Bluestone Securities plc (Series 2007-1)

Another transaction off the HVB-sponsored whole loan non-conforming RMBS conduit Bluestone sees on
this occasion a transaction consisting of loans originated by Amber Homeloans and Beacon Homeloans with
Homeloan Management acting as the servicor (Amber & Beacon were also seen as originators on the
2006-1 issue).

The collateral consists of 3,332 first ranking mortgage loans made to individuals and secured on residential
properties located in England, Scotland and Wales. Of the pool, 19.86% of the portfolio has been granted to
borrowers who have been subject to at least one County Court Judgment against them. Buy-to-let products
make up 9.79% of the total pool, which includes 1.75% buy-to-let loans granted to borrowers with an ad-
verse credit history. Borrowers with limited verification of borrower income are approx 73.45% of the total
pool. The average loan size is Stg127,379, with average seasoning of 4 1/2mnths, and a current LTV of
77.48% (2006-1 issue: seasoning 8.9mnths, LTV 78.24%)

The pool consists of 84.46% fixed rate loans and 14.56% discount loans (the last of which ends in March
2010), and 64.70% of the pool is comprised of mortgages where the borrower only pays interest until the
final redemption date. Geographically, the pool is heavily dependent on London & the South East (41.76%
of total pool), with other regional concentrations being; West Midlands (10.24%), Northwest (8.78%), and
Yorks and Humberside (8.03%).

The fast pay AAA notes printed at the wide end of 7-9bps guidance, whilst the A2A/BA/CA tranches
laboured to match their guidance of hi teens/mid 40s/110a. The +20bps print on the 3.54yrs sterling AAA
notes is 3bps wider than the recent ALBA transaction (wal:4.4yrs, another whole loan securitisation backed
by mortgages originated by GMAC-RFC). The +110a guidance at the BBB level looked slightly ambitious given
that over the past month investor demand of 120bps at this level has been matched by some of the recent UK
non-conforming RMBS deals.

The heavy supply volume has made this a particularly challenging environment for Bluestone. The AAA
tranches were covered at the final pricing levels with the bulk of the sterling tranches being placed with UK
investors, whilst the euro classes garnered interest from France, Germany and the Iberian peninsula.


Compare/contrast: Bluestone 2006-1, Alba 2007-1, ResLoC UK 2007-1