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01 Mar 2007
Moody's Assigns Provisional Ratings to Securities Issued by Kensington Mortgage Securities plc, Series 2007-1
Approximately GBP 800 Million of Debt Securities Rated
London, 01 March 2007 -- Moody's Investors Service has assigned provisional credit ratings to the
following classes of Notes to be issued by Kensington Mortgage Securities
plc, Series 2007-1:
(P)Aaa to the Class A1, due [June 2022];
(P)Aaa to the Class A1 Detachable Coupons, due [September 2011];
(P)Aaa to the Class A2, due [June 2040];
(P)Aaa to the Class A2 Detachable Coupons, due [September 2011];
(P)Aaa to the Class A3, due [June 2040];
(P)Aaa to the Class A3 Detachable Coupons, due [September 2011];
(P)Aa3 to the Class M1, due [June 2040];
(P)A2 to the Class M2, due [June 2040];
(P)Baa2 to the Class B1, due [June 2040];
(P)Ba2 to the Class B2, due [June 2040];
It is anticipated that the Class A1, Class A3, Class M1,
Class M2, Class B1 and Class B2 Notes will be issued in Sterling,
Euros and/or US Dollars, 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 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 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.
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 issues provisional ratings in advance of the final sale of securities
and these ratings reflect Moody's preliminary credit opinions regarding
the transaction only. Upon a conclusive review of the final version
of all the documents and legal opinions, Moody's will endeavour
to assign a definitive rating to the Notes. A definitive rating
may differ from a provisional rating.
Moody's Pre-Sale 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.
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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