Ripon Mortgages PLC. Available credit enhancement (%) Interest A AAA (sf) Three-month LIBOR plus a margin X certificates.

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1 Presale: Ripon Mortgages PLC This presale report is based on information as of April 4, The ratings shown are preliminary. This report does not constitute a recommendation to buy, hold, or sell securities. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. Preliminary Ratings Class Preliminary rating* Class size (%) Available credit enhancement (%) Interest A AAA (sf) Three-month a margin X certificates N/A N/A N/A 0.09% of the outstanding collateral balance B-Dfrd AA (sf) Three-month 1.20% C Dfrd A+ (sf) Three-month 1.50% D Dfrd BBB+ (sf) Three-month 1.80% E-Dfrd BBB (sf) Three-month 1.80% F-Dfrd BB+ (sf) Three-month 2.25% Step-up interest Three-month a margin Three-month 2.40% Three-month 3.25% Three-month 4.25% Three-month 4.25% Three-month 5.00% Optional call date February 2022 Legal final maturity August 2056 N/A N/A N/A February 2022 February 2022 February 2022 February 2022 February 2022 G BB (sf) % 0% February 2022 August 2056 August 2056 August 2056 August 2056 August 2056 August 2056 Primary Credit Analyst: Fabio Alderotti, Madrid (34) ; fabio.alderotti@spglobal.com Secondary Contact: Feliciano P Pereira, London 44 (0) ; feliciano.pereira@spglobal.com See complete contact list on last page(s) APRIL 4,

2 Preliminary Ratings (cont.) Class Preliminary rating* Class size (%) Available credit enhancement (%) Interest Step-up interest Optional call date R NR 2.10 N/A 0% 0% February 2022 Z NR 4.50 N/A 0% 0% February 2022 Y certificates Legal final maturity August 2056 August 2056 N/A N/A N/A N/A N/A N/A N/A *The rating on each class of securities is preliminary and subject to change at any time. We expect to assign final credit ratings on the closing date subject to a satisfactory review of the transaction documents and legal opinions. The preliminary ratings address timely receipt of interest and ultimate repayment of principal for the class A notes. The preliminary ratings assigned to the class B to F notes are interest-deferred ratings and address the ultimate payment of interest and principal. N/A--Not applicable. NR--Not rated. Transaction Participants Issuer Originators and legal title holders before transfer date Legal title holder after transfer date Seller Arranger Interim servicer Interim delegated servicer Long-term servicer Cash manager and issuer bank account provider Collection account bank before the transfer date Collection account bank after the transfer date Security trustee and note trustee Share trustee Ripon Mortgages PLC Bradford & Bingley PLC and Mortgage Express Topaz Finance Ltd. Ripon S.À R.L. Citigroup Global Markets Ltd. Bradford & Bingley PLC Computershare Mortgage Services Ltd. Topaz Finance Ltd. Citibank N.A., London Branch Royal Bank of Scotland PLC TBD Citibank N.A., London Branch. Intertrust Corporate Services Ltd. TBD--To be determined. Supporting Ratings Institution/role Royal Bank of Scotland PLC as collection account provider Citibank N.A., as parent of Citibank N.A., London Branch U.K. as host sovereign of the transaction account Ratings BBB+/Stable/A-2 A+/Stable/A-1 AA/Negative/A-1+ Transaction Key Features* Expected closing date April 2017 Collateral U.K. residential mortgage buy-to-let loans Principal outstanding of the provisional pool (bil. ) 9.97 Country of origination U.K. Concentration London and southeast England: 46.80% Property occupancy Buy-to-let (100.00%) Weighted-average indexed current LTV ratio (%) APRIL 4,

3 Transaction Key Features* (cont.) Weighted-average original LTV ratio (%) Average loan size balance ( ) 116,702 Largest loan size ( ) 999,991 Weighted-average seasoning (months) 134 Weighted-average interest rate (%) 2.01 Arrears exceeding one month (%) 0 Redemption profile (%) Interest-only: and repayment: Mortgage loan priority First ranking *Data is based on a pool as of Jan. 31, Based on our methodology. LTV--Loan-to-value. Transaction Summary S&P Global Ratings has assigned preliminary credit ratings to Ripon Mortgages PLC's class A to G notes. At closing, the issuer will also issue unrated class R and Z notes and X and Y certificates. The class X certificates' payment is pro rata with the class A notes' payment of interest. Once class A amortizes, the class X certificates continue to rank senior in the revenue payment priority. We have based our credit analysis on the preliminary pool, which totals 9.97 billion. The pool comprises first-lien U.K. residential mortgage loans that Bradford & Bingley PLC (B&B) and Mortgage Express (MX) originated. On the closing date, the issuer will purchase the beneficial interest in a portfolio of U.K. residential mortgage buy-to-let loans from the seller, using the notes' issuance proceeds. The legal title of each loan will remain with B&B and MX and will move to the long-term servicer on the transfer date, which will be 12 months after closing (or earlier in case a perfection trigger occurs). B&B will be the interim servicer of the loans in the pool with a delegation to Computershare Mortgage Services Ltd. until the transfer date. After that, Topaz Finance Ltd. will start servicing the assets as a long-term servicer. In our cash flow modeling, we stressed a 0.5% servicing fee because, in our opinion, this reflects the likely cost of replacing the servicer. The reserve fund comprises a liquidity reserve fund and a general reserve fund. The liquidity reserve fund's required amount is 2.5% of the outstanding balance of the class A and B notes and amortizes as the class A and B notes amortize. The liquidity reserve is available to pay for senior fees and interest on the class A and B notes and the class X certificates. The general reserve fund's required amount is 2.5% of the class A and B notes' closing balance, minus the liquidity reserve fund. Therefore, the amount at closing will be 0%. The general reserve is available to provide credit enhancement to the notes (excluding the class G, R, and Z notes). The general reserve can also be used to cover interest shortfalls on the class X certificates and to cover any shortfalls on senior and junior fees. Our preliminary ratings address the timely receipt of interest and ultimate repayment of principal to the class A notes. The preliminary ratings assigned to the class B to F notes are interest-deferred ratings and address the ultimate payment of interest and principal. APRIL 4,

4 Our preliminary ratings reflect our assessment of the transaction's payment structure, cash flow mechanics, and the results of our cash flow analysis to assess whether the notes would be repaid under stress test scenarios. Subordination, the general reserve, and excess spread will provide credit enhancement to the rated notes. Taking these factors into account, we consider that the available credit enhancement for the rated notes is commensurate with the preliminary ratings assigned. Strengths, Concerns, And Mitigating Factors Strengths All of the pool's mortgage loans are first-lien residential mortgage loans, and the portfolio is well-seasoned. In our view, more seasoned performing loans exhibit lower risk profiles than less seasoned loans. The pool has a weighted-average current loan-to-indexed value ratio of 64.40%. None of the borrowers in the portfolio are in arrears. There are several mechanisms to meet revenue shortfalls and cover losses including the liquidity and general reserves. The issuer can also use available principal receipts to mitigate shortfalls in senior expenses and to pay interest on the rated notes, subject to principal deficiency ledger (PDL) conditions. The capital structure is fully sequential. Credit enhancement can therefore build up over time for the rated notes, which will enable the capital structure to withstand performance shocks. Any portfolio losses and any use of principal as available revenue receipts would result in the issuer recording an amount in the PDL. Concerns and mitigating factors The weighted-average original loan-to-value (LTV) is 79.23%, which is higher than our archetypal LTV ratio. In our opinion, the available credit enhancement mitigates this risk. The portfolio comprises 100% buy-to-let loans, which are exposed to additional risks, such as reliance on rental income and the management abilities and experience of the landlord. However, credit enhancement levels have been sized to reflect the additional risk inherent in these mortgages. The seller provides representation and warranties, which we view weaker than market standard, because the seller is not the entity that originated the loans. We have accounted for this in our credit analysis. The transaction has no swap agreement to hedge the mismatch between the interest rate paid under the loans and the interest rate paid under the notes. The transaction is therefore exposed to interest rate risk. We have stressed basis risk in our cash flow analysis. Of the mortgage loans, 100% are flexible, which means that relevant borrowers may request a capital redraw from the lender of amounts representing previous overpayments. In addition, an amount not exceeding the total amount of previous overpayments made by such borrower may be applied not as overpayments but toward the borrowers' subsequent monthly payments up to a maximum of six months (payment holiday). If the relevant legal title holder is unable to fund a borrow-back, the borrower may be able to set off amounts payable under the loans. There is no redraw reserve in place to mitigate this risk. We have determined the potential redraw risk and have sized an additional 1.9% set-off amount of the closing pool balance in our cash flow analysis. Of the preliminary pool, there is a high proportion (95.52%) of interest-only loans and (51.30%) of remortgage loans. We have addressed all of these features accordingly in our credit analysis in line with our European residential loans criteria (see "Methodology And Assumptions: Assessing Pools Of European Residential Loans," published on Dec. 23, 2016). APRIL 4,

5 Transaction Structure The portfolio comprises loans originated by B&B and MX. Before the closing date, the vendors (B&B and MX) will sell a beneficial interest in the mortgages to the seller. At closing, the seller will sell its beneficial interest in the mortgages to the issuer, but unless a perfection trigger occurs, the legal title will remain with the vendors. After the transfer date, the legal title will move to the long-term servicer, Topaz Finance Ltd. At closing, the issuer will use the proceeds from the notes' issuance to purchase the full beneficial interest in each of the mortgage loans in the pool from the seller. The issuer will grant security over all of its assets in the security trustee's favor. Representations and warranties The seller provides representations and warranties in the mortgage sale agreement, which we view as being considerably weaker than those we typically see in European residential mortgage-backed securities (RMBS) APRIL 4,

6 transactions, as the seller is not the entity that originated the loans. If there is a breach of the documented representations and warranties that is not remedied within the remedy period, the seller will have the option to either repurchase the entire loan from the pool or make an indemnity payment to the issuer to cover the amount of the loss resulting from the breach. We have accounted for this in our credit analysis. Flexible loans The pool contains 100% of flexible loans, for which the borrower may be entitled to request a borrow-back, subject to various conditions. If the relevant legal title holder cannot fund a borrow-back, the borrower may be able to exercise an equitable right of set-off. The transaction does not feature any legal document or redraw reserve in place to mitigate this risk. We have therefore stressed an amount equal to 1.9% of the provisional pool balance in our cash flow analysis to cover the potential claim as a marginal cost of the borrower finding alternative funding. Further advances and product switches Under the transaction documents, should a borrower request and be granted a further advance or a product switch, the seller will be obliged to repurchase the loan in question. Payment holidays Because the pool's loans are flexible, borrowers are also allowed to take payment holidays, subject to certain underlying conditions. A borrower may apply to the servicer for a payment holiday for a maximum of six months and until the accrued overpayments have been reduced. We have taken this into account in our cash flow analysis. Servicing B&B will be the servicer for the loans, with a delegation to Computershare Mortgage Services Ltd. to act on B&B's behalf. Following the sale of the assets from B&B and MX to the seller, B&B will continue to be the servicer for the pool's loans but only until the transfer date. Topaz Finance Ltd., a subsidy of Computershare Mortgage Services Ltd., will be appointed as the transaction's long-term servicer. We recently reviewed Computershare Mortgage Services Ltd.'s collections and default management processes. Computershare Mortgage Services Ltd. is regulated and fully compliant with Financial Conduct Authority principles, and it delivers appropriate outcomes to its clients. The quality assurance process and risk management structure are, in our opinion, robust and in line with market standards. We are comfortable with its information technology system; therefore, we do not expect any issues for future portfolio migrations. Overall, in our opinion, Computershare Mortgage Services Ltd.'s servicing business is in line with the U.K. market. Furthermore, because Topaz Finance Ltd. is a subsidy of Computershare Mortgage Services Ltd., we expect the same servicing team to be in place after the transfer date. APRIL 4,

7 Terms And Conditions Of The Notes The issuer will pay interest quarterly in arrears on the payment dates in February, May, August, and November of each year, beginning in August The legal final maturity date for all classes of notes will be in August The class A to F notes accrue interest at a rate of three-month a class margin. The class-specific margin for the class A to F notes will step up on the first optional redemption date in February The class G notes are zero coupons notes. Optional redemption/mandatory redemption The issuer uses principal collections to redeem the class A through Z notes. The issuer can redeem the class A to Z notes in full on the first optional redemption date in February 2022, or quarterly thereafter, at their principal amounts outstanding plus accrued interest. Clean-up call The issuer can fully redeem the notes if the seller exercises the clean-up call on each payment date on which the notes' balance is lower than 10% of the notes' balance at closing. Redemption for tax reasons If certain tax changes affect the notes, the issuer can redeem all of the notes as long as it has sufficient funds to discharge all amounts payable under the notes and the senior-ranking items. Portfolio purchase option, market portfolio option, and risk retention regulatory change option If the portfolio optionholders of the certificates (or any holder of more than 50% of the certificates) request the transfer to the legal title of the loans to the itself, or in case any new regulation is imposed on the retentionholder to subscribe more than the required level on the notes and on the certificates, the issuer can redeem all of the notes as long as it has sufficient funds to pay all the principal outstanding of the notes plus accrued interest plus senior fees. Final redemption Unless previously redeemed, all the notes are redeemed at their outstanding principal amount on the payment date in August Collateral Description The preliminary pool, which is based on the Jan. 31, 2017, cut-off date, totals 9,970,977,782 and comprises 85,440 loans. Prior to closing, we will conduct our credit analysis on the final selected pool. The pool information and characteristics presented here are based on the analyzed pool ( 9.97 billion). The pool is well-seasoned with a weighted-average seasoning of 134 months (see chart 2). In our view, well-seasoned loans have a lower risk, which we have considered this in our credit analysis. APRIL 4,

8 Chart 2 The pool also contains remortgage loans (51.30%), which have an adjusted weighted-average foreclosure frequency (WAFF) to address, in our view, a higher default risk. APRIL 4,

9 Chart 3 The county court judgements data are as of the pool's cut-off date. The pool is more diversified in terms of geographic distribution than a typical U.K. RMBS transaction, with 46.80% concentrated in southeast England and London (see chart 4). APRIL 4,

10 Chart 4 The pool's 79.23% weighted-average original LTV ratio exceeds the average for a typical U.K. RMBS transaction, calculated using our European residential loans criteria (see chart 5). At the same time, loans with low current indexed LTV ratios are likely to incur lower loss severities if the borrower defaults. Our weighted-average current LTV ratio is 64.40%, which is lower than the average U.K. RMBS transaction. APRIL 4,

11 Chart 5 APRIL 4,

12 Chart 6 Of the pool, 95.52% comprises interest-only mortgage loans. According to our European residential loans criteria, if the aggregate long-term interest-only percentage is greater than 50% of the total pool balance, we apply an adjustment factor to the excess amount above 50%. None of the borrowers in the pool are more than one-month delinquent as of the cut-off date. However, in our analysis, we also incorporated an arrears projection for the pool in the near to medium term. We determine this projection by analyzing the historic arrears performance data of the current pool. Counterparties Issuer bank account provider The issuer will open the issuer bank account with Citibank N.A., London Branch. The transaction documents will specify that the issuer and issuer bank account provider must take remedial actions, including the replacement of Citibank as the bank account provider with a suitably rated financial institution, if: At any time, our long-term issuer credit rating (ICR) on the bank account provider falls below 'A' if the short-term rating is at least 'A-1'; or APRIL 4,

13 Our long-term ICR on the bank account provider falls below 'A+' if it does not have a short-term rating. Collection bank account before the transfer date The collection account bank provider at closing will be The Royal Bank of Scotland PLC. The collections deposited from each of the loans will be transferred into the issuer account within two days. There is a declaration of trust over these collections in the issuer's favor. The transaction documents will specify that the issuer and the servicer must take remedial actions, including the replacement of The Royal Bank of Scotland as the collection account bank provider with a suitably rated financial institution, if: At any time, our long-term issuer credit rating (ICR) on the bank account provider falls below 'BBB' if the short-term rating is at least 'A-2'; or Our long-term ICR on the bank account provider falls below 'BBB+' if it does not have a short-term rating. Collection bank account after transfer date The seller will appoint a new collection bank account after the transfer date, and all the borrowers will be notified to start paying their mortgages into the new collection account bank. We understand that there will be a declaration of trust over these collections in the issuer's favor and that the transaction documents will specify that the issuer will take the same remedial actions as the interim collection bank (see above). Commingling risk According to the borrowers' payments distribution throughout the month, in our cash flow analysis, we stressed 1.5 months of collecting interest and principal (including a certain amount of assumed prepayments) as a commingling liquidity stress to take into account any possible payment delays into a new collection bank account. Payment Structure And Transaction Features As the general reserve fund will be equal 0% at closing, subordination will be the notes' only source of credit enhancement (see table 1). Table 1 Credit Enhancement For The Notes Class Preliminary rating Class size (%) Initial credit enhancement (%)* A AAA (sf) X certificates N/A N/A N/A B-Dfrd AA (sf) C Dfrd A+ (sf) D Dfrd BBB+ (sf) E-Dfrd BBB (sf) F-Dfrd BB+(sf) G BB (sf) R NR 2.10 N/A Z NR 4.50 N/A Y certificates N/A N/A N/A *Subordination at closing. NR--Not rated. N/A--Not applicable. APRIL 4,

14 Liquidity reserve fund At closing, the issuer will fully fund the liquidity reserve fund to 2.5% of the class A and B notes' closing balance through the proceeds of the class R notes. The issuer can use the liquidity reserve fund to pay senior fees and interest on the class A and B notes and the class X certificates. The liquidity reserve fund will amortize in line with the class A and B notes, and any excess fund will flow through the interest payment priority and will be available to fund the general reserve fund. General reserve fund The general reserve fund is equal to 2.5% of the class A and B notes' closing balance minus the liquidity reserve fund amount, i.e. 0.0% at closing. The general reserve fund can be used to pay senior fees, interest shortfalls, and junior servicing fees; to cover losses on the class A to F notes; and to cover interest shortfalls on the class X certificates. The class A and B notes' outstanding balance determines the notional size of the liquidity ledger and therefore the size of general reserve ledger. The class A and B decreasing note amount provides credit enhancement to the class A to F notes. Once the class F notes have been fully redeemed, the general reserve amount will be released through the principal waterfall. Principal to pay interest In addition to the liquidity reserve fund and the general reserve fund, the issuer can use principal receipts to pay senior expenses and interest shortfalls on the class A to F notes but not on the class X certificates. The issuer can use principal receipts to cover an interest shortfall on the class B to F notes only if the principal deficiency ledger on the class of notes is lower than 10% of its outstanding principal balance. This condition does not apply if the class is the senior-most class of notes outstanding. Principal deficiency ledger The cash manager will establish and maintain a PDL, comprising eight subledgers, one for each class of notes excluding the class R notes. Any losses on the portfolio and any use of principal as available revenue receipts would result in the cash manager recording a PDL amount. The cash manager will first record PDL amounts in the class Z notes' deficiency ledger. The cash manager will use excess interest to clear any PDL amounts recorded to enable the transaction to be fully collateralized. The issuer cannot use the liquidity reserve to clear any PDL balances. The class X certificates' payments The class X certificates' payment is 0.09% of the outstanding principal balance of the asset for the transaction's life. No principal payment is due on the class X certificates. These certificateholders have similar rights to class A noteholders, but only a non-ultimate payment is a transaction event of default. We have included this payment in our cash flow modeling. Revenue payment priority Trustee fees; Other senior fees; Servicing fees; APRIL 4,

15 The class A notes' interest and the class X certificates' payment; The class A notes' PDL; The class B notes' interest; The class B notes' PDL; Credit the liquidity reserve ledger; The class C notes' interest; The class C notes' PDL; The class D notes' interest; The class D notes' PDL; The class E notes' interest; The class E notes' PDL; The class F notes' interest; The class F notes' PDL; The class G notes' PDL; Junior long-term servicing fees; Credit the general reserve ledger; The class Z notes' PDL; and Payment to the Y certificates. Principal payment priority Pay shortfalls in senior fees or senior interest shortfalls (subject to the relevant PDL conditions); The class A notes' principal; The class B notes' principal; The class C notes' principal; The class D notes' principal; The class E notes' principal; The class F notes' principal; The class G notes' principal; The class R notes' principal; The class Z notes' principal; and To the residual certificateholders. Senior fees We have used a stressed servicing fee equal to 0.50% in our cash flow modeling because, in our opinion, this will be sufficient to find a replacement servicer as well as any value-added tax, which may be payable by the issuer. According to the transaction documents, the junior long-term servicing fees will be removed if the long-term servicer is replaced. Therefore, in our analysis, we have modeled two scenarios: With actual servicing fees plus junior servicing fees; and With 0.50% servicing fees and not junior fees. The scenario where the servicer is replaced is the most stressful scenario in our analysis. Other one-off fees, such as the cost of replacing the bank account or collection account and other annually recurring fixed fees, have been modeled separately. APRIL 4,

16 Basis risk The notes' interest rates are indexed to three-month sterling LIBOR, while the portfolio is based on a margin over the Bank of England base rate. This leads to basis mismatch. We have taken this into account in our cash flow analysis. Set-off risk The pool contains 0.05% of borrowers that were employees of the originator at the time of origination. We considered these loans as full loss in our analysis. The seller is not a deposit-taking institution. In our analysis, we did not make any adjustments to account for potential deposit set-off risk. Of the mortgage loans, 100% are flexible, which leads to a potential set-off risk in the transaction. We have therefore addressed this risk in our cash flow analysis, sizing 1.9% of the closing pool balance as a loss. Credit And Cash Flow Analysis We stressed the transaction's cash flows to test the credit and liquidity support that the assets, subordinated tranches, liquidity facility, liquidity reserve fund, and excess reserve fund provide. Credit enhancement The 'B' credit enhancement level for the standard U.K. mortgage loan pool is commensurate with our current assumptions of expected pool losses. These expected losses vary according to changes in the outlook for the U.K. mortgage market and consider macroeconomic factors such as unemployment, inflation, and current mortgage performance, among other factors. The current 'B' level of credit enhancement includes a foreclosure frequency component for the standard U.K. mortgage loan pool. We used the assumptions in table 2 as part of our credit analysis of the transaction's underlying assets. Table 2 Assumptions Rating level Base foreclosure frequency component for an archetypal U.K. mortgage loan pool (%) AAA AA 8.00 A 6.00 BBB 4.00 BB 2.00 Default and recovery amounts We model the foreclosure frequency for each loan in the pool, as well as the loss amount if the property is subsequently sold (the loss severity expressed as a percentage of the outstanding loan). We also model a default of the total mortgage loan balance. We determine the total amount of the unrecovered defaulted balance for the entire pool by calculating the WAFF and the weighted-average loss severity (WALS). When comparing the minimum credit enhancement levels that we consider commensurate with each rating level with that of the final pool, we also included APRIL 4,

17 interest foregone between the point of default and the receipt of recoveries (see table 3). Table 3 Assumptions Rating level Minimum credit enhancement level (%) Expected loss mode led for this pool (%)* AAA AA A BBB BB *This is the weighted-average foreclosure frequency multiplied by the weighted-average loss severity including interest. The WAFF and the WALS increase in tandem with the rating level because notes with a higher rating should be able to withstand a higher level of mortgage default and loss severity. We base our credit analysis on the loans' and borrowers' characteristics, as well as our subsequent assessment of the WAFF and the WALS for this portfolio, which we used as inputs for our cash flow analysis (see table 4). Table 4 Final Pool WAFF/WALS Rating level WAFF (%) WALS (%) AAA AA A BBB BB WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity. For modeling purposes, the repossession market value declines we apply under our U.K. RMBS criteria to calculate the loss severity incorporate our calculation of the degree of over- or under-valuation for each specific region of the U.K. Table 5 shows the resulting market value declines that we used in our analysis of this pool. Table 5 Repossession Market Value Declines At 'AAA', 'AA', 'A', 'BBB' And 'BB' Rating Levels Region AAA (%) AA (%) A (%) BBB (%) BB (%) East Anglia East Midlands North Northwest England Northern Ireland Scotland Southeast including London Southwest England Wales West Midlands Yorkshire and Humberside APRIL 4,

18 Table 5 Repossession Market Value Declines At 'AAA', 'AA', 'A', 'BBB' And 'BB' Rating Levels (cont.) Region AAA (%) AA (%) A (%) BBB (%) BB (%) Weighted-average market value decline Default timings At each rating level, the WAFF specifies the total balance of the mortgage loans we assume to default over the transaction's life. We model these defaults to occur over a three-year recession. Furthermore, we test the effect of the timing of this recession on the ability to repay the liabilities by starting the recessionary period at closing and in year 3. We apply the WAFF to the principal balance outstanding on the closing date. We model defaults to occur periodically, in amounts calculated as a percentage of the WAFF. The timing of defaults follows two paths, referred to as front-loaded and back-loaded (see table 6). Table 6 Default Timings For Front-Loaded And Back-Loaded Default Curves Recession month Front-loaded defaults (% of WAFF per month) Back-loaded defaults (% of WAFF per month) WAFF--Weighted-average foreclosure frequency. Recovery timings We assume that the issuer regains any recoveries 12 months after a payment default for buy-to-let properties. The value of recoveries at each rating level is 100% minus the WALS for that rating level. We base the WALS we use in the cash flow model on principal losses, including foreclosure costs. We do not give credit for the recovery of any interest accrued on the mortgage loans during the foreclosure period. After we apply the WAFF to the balance of the mortgage loans, we find that the asset balance is likely to be lower than that of the liabilities. Our test shows that once a note becomes the most senior outstanding, the transaction's other structural mechanisms mitigate the interest reduction caused by the defaulted mortgage loans during the foreclosure period. Delinquencies We model the liquidity stress that results from short-term delinquencies (those mortgage loans that cease to pay for a period of time but then recover and become current with respect to both interest and principal). To simulate the effect of delinquencies, we model a proportion of scheduled collections equal to the greater of one-third of the WAFF or actual observed arrears to be delayed. We apply this in each of the first 18 months of the recession and model full recovery of these delinquencies to occur 36 months after they arise. Therefore, if the total scheduled collateral collections expected to be received is 1 million and the WAFF is 30% in month five of the recession, 100,000 (one-third of the WAFF) is delayed until month APRIL 4,

19 Interest and prepayment rates We model five different interest rate scenarios: up, down, up-down, down-up, and forward curve. We model three prepayment scenarios at all rating levels: high, low, and forecast. For this transaction, we modeled the forecast constant payment rate as 7.5%. During the recessionary period, we model the prepayment rate at 3% before gradually reverting to a high prepayment rate under both scenarios. At the 'AA' level and above, we model an additional low prepayment scenario, which also reverts to a low prepayment rate after the recession period. In combination, the default timings, recession timings, interest rates, and prepayment rates described above give rise to 60 different scenarios at a 'AA' rating level and above (see table 7). The preliminary ratings we assign mean that the notes have all paid timely interest and ultimate principal under each of the scenarios at the assigned rating level. Table 7 RMBS Stress Scenarios Rating level Total number of scenarios Prepayment rate Recession start Interest rate Default timing 'AAA' 60 High, expected, and low 'AA-' and below Closing and year 3 40 High and low Closing and year 3 Up, down, up-down, down-up, forward for standard run Up, down, up-down, down-up, forward for standard run Front-loaded and back-loaded Front-loaded and back-loaded Scenario Analysis Various factors, such as increasing foreclosure rates in the underlying pool and changes in the pool composition, could lead us to lower our ratings on the notes. We have analyzed the effect of increased delinquencies by testing the sensitivity of the ratings to two different levels of movements. Increasing levels of delinquencies will likely cause more stress to a transaction and would likely be a contributing factor in the downgrade of the rated notes. In our analysis, our assumptions for the increase in delinquencies are specific to a transaction, though these levels may be similar (or the same) across different transactions. The levels do not reflect any views as to whether these deteriorations will materialize in the future; however, our analysis already incorporates additional adjustments to the default probability of the pool by projecting buckets of expected arrears. Note that even under these scenarios, structural features in securitizations may mitigate these deteriorations in performance. Further delinquencies of 8% In the first scenario, in addition to the rating-dependent stress assumptions, we apply a further 8% increase in nonperforming loans. These are split equally between the one-month and three-month buckets. In the second scenario, we apply an 8% increase, but we deem all of the loans to have missed three monthly payments. The default probability we assign to a loan increases in tandem with the monthly payments missed. Consequently, assuming that all loans have missed three monthly payments, the increase in the WAFF would be greater in the second scenario. APRIL 4,

20 Tables 8 and 9 summarize the results of assuming increasing levels of delinquencies. Table 8 Assuming An Additional 8% Of Arrears, Split Equally Between One Monthly Payment And Three Monthly Payments Missed Preliminary ratings WAFF (%) WALS (%) AAA (sf) AA (sf) A (sf) BBB (sf) BB (sf) WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity. Table 9 Assuming An Additional 8% Of Arrears, All Of Which Have Missed Three Monthly Payments Preliminary ratings WAFF (%) WALS (%) AAA (sf) AA (sf) A (sf) BBB (sf) BB (sf) WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity. Under the first scenario, the preliminary ratings on the notes would not suffer a ratings transition of more than one rating category (for example, the preliminary 'AAA (sf)' rated notes would achieve a rating of at least 'AA (sf)'). Under the second scenario, the preliminary ratings on the notes would not suffer a rating transition of more than three rating categories (for example, the preliminary 'AAA (sf)' rated notes would achieve a rating of at least 'BBB (sf)'). We based the analysis above on a simplified assumption, i.e., that the increase in arrears materializes immediately on the day after closing. In reality, these are likely to occur over a period of time. Therefore, other factors, such as seasoning or repayments of some loans, could partially mitigate the effect of deteriorating performance of other loans. Sectoral Credit Highlights Real GDP growth in fourth-quarter 2016 increased to 0.6% from 0.5% in third-quarter 2016, as concerns regarding economic activity following the Brexit vote have yet to materialize. We expect real GDP to decrease to 1.4% and 1.3% in 2017 and 2018 respectively (see "European Economic Snapshots: resilence Despite Political Risk," published Feb. 28, 2017). Unemployment stabilized at 4.8% in fourth-quarter 2016, bringing the average unemployment rate in 2016 to 4.9%. However, we expect it to rise through 2017 and 2018 to 5.5% and 5.7%, respectively, driven by businesses holding back investments in the more uncertain economic environment. We expect the squeeze on household finances and the ability to meet affordability criteria to put downward pressure APRIL 4,

21 on house prices. Furthermore, house price dynamics will be different in London than the rest of the country. London will drag on national house price inflation rather than stoke it. This is partly because buy-to-let purchases, concentrated in London, will slow down because of London's uncertain financial market future (see "Europe's Housing Markets Continue To Recover Amid Extended QE," published Feb. 15, 2017). Weighted-average 90+ day delinquencies among buy-to-let transactions increased to 3.1% in fourth-quarter 2016 from 2.1% in third-quarter 2016 (though this was driven by the redemption of Aire Valley Master Trust transactions, which had lower arrears; see "U.K. RMBS Index Report Q4 2016," published March 10, 2017). The constant prepayment rate decreased across our buy-to-let index by 90 basis points and increased by 60 basis points across our nonconforming index. The prepayment rate in the prime index decreased to 16.9% from 17.3%. Surveillance We will maintain surveillance on the transaction until the notes mature or are otherwise retired. To do this, we will analyze regular servicer reports detailing the performance of the underlying collateral, monitor supporting ratings, and make regular contact with the servicer to ensure that it maintains minimum servicing standards and that any material changes in the servicer's operations are communicated and assessed. The key performance indicators in the surveillance of this transaction are: Increases in credit enhancement for the notes; Total and 90-day delinquencies; Cumulative realized losses; LTV ratios; Constant prepayment rates; and Increases in the collateral pool's seasoning. Related Criteria And Research Related Criteria Criteria - Structured Finance - General: Methodology And Assumptions: Assessing Pools Of European Residential Loans, Dec. 23, 2016 Criteria - Structured Finance - General: Ratings Above The Sovereign - Structured Finance: Methodology And Assumptions, Aug. 8, 2016 Criteria - Structured Finance - General: Methodology: Criteria For Global Structured Finance Transactions Subject To A Change In Payment Priorities Or Sale Of Collateral Upon A Nonmonetary EOD, March 2, 2015 General Criteria: Principles For Rating Debt Issues Based On Imputed Promises, Dec. 19, 2014 Criteria - Structured Finance - General: Global Framework For Assessing Operational Risk In Structured Finance Transactions, Oct. 9, 2014 General Criteria: Methodology Applied To Bank Branch-Supported Transactions, Oct. 14, 2013 Legal Criteria: Europe Asset Isolation And Special-Purpose Entity Criteria--Structured Finance, Sept. 13, 2013 Criteria - Structured Finance - General: Counterparty Risk Framework Methodology And Assumptions, June 25, APRIL 4,

22 Criteria - Structured Finance - General: Criteria Methodology Applied To Fees, Expenses, And Indemnifications, July 12, 2012 General Criteria: Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012 General Criteria: Methodology: Credit Stability Criteria, May 3, 2010 Criteria - Structured Finance - General: Standard & Poor's Revises Criteria Methodology For Servicer Risk Assessment, May 28, 2009 Related Research U.K. RMBS Index Report Q4 2016, March 10, 2017 European Economic Snapshots: Resilience Despite Political Risk, Feb. 28, 2017 Europe's Housing Markets Continue To Recover Amid Extended QE, Feb. 15, 2017 Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016 European Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016 Updated Outlook Assumptions For The U.K. Residential Mortgage Market, June 8, EMEA RMBS Scenario And Sensitivity Analysis, Aug. 6, 2015 Analytical Team Primary Credit Analyst: Fabio Alderotti, Madrid (34) ; fabio.alderotti@spglobal.com Secondary Contact: Feliciano P Pereira, London 44 (0) ; feliciano.pereira@spglobal.com APRIL 4,

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