MOODY'S ASSIGNS DEFINITIVE RATINGS TO RMBS ISSUANCE BY MAGELLAN MORTGAGES NO.2 PLC
Madrid, October 27, 2003 -- Moody's Investors Service has today assigned definitive long-term credit ratings to the following Notes issued by Magellan Mortgages No. 2 PLC:
- Aaa to the Euro 930,000,000 Class A Mortgage Backed Floating Rate notes due 2036;
- A1 to the Euro 40,000,000 Class B Mortgage Backed Floating Rate Notes due 2036; and
- Baa2 to the Euro 25,000,000 Class C Mortgage Backed Floating Rate Notes due 2036.
- No Moody's rating was assigned to the Euro 5,000,000 Class D Mortgage Backed Floating Rate Notes due 2036.
Moody's previously assigned prospective ratings on 29th September 2003.
This transaction is the second securitisation of a pool of mortgage loans secured on residential properties located in Portugal which have been originated by Banco Comercial Português, S.A. (A1, Prime-1) and Banco de Investimento Imobiliário S.A. ("BCP" and "BII" respectively).
The ratings of the Class A, Class B, and Class C Notes are primarily based on an assessment of:
(1) The characteristics of the loan pool which consists of 100% non-subsidised mortgage loans;
(2) The historic performance and delinquency data provided by BCP and BII;
(3) The swap provided by ABN AMRO N.V. ("ABN AMRO") (Aa3, Prime-1) which
(a) hedges potential interest rate mismatches between the interest received on the loan pool and interest due on the Notes, and
(b) guarantees a spread of at least 127 basis points is available to the transaction;
(4) The 3.00% liquidity facility provided by ABN AMRO;
(5) The legal and structural integrity of the transaction;
(6) The various other sources of credit enhancement available to the Notes; and
(7) The servicing arrangements including BCP and BII's roles as day to day servicers for the mortgage loan portfolio.
The ratings of the Class A Notes, the Class B Notes and the Class C Notes address both the timely payment of interest, and ultimate repayment of principal on or before the final legal maturity date. The Class D Notes were not rated by Moody's.
Moody's will monitor the transaction on an ongoing basis to ensure that it continues to perform in line with expectations, including checking all supporting ratings and conducting periodic servicing reports. Moody's Pre-Sale Report for this transaction is currently available. To obtain a copy either visit Moody's website at www.moodys.com or contact our London client service desk at +44-20-7772-5454.
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