MOODY'S ASSIGNS PROVISIONAL RATINGS TO NOTES ISSUED BY PREFERRED RESIDENTIAL SECURITIES 06-1 PLC
Approximately GBP 437 Million of Debt Securities Affected.
Paris, February 08, 2006 -- Moody's Investors Service has today assigned provisional long-term
credit ratings to the Notes to be issued by Preferred Residential Securities
06-1 PLC:
(P)Aaa to the Euro Class A1a Mortgage Backed Floating Rate Notes due 2028;
(P)Aaa to the USD Class A1b Mortgage Backed Floating Rate Notes due 2028;
(P)Aaa to the GBP Class A1c Mortgage Backed Floating Rate Notes due 2028;
(P)Aaa to the Euro Class A2a Mortgage Backed Floating Rate Notes due 2043;
(P)Aaa to the USD Class A2b Mortgage Backed Floating Rate Notes due 2043;
(P)Aaa to the GBP Class A2c Mortgage Backed Floating Rate Notes due 2043;
(P)Aaa to the GBP Class A2c Detachable Coupons due 2008;
(P)Aa2 to the Euro Class B1a Mortgage Backed Floating Rate Notes due 2043;
(P)Aa2 to the USD Class B1b Mortgage Backed Floating Rate Notes due 2043;
(P)Aa2 to the GBP Class B1c Mortgage Backed Floating Rate Notes due 2043;
(P)A2 to the Euro Class C1a Mortgage Backed Floating Rate Notes due 2043;
(P)A2 to the USD Class C1b Mortgage Backed Floating Rate Notes due 2043;
(P)A2 to the GBP Class C1c Mortgage Backed Floating Rate Notes due 2043;
(P)Baa2 to the Euro Class D1a Mortgage Backed Floating Rate Notes due
2043;
(P)Baa2 to the USD Class D1b Mortgage Backed Floating Rate Notes due 2043;
(P)Baa2 to the GBP Class D1c Mortgage Backed Floating Rate Notes due 2043;
(P)Baa2 to the GBP Class DTc Mortgage Backed Floating Rate Notes due 2043;
and
(P)Ba3 to the GBP Class E1c Mortgage Backed Floating Rate Notes due 2043;
Moody's has not assigned ratings to the Class ETc and the Class FTc Notes.
It is anticipated that the Class A1, Class A2, Class B,
Class C and Class D might be issued in U.S. Dollars,
Sterling and/or Euros, subject to market demand. The final
currency denominations within each separate class of note will rank pari-passu
with each other in all respects. Moody's provisional ratings
are based, inter alia, on the sterling equivalent split of
the Notes being as follows:
Class A1 -- 29.86%
Class A2 -- 52.44%
Class B -- 6.90%
Class C - 4.20%
Class D1 - 4.72%
Class DTc -1.10%
Class E1c -- 1.88%
Class ETc - 1.05%
Class FTc -- 1.00%
This is the 11th RMBS-transaction of non-conforming,
mortgage loans originated by Preferred Mortgages Limited ("PML") and the
first one featuring "Near Prime" loans and second-ranking
mortgages. PML is the initial primary mortgage servicer and cash/bond
administrator for the transaction. Homeloan Management Ltd (SQ2),
a wholly owned subsidiary of Skipton Building Society (A3, Prime-1),
is the standby mortgage servicer and cash/bond administrator. Barclays
Bank Plc (Aa1, Prime-1) will be the liquidity facility and
GIC provider.
Investors in the Class A2c Detachable Coupons ("DAC") do not
receive any payments of principal, and will be paid interest at
a rate of [1.00]% for the quarters 1 to 4 increasing
to [1.25]% in quarter 5, [1.34]%
in quarter 6, [1.47]% in quarters 7, 8
and 9, [1.49]% in quarter 10, [1.61]%
in quarter 11 and [1.69]% in quarter 12, calculated
on the sterling equivalent of the outstanding balance of the Class A Notes.
The transaction will incorporate at the closing date a cash reserve to
mitigate the reduced interest rate on discounted loans during the first
year. A fixed cash amount will be withdrawn from the Discounted
Margin Reserve Ledger on each of the first four Interest Payment Dates
(1st IPD GBP[2,296,988], 2nd IPD GBP[1,828,786],
3rd IPD GBP[1,319,226] and 4th IPD GBP[1,094,331])
and will flow through the revenue waterfall as available revenue.
As in the previous transaction, the DTc, ETc and FTc Notes,
are not backed by mortgage collateral but will be paid back by available
excess spread. Interest payments on the DTc Notes rank pari passu
with the D1 Notes and interest on the ETc Notes ranks pari passu with
the E1c Notes.
Principal on the DTc Notes will be paid from the Revenue Waterfall after
any top-up to the Reserve Fund, up to [60]% of
the closing balance of the DTc Notes on the immediately preceding IPD,
unless this is less than or equal to [25]% of the initial
balance of the DTc Notes in which case available revenue will be applied
to pay down the whole of the DTc Notes.
The principal of the ETc Notes will be paid down from available revenue
funds after any payments to the DTc Notes. The FTc Notes will receive
interest, then principal after the ETc Notes have been paid down
in full, all accrued interest will be recorded on the FTc ledger.
A beneficial feature is the cap agreement; approximately [24.0]%
of the loans are initially set at a fixed rate for a period expiring on
or before [March 2009]. The Issuer will enter into interest
rate cap agreements to mitigate the potential variations between mortgage
loan LIBOR and the fixed rates in the pool. The cap agreement has
a strike rate of [4.86]% during the period from the
Issue Date and ending on the Interest Payment Date falling in [March
2009], with a notional following the decreasing principal balance
of fixed-rate loans as they revert to floating rates, assuming
no prepayments.
The provisional ratings of the A Notes, the B Notes, the C
Notes and the D Notes are based upon an analysis of the characteristics
of the mortgage pool backing the Notes, the protection the Notes
receive from credit enhancement against defaults and arrears in the mortgage
pool, and the legal and structural integrity of the issue.
An additional level of protection to investors in the Notes (excluding
the DTc, ETc and FTc Notes) will be the Reserve Fund, which
on closing will equal GBP[2,376,000] or [0.55]%
of the original transaction size (excluding DTc, ETc and FTc Notes).
The provisional ratings address the expected loss posed to investors by
the legal final maturity. In Moody's opinion, the structure
allows for the timely payment of interest and ultimate payment of principal
by the legal final maturity. Moody's issues provisional ratings
in advance of the final sale of securities, and these ratings only
represent Moody's preliminary opinion. Upon a conclusive review
of the transaction and associated documentation, Moody's will endeavor
to assign definitive ratings to the Notes. A final rating may differ
from a prospective rating.
Please contact Moody's Client Service Desk at +44-20-7772
5454 or www.moodys.com for further information or to receive
a copy of the Presale Report of this transaction.
Paris
Annick Poulain
Managing Director
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Paris
Ariel Weil
Analyst
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
