Mansard Mortgages 2007-1

The fourth deal to securitise mortgages oriinated by Rooftop Mortgages, the original two deals
coming under the short-lived Farringdon brand-name, which gained notoriety for rapidly drawing
on its reserve funds. Hence the re-branding as Mansard, and also a switch in emphasis from
medium/heavy adverse products to light/near prime products.

The collateral consists of 1,950 first ranking mortgage loans made to individuals secured on res-
idential properties located in England, Wales and Scotland. Of these loans, 52.77% were for pur-
chases, and 47.23% for remortgage purposes. Interest-only loans make up 78.60% of the pool.
Of the pool,12.55% can be described as "credit impaired loans", where the borrower has been
subject to at least one County Court Judgement (Farringdon 2, 42.2% of the pool, Mansard 2006-1
7.74%). Under the non-conforming header, 76.64% of the total pool are to individuals with limited
verification of borrower income (Farr2 69%, Mansard 2006 54.42%), and 35.84% of the pool are
Buy-to-Let mortgage loans.

Average loan size is Stg128,000, with average seasoning of 6mnths. The current WA LTV is 82.34%
(Mansard 2006-1 LTV 84.14%), with the SouthEast including London avccounting for 53.34% of the
total pool. The next 3 largest regional concentrations are: NorthWest 12.28%, WestMidlands 7.18%,
and Yorks & Humber 6.15%.

Despite the higher quality pool and the better performance of Mansard 2006-1 compared to the earlier
Farringdon transactions, Mansard has still priced wider than some of its peers, although this price
differential has narrowed slightly. The yield premium on the longer dated AAAs was 5bps and 2bps
over Newgate 2007-1 2.28yrs and 4.96yrs AAAs. This is 1bp tighter compared to last October's
comparison, so Rooftop does seem to be on the right path. The senior tranches saw interest from
investors mainly in the UK and Ireland with the junior notes being placed in mainland Europe.


Compare/contrast: Farringdon 1&2, Mansard 2006-1, Newgate 2006-3 & 2007-1