Correction: Fitch affirms Langton notes following restructure

Jan 31 (Reuters) - (The following statement was released by the rating agency)

This rating action commentary amends the version that was published on 19 June 2012 to include the ratings of Langton Securities 2008-1 Plc in the list below.

Fitch Ratings has affirmed Langton Master Trusts' outstanding notes at 'AAAsf' following a restructure.

The notes are backed by UK mortgage loans originated historically by Abbey (LSE: ABBY.L - news) National plc (Abbey) and, following the Part VII scheme effected in May 2010, mortgage loans originated by Santander UK plc (Santander; 'A'/Stable/'F1'). Santander is a wholly-owned subsidiary of Banco Santander SA ('BBB+'/Negative/'F2').

The restructuring involves increasing the margin on the Series 2011-2 notes issued from Langton Securities 2010-2, reduction of the trust size to approximately GBP15bn from GBP25.1bn as at the April 2012 investor report and the partial redemption of the following notes:

Langton Securities 2010-1, Class A4, A9, A10, Z1 and Z2

Langton Securities 2010-2, Class A4 and Z (Other OTC: ZHLD - news)

Langton Securities 2011-1, Class A1, A2, A7 and Z

Langton Securities 2011-2, Class A1, A2, A3, A4, A5, A6, A7, A8, A9 and Z

The following notes will be fully redeemed in the restructure:

Langton Securities 2010-2 Class A2

Following the restructuring, the credit enhancement (CE) for the class A notes totals 20.23% for series 2010-1, 20.22% for the series 2010-2 and 20.50% for the series 2011-1 provided by the subordination of the unrated class Z notes, as well as fully funded issuer reserve funds for each issue outstanding.

The class A notes also benefit from a proportionate share of the Funding reserve fund of GBP20.45m. Fitch did not take into account the Funding 1 reserve fund in the above CE levels.

In terms of performance, although arrears have shown an increasing trend over the past year, the percentage of loans that are in arrears by three months or more is still relatively low versus other master trust transactions, at 1.24% of the current outstanding collateral balance.

The agency 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 class A notes could withstand loan losses corresponding to the related stress scenarios without incurring any principal loss or interest shortfall and could retire principal by the legal final maturity.

Fitch has affirmed the ratings of the outstanding notes from the prior issuances under the Langton master trust programme, as detailed below:

Langton Securities (2008-1) Plc

Series 2011-1 Class A1: affirmed at 'AAAsf'; Outlook Stable

Series 2011-1 Class A2: affirmed at 'AAAsf'; Outlook Stable

Series 2011-1 Class A7: affirmed at 'AAAsf'; Outlook Stable

Langton Securities (2010-1) plc

Class A4: affirmed at 'AAAsf'; Outlook Stable

Class A5: affirmed at 'AAAsf'; Outlook Stable

Class A9: affirmed at 'AAAsf'; Outlook Stable

Class A10: affirmed at 'AAAsf'; Outlook Stable

Langton Securities (2010-2) plc

Class A3: affirmed at 'AAAsf'; Outlook Stable

Class A4: affirmed at 'AAAsf'; Outlook Stable

Series 2011-2 Class A1: affirmed at 'AAAsf'; Outlook Stable

Series 2011-2 Class A2: affirmed at 'AAAsf'; Outlook Stable

Series 2011-2 Class A3: affirmed at 'AAAsf'; Outlook Stable

Series 2011-2 Class A4: affirmed at 'AAAsf'; Outlook Stable

Series 2011-2 Class A5: affirmed at 'AAAsf'; Outlook Stable

Series 2011-2 Class A6: affirmed at 'AAAsf'; Outlook Stable

Series 2011-2 Class A7: affirmed at 'AAAsf'; Outlook Stable

Series 2011-2 Class A8: affirmed at 'AAAsf'; Outlook Stable

Series 2011-2 Class A9: affirmed at 'AAAsf'; Outlook Stable