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10 May 2006
MOODY'S ASSIGNS PROVISIONAL RATINGS TO UK RMBS NOTES ISSUED BY EUROSAIL 2006-1 PLC
Approximately GBP 735 Million of Debt Securities Rated
Paris, May 10, 2006 -- Moody's Investors Service ("Moody's") has today assigned
provisional long-term credit ratings to the Notes to be issued
by Eurosail 2006-1 plc:
- (P)Aaa to the GBP Class A1 Mortgage Backed Floating Rate Notes
- (P)Aaa to the GBP Class A2 Mortgage Backed Floating Rate Notes
- (P)Aa3 to the GBP Class B Mortgage Backed Floating Rate Notes
- (P)A2 to the GBP Class C Mortgage Backed Floating Rate Notes
- (P)Baa2 to the GBP Class D1 Mortgage Backed Floating Rate Notes
- (P)Baa2 to the GBP Class DTc Mortgage Backed Floating Rate Notes
- (P)Ba1 to the GBP Class E Mortgage Backed Floating Rate Notes
Moody's has not assigned ratings to the Residual Certificates.
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, 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 Class DTc):
- Class A1 [45.0]%
- Class A2 [43.7]%
- Class B [4.3]%
- Class C: [3.5]%
- Class D1: [2.85]%
- Class E: [0.65]%
- Class DTc: [1.5]%
This is first eighteenth RMBS-transaction of non-conforming,
first and second ranking mortgage loans originated by Southern Pacific
Mortgage Limited ("SPML") and Southern Pacific Personal Loans Limited
("SPPL") and the first one under the EUROSAIL name. 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 standby cash/bond administrator.
Barclays Bank PLC (Aa1, Prime-1) will be the liquidity facility
and GIC provider.
The structure of this transaction is similar to that of Southern Pacific
Financing 06-A plc, with no Interest Only Notes, and
a hedge of the fixed rate loans margin by mean of a swap instead of a
cap. As in the SPS 05-3 and 06-1 transactions,
the DTc 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 Principal on the DTc
Notes will be paid from the Revenue Waterfall after any top-up
to the Reserve Fund --up to % of the closing balance
of the DTc Notes on the immediately preceding IPD, unless this is
less than or equal to % of the initial balance of the
DTc Notes in which case available revenue will be applied to pay down
the DTc Notes.
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
GBP[2,117,716], 2nd IPD GBP[1,935,027],
3rd IPD GBP[1,702,706] and 4th IPD GBP[1,380,143])
and will flow through the revenue waterfall as available revenue.
The Issuer has entered into a fixed/floating rate swap agreement mitigate
the potential variations between mortgage loan LIBOR and the loans in
the pool that carry fixed interest rate (approximately [75.4]%
for a period expiring on or before [December 2010]). Under
this swap agreement, the Issuer will pay the interest received from
the fixed rate loans and will receive from the swap counterparty LIBOR
plus a margin determined at closing over the average of the aggregate
of the principal balances of the fixed rate loans in the mortgage pool
as of the second day of each of the calendar months falling during the
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 Notes)
will be the Reserve Fund, which on closing will equal GBP[3,675,000]
or [0.50]% of the original transaction size (excluding
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.
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.
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