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Rating Action:

Moody's Assigns Definitive Ratings to Securities Issued by Kensington Mortgage Securities plc, Series 2007-1

28 Mar 2007
Moody's Assigns Definitive Ratings to Securities Issued by Kensington Mortgage Securities plc, Series 2007-1

GBP 800 Million of Debt Securities Rated

London, 28 March 2007 -- Moody's Investors Service has assigned definitive credit ratings to the following classes of Notes to be issued by Kensington Mortgage Securities plc, Series 2007-1:

Aaa to the Class A1a, due June 2022;

Aaa to the Class A1a Detachable Coupons, due September 2011;

Aaa to the Class A1b, due June 2022;

Aaa to the Class A1b Detachable Coupons, due September 2011;

Aaa to the Class A1c, due June 2022;

Aaa to the Class A1c Detachable Coupons, due September 2011;

Aaa to the Class A2, due June 2040;

Aaa to the Class A2 Detachable Coupons, due September 2011;

Aaa to the Class A3a, due June 2040;

Aaa to the Class A3a Detachable Coupons, due September 2011;

Aaa to the Class A3b, due June 2040;

Aaa to the Class A3b Detachable Coupons, due September 2011;

Aaa to the Class A3c, due June 2040;

Aaa to the Class A3c Detachable Coupons, due September 2011;

Aa3 to the Class M1a, due June 2040;

Aa3 to the Class M1b, due June 2040;

A2 to the Class M2b, due June 2040;

Baa2 to the Class B1a, due June 2040;

Baa2 to the Class B1b, due June 2040;

Ba2 to the Class B2, due June 2040;

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 C Notes):

- Class A1 30.00%

- Class A2 13.00%

- Class A3 42.00%

- Class M1 6.00%

- Class M2 4.00%

- Class B1 3.10%

- Class B2 1.90%

Investors in the Class A Detachable Coupons ("DACs") do not receive any payments of principal, and will be paid interest at a rate of 0.60% p.a. for a period of 18 quarters, calculated on the outstanding balance of the Class A1, A2, A3 Notes, respectively.

Moody's previously assigned provisional ratings on the notes on 1st March 2007. The Issuer, Kensington Mortgage Securities plc, is a special purpose vehicle incorporated in England and Wales, which is ultimately owned by a charitable trust. The Issuer is a multi-issuance vehicle and this transaction represents the first series to be issued under its MTN style programme.

The assets supporting the Notes are subprime and non-conforming first- and second-lien residential mortgage loans originated by entities trading under the name of Kensington Mortgage Company Ltd., Money Partners Ltd. and Money Partners Loans Ltd. and secured on residential properties in England, Wales and Scotland. Homeloan Management Ltd. will be responsible for the day-to-day servicing of the loans, while Western Mortgage Services will act as standby servicer.

The ratings of the 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 transaction. The credit enhancement available in the deal is provided in the form of excess spread, a discount margin reserve, reserve fund (initially 1.00% of original note balance, building to 1.50%), and subordination of the Class M1, M2, B1 and B2 Notes. Subject to certain conditions being met, the reserve fund may amortise down to a floor of 0.75% of the original note balance.

To hedge against the risk of rising interest rates during the fixed rate periods for the fixed-rate loans in the pool, the Issuer will enter into a swap for the principal balance of these loans. To hedge against possible mismatch between Note LIBOR and LIBOR payable on the loans, the issuer will enter into a basis swap agreement. The Issuer will also enter into cross currency swaps to hedge against interest rate and foreign exchange risk on the Notes.

The ratings address the expected loss posed to investors by the legal final maturity. In Moody's opinion, the structure allows for timely payment of interest and ultimate payment of principal at par on or before the rated final legal maturity date. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors.

Moody's forthcoming New Issue Report will be available for this transaction. To obtain a copy either visit Moody's website or contact Moody's London client service desk at +44-20-7772-5454.

London
Neal Shah
Managing Director
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moscow
Daniel Gringauz
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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