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26 Jan 2006
MOODY'S ASSIGNS PROVISIONAL RATINGS TO RMBS NOTES ISSUED BY SOUTHERN PACIFIC SECURITIES 06-1 PLC
Approximately GBP 360 Million of Debt Securities Affected
London, 26 January 2006 -- Moody's Investors Service has today assigned provisional long-term
credit ratings to the Notes to be issued by Southern Pacific Securities
06-1 plc:
- (P)Aaa to the EUR Class A1a Mortgage Backed Floating Rate Notes
due [December 2024];
- (P)Aaa to the USD Class A1b Mortgage Backed Floating Rate Notes
due [December 2024];
- (P)Aaa to the GBP Class A1c Mortgage Backed Floating Rate Notes
due [December 2024];
- (P)Aaa to the EUR Class A2a Mortgage Backed Floating Rate Notes
due [March 2044];
- (P)Aaa to the USD Class A2b Mortgage Backed Floating Rate Notes
due [March 2044];
- (P)Aaa to the GBP Class A2c Mortgage Backed Floating Rate Notes
due [March 2044];
- (P)Aaa to the GBP Class A2c Detachable Coupons due [March
2009];
- (P)Aa3 to the EUR Class B1a Mortgage Backed Floating Rate Notes
due [March 2044];
- (P)Aa3 to the USD Class B1b Mortgage Backed Floating Rate Notes
due [March 2044];
- (P)Aa3 to the GBP Class B1c Mortgage Backed Floating Rate Notes
due [March 2044];
- (P)A3 to the EUR Class C1a Mortgage Backed Floating Rate Notes
due [March 2044];
- (P)A3 to the USD Class C1b Mortgage Backed Floating Rate Notes
due [March 2044];
- (P)A3 to the GBP Class C1c Mortgage Backed Floating Rate Notes
due [March 2044];
- (P)Baa3 to the EUR Class D1a Mortgage Backed Floating Rate Notes
due [March 2044];
- (P)Baa3 to the USD Class D1b Mortgage Backed Floating Rate Notes
due [March 2044];
- (P)Baa3 to the GBP Class D1c Mortgage Backed Floating Rate Notes
due [March 2044]; and
- (P)Baa2 to the GBP Class DTc Mortgage Backed Floating Rate Notes
due [March 2044].
Moody's has not assigned ratings to the Class E1c, Class ETc and
the Class FTc Notes.
It is anticipated that the Class A1, Class A2, Class B,
Class C and Class D1 will be issued in U.S. Dollars,
Sterling and/or Euros, as per above, subject to market demand.
The final currency denominations within each separate class of note will
rank pari-passu with each other in all respects. The currency
risk will be covered via various currency swaps with one or more swap
counterparties. The provisional ratings are based, inter
alia, on the sterling equivalent split of the Notes being as follows
(in percentage of the total Notes issuance excluding Classes DTc,
ETc and FTc):
- Class A1 [36.79]%
- Class A2 [48.35]%
- Class B [6.83]%
- Class C: [3.93]%
- Class D1: [2.50]%
- Class E1c: [1.60]%
- Class DTc: [2.30]%
- Class ETc: [1.50]%
- Class FTc: [0.80]%
This is the fourteenth RMBS-transaction of non-conforming,
1st and 2nd ranking mortgage loans originated by Southern Pacific Mortgage
Limited ("SPML") and Southern Pacific Personal Loans Limited ("SPPL").
Capstone Mortgage Services Limited ("Capstone"), a wholly
owned subsidiary of Lehman Brothers, is the primary mortgage servicer
and cash/bond administrator to 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 [0.70]%
for quarters 1 to 4, increasing to [1.90]% in
quarters 5 and 6, [2.25]% in quarter 7,
[2.45]% in quarters 8 and 9, [2.50]%
in quarter 10, [2.90]% in quarter 11 and [3.15]%
in quarter 12, calculated on the sterling equivalent of the outstanding
balance of the Class A1 and A2 Notes.
Similarly to SPS 05-3 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 payments to the D1 Notes and interest on the ETc
Notes ranks pari passu with payments to the E1c Notes.
Principal on the DTc note 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 Note 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 DTc Note.
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.
At the closing date, the transaction will incorporate 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 Discount Margin
Reserve Ledger on each of the first four Interest Payment Dates (1st IPD
[0.53]%, 2nd IPD [0.45]%,
3rd IPD [0.44]% and 4th IPD [0.40]%
of the closing Note balance excluding the DTc, ETc, and FTc
Notes) and will flow through the revenue waterfall as available revenue.
The Issuer has entered into cap agreements to mitigate the potential variations
between mortgage loan LIBOR and the loans in the pool that carry fixed
rates of interest rate (approximately [70.2]% of the
loans initially carry a fixed interest rate for a period expiring on or
before [March 2009]). The cap agreement has a strike rate
of [4.91]% on an amortising notional during the period
from the Interest Payment Date falling in [June 2006] to the Interest
Payment Date falling in [March 2009].
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.
A level of protection to investors in the Notes (excluding the DTc,
ETc and FTc Notes) will be the non-amortising Reserve Fund,
which on closing will equal GBP[1,800,000] or [0.50]%
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
London
Olga Gekht
Associate Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
No Related Data.
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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.
MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.
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