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PLEASE READ AND SCROLL DOWN!

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Rating Action:

MOODY'S ASSIGNS PROVISIONAL RATINGS TO RMBS NOTES ISSUED BY SOUTHERN PACIFIC SECURITIES 06-1 PLC

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.
© 2021 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S CREDIT RATINGS AFFILIATES ARE THEIR CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY’S (COLLECTIVELY, “PUBLICATIONS”) MAY INCLUDE SUCH CURRENT OPINIONS. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE APPLICABLE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS (“ASSESSMENTS”), AND OTHER OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. AND/OR ITS AFFILIATES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES ITS PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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All information contained herein is obtained by MOODY’S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, all information contained herein is provided “AS IS” without warranty of any kind. MOODY'S adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources MOODY'S considers to be reliable including, when appropriate, independent third-party sources. However, MOODY’S is not an auditor and cannot in every instance independently verify or validate information received in the rating process or in preparing its Publications.

To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability to any person or entity for any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with the information contained herein or the use of or inability to use any such information, even if MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers is advised in advance of the possibility of such losses or damages, including but not limited to: (a) any loss of present or prospective profits or (b) any loss or damage arising where the relevant financial instrument is not the subject of a particular credit rating assigned by MOODY’S.

To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information.

NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY CREDIT RATING, ASSESSMENT, OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY’S IN ANY FORM OR MANNER WHATSOEVER.

Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any credit rating, agreed to pay to Moody’s Investors Service, Inc. for credit ratings opinions and services rendered by it fees ranging from $1,000 to approximately $5,000,000. MCO and Moody’s Investors Service also maintain policies and procedures to address the independence of Moody’s Investors Service credit ratings and credit rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold credit ratings from Moody’s Investors Service and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”

Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.

Additional terms for Japan only: Moody's Japan K.K. (“MJKK”) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody’s Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody’s SF Japan K.K. (“MSFJ”) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.

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 credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY550,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

​

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