The following is a press release from Standard & Poor's: OVERVIEW -- These rating actions follow our review of the latest performance information for these transactions. -- We have placed on CreditWatch negative our ratings on certain notes in Arran Funding's series 2005-B and 2007-B and Arran Funding (UK)'s series 2008-A. -- The Arran Funding Trust is backed by U.K. credit card receivables originated by RBS. LONDON (Standard & Poor's) July 28, 2010--Standard & Poor's Ratings Services today placed on CreditWatch negative its credit ratings on Arran Funding Ltd.'s class B3, C1, and C3 notes series 2005-B PLC, its class A2 and A3 notes series 2007-A, and Arran Funding (UK) PLC's class A notes series 2008-A (see list below). All the other notes in the Arran Funding Trust are unaffected by this action. Today's rating actions follow our review of the underlying collateral performance of the Arran Funding Trust. Charge-offs have been rising since the end of 2008 and reached a high of 11.14% in March 2010. They have since fallen to 9.24% in May 2010. However the three-month moving average charge-off rate increased for the past four months. This, together with the increasing level of cardholders on repayment plans, has led us to increase our charge-off base case assumption to 10.5% from 9.2%. Yield has been relatively stable over the past three years, and consequently we have maintained our base case assumption for yield at 17.0%. For our analysis, when calculating yield we do not give benefit to interchange and recoveries. The payment rate has stabilized over the past year and we have thus maintained our base case assumption at 19%. The change in our base case assumption for charge-offs has led to an increased likelihood that we could lower the ratings on the classes of notes affected by today's rating actions. We therefore placed these ratings on CreditWatch negative. We will monitor the performance of the Trust, in particular the level of charge-offs over the next few payment dates. We will aim to resolve the CreditWatch placements in the next three months. Arran Funding issued its 'BB' rated notes in series 2007-A to provide extra support to the Arran Funding Ltd.'s 2005-B notes issued by the Arran Funding Trust. They provide support to Arran Funding Ltd.'s 2005-B notes but do not provide support to the more recent Arran Funding (UK) series. The Arran Funding Trust is a master trust backed by credit card receivables originated by The Royal Bank of Scotland PLC. RELATED CRITERIA AND RESEARCH -- General Methodology And Assumptions For Rating U.S. ABS Credit Card Securitizations, April 19, 2010 Related articles are available on RatingsDirect. Criteria, presales, servicer evaluations, and ratings information can also be found on Standard & Poor's Web site at www.standardandpoors.com. Alternatively, call one of the following Standard & Poor's numbers: Client Support Europe (44) 20-7176-7176; London Press Office (44) 20-7176-3605; Paris (33) 1-4420-6708; Frankfurt (49) 69-33-999-225; Stockholm (46) 8-440-5914; or Moscow (7) 495-783-4011. RATINGS LIST Ratings Placed On CreditWatch Negative Rating Class To From Arran Funding Ltd. EUR450 Million, GBP864 Million, And $477 Million Asset-Backed Floating-Rate Notes Series 2005-B B3 A/Watch Neg A C1 BBB/Watch Neg BBB C3 BBB/Watch Neg BBB EUR51.2 Million, GBP24 Million Asset-Backed Floating-Rate Notes Series 2007-A A2 BB/Watch Neg BB A3 BB/Watch Neg BB Arran Funding (UK) PLC GBP1.5 Billion Class A And Class C Floating-Rate Asset-Backed Notes Series 2008-A A AAA/Watch Neg AAA Surveillance Credit Analyst: Laura Dray, London (44) 20-7176-3909; laura_dray@standardandpoors.com Additional Contact: Structured Finance Europe; StructuredFinanceEurope@standardandpoors.com No content (including ratings, credit-related analyses and data, model, software or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of S&P. The Content shall not be used for any unlawful or unauthorized purposes. 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(END) Dow Jones Newswires July 28, 2010 07:00 ET (11:00 GMT)
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