GBP 3.8 billion of rated debt securities affected
London, 25 May 2011 -- Moody's Investors Service has today assigned definitive credit ratings
to the following class of notes issued by Fosse Master Issuer PLC:
USD 500 million Class A1 Floating Rate Notes, Assigned P-1(sf)
USD 3,000 million Class A2 Floating Rate Notes, Assigned Aaa
(sf)
GBP 500 million Class A3 Floating Rate Notes, Assigned Aaa (sf)
EUR 500 million Class A4 Floating Rate Notes, Assigned Aaa (sf)
USD 275 million Class A5 Floating Rate Notes, Assigned Aaa (sf)
GBP 250 million Class A6 Floating Rate Notes, Assigned Aaa (sf)
EUR 275 million Class A7 Floating Rate Notes, Assigned Aaa (sf)
Moody's also affirms the existing ratings of notes issued by Fosse Master
Issuer plc.
RATINGS RATIONALE
The notes are backed by a pool of prime UK residential mortgages originated
by Santander UK plc (Aa3 / P-1). This represents the eighth
issue out of the Fosse Master Trust structure. At closing the Trust
Property for this transaction consists of approximately GBP 17.95
billion of loans. Around GBP 5.0 billion of new loans have
been added at the time of the issuance. The Reserve Fund is funded
to 3.8% of the total Funding 1 Notes outstanding at closing
and the total credit enhancement for the Aaa rated notes is 17.3%.
The ratings of the notes take into account the credit quality of the underlying
mortgage loan pool, from which Moody's determined the MILAN Aaa
Credit Enhancement and the portfolio expected loss, as well as the
transaction structure and any legal considerations as assessed in Moody's
cash flow analysis.
The expected portfolio loss of 0.80% of original balance
of the portfolio at closing and the MILAN Aaa required Credit Enhancement
of 6.40% served as input parameters for Moody's cash flow
model, which is based on a probabilistic lognormal distribution
as described in the report "Moody's RMBS Master Trust Cash Flow Analysis",
published in April 2008.
The key drivers for the MILAN Aaa Credit Enhancement number, which
is in line with other prime UK RMBS Master Trust transactions, are
(i) the weighted average loan-to-value (LTV) of 60.5%
and (ii) the substantial seasoning of 4.5 years.
The key drivers for the portfolio expected loss are (i) the performance
of the seller's precedent transactions, (ii) benchmarking with comparable
transactions in the UK market and (iii) the current economic conditions
in the UK in combination with historic recovery data of foreclosures received
from the seller. The current level of three-month arrears
of 0.23% of the portfolio before the recent asset addition
has been taken into account in the portfolio expected loss assumption.
The short term rating on the A1 notes addresses the probability of default
by the legal final maturity. The long-term ratings on the
A2 - A7 notes 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 principal with respect of the notes
by the legal final maturity. Moody's ratings only address the credit
risk associated with the transaction. Other non-credit risks
have not been addressed, but may have a significant effect on yield
to investors.
The V Score for this transaction is Low/Medium, which is in line
with the score assigned for the UK Prime RMBS sector mainly due to the
fact that it is a standard UK prime RMBS Master Trust structure for which
we have over ten years of historical performance data for transactions
in the sector. V Scores are a relative assessment of the quality
of available credit information and of the degree of dependence on various
assumptions used in determining the rating. High variability in
key assumptions could expose a rating to more likelihood of rating changes.
The V-Score has been assigned accordingly to the report "V-Scores
and Parameter Sensitivities in the Major EMEA RMBS Sectors" published
in April 2009.
Moody's Parameter Sensitivities: If the portfolio expected loss
was increased from 0.8% of current balance to 2.4%
of current balance, and the MILAN Aaa Credit Enhancement was increased
from 6.4% to 10.2%, the model output
indicates that the class A notes would still achieve Aaa assuming that
all other factors remained equal.
Moody's Parameter Sensitivities provide a quantitative/model-indicated
calculation of the number of rating notches that a Moody's structured
finance security may vary if certain input parameters used in the initial
rating process differed. The analysis assumes that the deal has
not aged and is not intended to measure how the rating of the security
might migrate over time, but rather how the initial rating of the
security might have differed if key rating input parameters were varied.
Parameter Sensitivities for the typical EMEA RMBS transaction are calculated
by stressing key variable inputs in Moody's primary rating model.
The principal methodology used in this rating was Moody's Approach to
Rating RMBS in Europe, Middle East, and Africa published in
October 2008. Other methodologies and reports include Moody's Approach
to Rating UK RMBS published in April 2005, Moody's Updated Methodology
for Rating UK RMBS published in November 2007, Cash Flow Analysis
in EMEA RMBS: Testing Structural Features with the MARCO Model published
in January 2006 and Global Structured Finance Operational Risk Guidelines:
Moody's Approach to Analyzing Performance Disruption Risk published in
April 2011.
Moody's Investors Service did not receive or take into account a third
party due diligence report on the underlying assets or financial instruments
in this transaction.
REGULATORY DISCLOSURES
The rating has been disclosed to the rated entity or its designated agents
and issued with no amendment resulting from that disclosure.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, public information, and confidential
and proprietary Moody's Investors Service information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of assigning
a credit rating.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entity or its related third parties within the
three years preceding the Credit Rating Action. Please see the
ratings disclosure page www.moodys.com/disclosures on our
website for further information.
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.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
London
Jonathan Livingstone
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
London
Neal Shah
MD - Structured Finance
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's Investors Service Ltd.
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SUBSCRIBERS: 44 20 7772 5454
Moody's Investors Service assigns definitive ratings to notes issued by Fosse Master Issuer plc
