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06 Nov 2006
Moody's assigns definitive ratings to Arkle Master Issuer plc Series 2006-1 notes
Approximately GBP 7.0 Billion of Debt Securities Affected.
London, 06 November 2006 -- Moody's Investors Service has assigned definitive credit ratings to the
following classes of Notes issued by Arkle Master Issuer:
- Aaa / Prime-1 to the USD 1,555,500,000
Series 2006-1 Class 1A Notes due Nov 2007;
- Aaa to the EUR 1,450,900,000 Series 2006-1
Class 2A Notes due Feb 2052;
- Aaa to the USD 1,972,100,000 Series 2006-1
Class 3A Notes due Aug 2011;
- Aaa to the USD 1,607,600,000 Series 2006-1
Class 4A1 Notes due Feb 2052;
- Aaa to the USD 2,000,000,000 Series 2006-1
Class 4A2 Notes due Feb 2052;
- Aaa to the EUR 821,000,000 Series 2006-1 Class
5A1 Notes due Feb 2052;
- Aaa to the GBP 1,050,000,000 Series 2006-1
Class 5A2 Notes due Feb 2052;
- Aa3 to the USD 42,900,000 Series 2006-1 Class
1B Notes due Feb 2052;
- Aa3 to the EUR 51,800,000 Series 2006-1 Class
2B Notes due Feb 2052;
- Aa3 to the USD 67,600,000 Series 2006-1 Class
3B Notes due Feb 2052;
- Aa3 to the USD 78,400,000 Series 2006-1 Class
4B Notes due Feb 2052;
- Aa3 to the EUR127,000,000 Series 2006-1 Class
5B1 Notes due Feb 2052;
- Aa3 to the GBP 29,000,000 Series 2006-1 Class
5B2 Notes due Feb 2052;
- A2 to the USD 42,900,000 Series 2006-1 Class
1M Notes due Feb 2052;
- A2 to the EUR 44,400,000 Series 2006-1 Class
2M Notes due Feb 2052;
- A2 to the USD 54,500,000 Series 2006-1 Class
3M Notes due Feb 2052;
- A2 to the USD 31,600,000 Series 2006-1 Class
4M Notes due Feb 2052;
- A2 to the EUR 20,000,000 Series 2006-1 Class
5M1 Notes due Feb 2052;
- A2 to the GBP 76,600,000 Series 2006-1 Class
5M2 Notes due Feb 2052;
- Baa2 to the USD 42,900,000 Series 2006-1 Class
1C Notes due Feb 2052;
- Baa2 to the EUR 44,400,000 Series 2006-1 Class
2C Notes due Feb 2052;
- Baa2 to the USD 54,500,000 Series 2006-1 Class
3C Notes due Feb 2052;
- Baa2 to the USD 46,700,000 Series 2006-1 Class
4C Notes due Feb 2052;
- Baa2 to the EUR 100,000,000 Series 2006-1
Class 5C1 Notes due Feb 2052; and
- Baa2 to the GBP 49,000,000 Series 2006-1 Class
5C2 Notes due Feb 2052;
Moody's previously assigned provisional ratings to these notes on 11 October
The Prime-1 short-term rating of the Class 1A Notes addresses
the promise to investors of receiving the principal amount and all the
accrued interests by the legal final maturity of the Notes. The
Aaa long term ratings address the expected loss posed to investors by
the legal final maturity of the Notes.
The Series 1, Series 2, Series 3, Series 4 and Series
5 Notes have both a scheduled and legal final maturity date. For
these Notes the ratings address payment of principal by the final,
and not the scheduled, maturity date. 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.
The currency denominations within each separate class of note for the
Class 5A, 5M, 5B and 5C Notes will rank pari-passu
with each other in all respects. The currency risk will be covered
via various currency swaps with several swap counterparties.
The Notes are backed by a pool of prime UK residential mortgages originated
by Cheltenham & Gloucester plc ("C&G"). This
is the first issue by C&G. C&G is a 100% subsidiary
of Lloyds TSB Bank plc and the third largest residential mortgage lender
in the UK.
The collateral pool consists of approximately GBP [19.75]
billion of collateral at pool cut off date (31st May 2006). The
pool is of high credit quality: none of the additional loans have
been more than 1 month in arrears in the past 12 months, the weighted
average current Loan to original Market Value of the pool is 72.2
per cent, the average seasoning of loans in the pool is c.
30.2 months, and the originator is rated Aaa/Prime-1.
Arkle Master Issuer allows for flexibility in terms of loan additions.
In order to allow for this, Moody's Portfolio Variation Test has
been implemented, aiming to limit the risk of portfolio credit quality
deterioration due to substitution. As regards portfolio quality,
Moody's gives full benefit to house price increases, as the Moody's
Portfolio Variation Test is capable to give protection against a slowing
house price inflation. Further, the Notes have been structured
assuming a higher level of loans with limited income verification than
currently in the pool. The Reserve Fund will amount to GBP 116
m at close or 1.65% of all the outstanding notes of the
Arkle Master Issuer.
For a copy of Moody's Pre Sale Report regarding this transaction,
please contact Moody's London Client Service Desk at +44-(0)20
7772 5454 or access Moody's website www.moodys.com.
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 Investors Service Ltd.
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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