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01 Mar 2007
Moody's Assigns Definitive Ratings to Notes Issued by Eurosail-UK 2007-1NC plc
GBP 700 million of Debt Securities Rated
London, 01 March 2007 -- Moody's Investors Service ("Moody's") has assigned definitive
long-term credit ratings to the Notes to be issued by Eurosail-UK
- Aaa to the Class A1a Mortgage Backed Floating Rate Notes due
- Aaa to the Class A1c Mortgage Backed Floating Rate Notes due
- Aaa to the Class A2a Mortgage Backed Floating Rate Notes due
- Aaa to the Class A2c Mortgage Backed Floating Rate Notes due
- Aaa to the Class A3a Mortgage Backed Floating Rate Notes due
- Aaa to the Class A3c Mortgage Backed Floating Rate Notes due
- Aaa to the Class A3c Detachable Coupons due 2010;
- Aa2 to the Class B1a Mortgage Backed Floating Rate Notes due
- Aa2 to the Class B1c Mortgage Backed Floating Rate Notes due
- A1 to the Class C1a Mortgage Backed Floating Rate Notes due 2045;
- Baa1 to the Class D1a Mortgage Backed Floating Rate Notes due
- Baa1 to the Class D1c Mortgage Backed Floating Rate Notes due
- Baa3 to the Class E1c Mortgage Backed Floating Rate Notes due
Moody's assigned provisional ratings to these notes on 8 February.
Moody's has not assigned ratings to the Class DTc, ETc or FTc Notes.
The currency denominations within each separate class of Notes 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 ratings are based, inter alia, on the sterling equivalent
split of the Notes being as follows (in percentage of the total Notes
issuance excluding the Class DTc, Class ETc and Class FTc Notes):
- Class A1 31.00%
- Class A2 21.80%
- Class A3 33.00%
- Class B 6.40%
- Class C 4.05%
- Class D1 2.95%
- Class E1c 0.80%
This is the fifth securitisation under the Eurosail name. The collateral
includes loans from Southern Pacific Mortgage Limited ("SPML"),
Southern Pacific Personal Loans Ltd, ("SPPL"),
Preferred Mortgages Ltd. ("PML"), and London
Mortgage Company ("LMC") and London Personal Loans Ltd.
("LPL") branded loans. 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.
Investors in the Class A3c Detachable Coupons ("DAC") do not receive any
payments of principal, and will be paid interest at a rate of 1.0%
for quarters 1 to 4, increasing to 1.35% in quarter
5, 1.48% in quarter 6, 2.00% in
quarter 7, 2.43% in quarters 8 and 9, 2.56%
in quarter10, 2.90% in quarter 11 and 3.24%
in quarter 12, calculated on the sterling equivalent of the outstanding
balance of the Class A1, A2 and A3 Notes.
The structure of this transaction is similar to that of Eurosail 2006-3NC.
The Issuer has entered into a fixed/floating rate swap agreement to mitigate
the potential variations between mortgage loan LIBOR and the loans in
the pool that carry fixed interest rates. In 2007-1NC,
however, there are two such swaps, one for the short-term
fixed rate loans [63.3%] and one for the fixed rate
loans that are fixed for life [6.6%]. Under
these swap agreements, 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 business day of each of the calendar months falling during
the interest period.
This transaction also incorporates a BBR-LIBOR swap to hedge the
basis risk resulting from the BBR loans included in the pool (there were
no such loans in Eurosail 2006-3) that are linked to the BBR rate
while the Notes pay LIBOR. Under this swap, the Issuer pays
the weighted average BBR rate plus 18.5 bps. p.a.
and receives LIBOR on the BBR notional amount.
Like Eurosail 2006-3, this transaction has turbo notes (Classes
DTc, ETc and FTc) that are not backed by mortgage collateral but
will be paid back instead by available excess spread. Moody's
is not rating these 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 4,300,750, 2nd IPD GBP 3,679,672,
3rd IPD GBP 3,488,298 and 4th IPD GBP 3,348,435)
and will flow through the revenue waterfall as available revenue.
The ratings of the A Notes, the B Notes, the C Notes,
the D1 Notes and the E1c 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 will be the Reserve Fund,
which on closing will equal GBP 4,550,000 or 0.65%
of the initial pool balance.
The 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.
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 Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Vice President - Senior Analyst
Structured Finance Group
Moody's Eastern Europe
Telephone: +7 495 641-1881
Facsimile: +7 495 641-1897
No Related Data.
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