TEXT-Fitch assigns Brass No 2 plc final ratings

Oct 1 - Fitch Ratings has assigned Brass No 2 plc's RMBS notes finalratings, as follows:

Class A1: GBP600,000,000 floating-rate notes: 'AAAsf', Stable Outlook

Class A2: GBP600,000,000 floating-rate notes: 'AAAsf', Stable Outlook

Class Z VFN: GBP500,000,000 floating-rate notes: Not rated, of whichGBP154,315,000 have been subscribed at closing date

The ratings are based on Fitch's assessment of the underlying collateral,available credit enhancement (CE), the origination and underwriting proceduresused by Accord Mortgages Limited (a wholly owned subsidiary of YorkshireBuilding Society ('BBB+'/Stable/'F2')), its servicing capabilities and thetransaction's sound legal structure. CE for the class A notes initially totals11.7%, which is provided by the subordination of the subscribed class Z VFNnotes (9.0%), as well as a fully funded reserve account of 2.7%, which has beenfunded by the class Z VFN notes. The notes represent the second standalonepass-through UK RMBS issuance under the Brass series.

The agency has compared the performance of loans originated by Accord MortgagesLimited, which meet the eligibility criteria for Brass No.2 Plc, with Fitch's UKprime three months-plus arrears index and other similar statistics from other UKprime lenders. The agency considers that the performance of Accord's eligibleloans 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 providedFitch with a loan-by-loan data template. The data quality and availability wassolid, with no material data fields missing. The most relevant poolcharacteristics (as of 30 September 2012) are outlined below.

Of the loans in the pool at closing, approximately 97.6% are fixed-rate orfloating bank base rate loans. At the end of their remaining average teaserperiod of one to two years, all loans will start paying an interest rate linkedto the standard variable rate (SVR) set by Accord, which is currently abovemarket average (5.99%). Fitch has factored in a potential payment shock forborrowers derived from reversion to SVR by applying a lender adjustment hit of1.15.

Fitch received repossession information for 3,283 loans originated by AccordMortgages Limited, which it used to validate its quick sale adjustmentassumption of 22%.

Of the loans in the pool at closing, approximately 30.1% have at least oneinterest only part (IO loans). The agency has adjusted the probability ofdefault of all IO loans upward by 30% to account for the balloon payment riskassociated with these types of loans in its default assumptions.

Fitch modelled the transaction cash flows using default and loss severityassumptions indicated by the default model under various recession timings,prepayment speeds, interest rates and originator default scenarios. The cashflow tests showed that the rated class of notes could withstand loan losses at alevel corresponding to the related stress scenario without incurring anyprincipal loss or interest shortfall and can retire principal by legal finalmaturity.

Fitch's stress and rating sensitivity analysis is detailed in the new issuereport, which will shortly be available at

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For all of Fitch's Eurozone Crisis commentary go to

Additional information is available at

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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 byinformation from Accord Mortgages Limited and their legal advisors Allen & OveryLLP and Tods Muarry LLP.

Applicable criteria, 'Global Structured Finance Rating Criteria', dated 6 June2012, 'EMEA Master Rating Criteria' dated 7 June 2012, 'Counterparty Criteriafor Structured Finance Transactions', dated 30 May 2012, 'Counterparty Criteriafor Structured Finance Transactions: Derivative Addendum', dated 30 May 2012,'EMEA Residential Mortgage Loss Criteria' dated 7 June 2012, 'EMEA RMBS CashFlow Analysis Criteria' dated 7 June 2012, 'EMEA Criteria Addendum - UnitedKingdom - Mortgage Loss and Cash Flow Assumptions', dated 9 August 2012 areavailable at

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Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

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

(New York Ratings Team)

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