity
assumptions indicated by the default model under various recession timings,
prepayment speeds, interest rates and originator default scenarios. The cash
flow tests showed that the rated 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.

Fitch's stress and rating sensitivity analysis is detailed in the presale
report, which will shortly be available at www.fitchratings.com.

Additional information is available at www.fitchratings.com. The ratings above
were solicited by, or on behalf of, the issuer, and therefore, Fitch has been
compensated for the provision of the ratings.

The source of information identified for this rating action was informed by
information from Accord Mortgages Limited and their legal advisors Allen & Overy
LLP and Tods Muarry LLP.

Applicable criteria, 'Global Structured Finance Rating Criteria', dated 6 June
2012, 'EMEA Master Rating Criteria' dated 7 June 2012, 'Counterparty Criteria
for Structured Finance Transactions', dated 30 May 2012, 'Counterparty Criteria
for Structured Finance Transactions: Derivative Addendum', dated 30 May 2012,
'EMEA Residential Mortgage Loss Criteria' dated 7 June 2012, 'EMEA RMBS Cash
Flow Analysis Criteria' dated 7 June 2012, 'EMEA Criteria Addendum - United
Kingdom - Mortgage Loss and Cash Flow Assumptions', dated 9 August 2012 are
available at www.fitchratings.com.

Applicable Criteria and Related Research:
Counterparty Criteria for Structured Finance Transactions
Counterparty Criteria for Structured Finance Transactions: Derivative Addendum
EMEA Residential Mortgage Loss Criteria
EMEA RMBS Cash Flow Analysis Criteria
EMEA Criteria Addendum - United Kingdom - Mortgage and Cashflow Assumptions
Global Structured Finance Rating Criteria
EMEA RMBS Master Rating Criteria