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I AGREE
01 Aug 2007
Moody's assigns definitive ratings to UK RMBS Notes to be issued by Fosse Master Issuer plc Series 2007-1
Approximately GBP 2.5 Billion of Debt Securities Affected.
London, 01 August 2007 -- Moody's Investors Service assigns definitive credit ratings to the following
classes of Notes issued by Fosse Master Issuer:
- Aaa to the USD 540,000,000 Class A1a Notes due November
2031;
- Aaa to the EUR 550,000,000 Class A1b Notes due November
2031;
- Aaa to the USD 450,000,000 Class A2 Notes due October
2054;
- Aaa to the EUR 685,000,000 Class A3 Notes due October
2054;
- Aaa to the GBP 775,000,000 Class A4 Notes due October
2054;
- Aaa to the USD 500,000,000 Class A5 Notes due October
2054;
- Aa3 to the USD 36,250,000 Class B1 Notes due October
2054;
- Aa3 to the EUR 70,000,000 Class B3 Notes due October
2054;
- Aa3 to the GBP 12,000,000 Class B4 Notes due October
2054;
- A2 to the USD 20,200,000 Class M1 Notes due October
2054;
- A2 to the EUR 28,500,000 Class M3 Notes due October
2054;
- A2 to the GBP 30,000,000 Class M4 Notes due October
2054;
- Baa2 to the USD 25,000,000 Class C2 Notes due October
2054;
- Baa2 to the EUR 14,000,000 Class C3 Notes due October
2054; and
- Baa2 to the GBP 18,000,000 Class C4 Notes due October
2054.
Moody's also affirms the existing ratings of notes issued by Fosse Master
Issuer plc.
This transaction represents the second securitisation of mortgage loans
out of Fosse Master Issuer plc residential mortgage backed note programme.
The Notes are backed by a portfolio of prime UK residential mortgage loans
originated by Alliance & Leicester plc ("A&L"). The mortgage
loan portfolio is held by a mortgages trustee for the benefit of the A&L
(the seller) and the funding entities, similar to other UK Master
Trust structures. The main feature of the de-linked platform
is to allow the issuance of various series of Notes at different points
in time and with different maturities and/or different currencies and/or
different coupons. For instance, a series of Class M Notes
may be issued several months prior to the launch of some Class A Notes
in order to benefit from optimal market conditions. Moreover,
the structure generally allows for issuance of several types of notes
as regards their principal repayment and interest type. A subordinated
note can only be repaid totally or partially when after repayment the
available subordinated amount for all tranches senior to that particular
tranche equals or is greater than the required subordinated amount.
The trust consists of residential mortgage loans with approximately GBP
7.8 billion of collateral at closing. The pool is of high
credit quality: the weighted average current LTV of the pool is
62.26 per cent, the average seasoning of loans in the pool
is c. 40.30 months, and the originator is rated Aa3/Prime-1.
The initial seller share is approximately 26%.
In between two dates when a pool analysis by Moody's is done, Fosse
Master Issuer programme provides for the usage of Moody's Portfolio Variation
Test ("MPV-Test"). The MPV-Test works similar to
the MILAN UK and is therefore similar to a scoring model. Based
on the LTV of any particular loan, Moody's assigns a default frequency
and severity upon default for that loan. The product of both numbers
is a stressed "expected loss" of that loan assuming that it is a UK benchmark
loan. The Moody's Portfolio Variation Test has been implemented,
aiming to limit the risk of portfolio credit quality deterioration due
to substitution.
The definitive long term ratings address the expected loss posed to investors
by the legal final maturity of the Notes. 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.
For a copy of Moody's New Issue Report and Master Trust 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.
London
Neal Shah
Managing Director
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
London
Olga Gekht
Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
No Related Data.
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