Fitch: Northern Rock Nationalisation Unlikely to Impact Granite and Whinstone

Fitch Ratings-London-21 February 2008: Fitch Ratings said today that the UK Treasury
announcement on 17 February to nationalise Northern Rock (NR) is unlikely to impact the
ratings of the residential mortgage-backed securities (RMBS) issued from NR's Granite master
trust and the notes issued by Whinstone Capital Management Limited (Whinstone) and Whinstone 2
Capital Management Limited (Whinstone 2).
The advent of public ownership has had a positive influence on the rating triggers that exist
within the Granite programme, which govern NR's role as a swap and guaranteed investment
contract (GIC) provider to the Granite programme in addition to their ability to substitute
loans into the trust. On 19 February, Fitch placed NR's Long-term Issuer Default Rating (IDR),
senior unsecured debt rating and Support Rating Floor, all at 'A-' (A minus), on Rating Watch
Positive. The Short-term IDR was upgraded to 'F1+' from 'F1' (Please refer to 'Fitch Places
Northern Rock's 'A-' IDR on Rating Watch Positive' on www.fitchratings.com).
However, Fitch notes the uncertainty surrounding NR's business plan under public ownership and
believes that other scenarios, including run-off, are still possible. "A shrinking balance
sheet, combined with the possible implementation of strict guidelines governing its operation
in mortgage markets, could result in a further decline in origination volumes and may
ultimately encumber NR's ability to substitute loans into the trust," says Francesca Zwolinsky
in Fitch's RMBS team.
Credit performance of the underlying mortgage collateral of the Granite trust remains strong.
As of the last investor report for December 2007, mortgages that were at 90 days past their
due date comprised some 0.52% of the current collateral balance. This compares favourably with
the average value for the Fitch UK Prime Index, which currently stands at 0.61% for 90 days
past due. While arrears performance will undoubtedly deteriorate, exacerbated by the current
financial market crisis, it will also deteriorate for the mortgage market as a whole. However,
in itself, an increase in arrears would not be expected to result in negative rating action
for Granite notes, given current credit enhancement levels.
Fitch will continue to monitor the ratings of NR closely together with the Granite and
Whinstone performance and will make further commentary when appropriate. The agency plans to
publish a report evaluating the Granite and Whinstone transactions in more detail next week.
Contacts: Francesca Zwolinsky, London, Tel: 020 7682 7220; Gregg Kohansky, 020 7862 4091;
Peter Dossett; 020 7862 4027.
Media Relations: Julian Dennison, London, Tel: +44 20 7862 4080.
Fitch's rating definitions and the terms of use of such ratings are available on the agency's
public site, www.fitchratings.com. Published ratings, criteria and methodologies are available
from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest,
affiliate firewall, compliance and other relevant policies and procedures are also available
from the 'Code of Conduct' section of this site.