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03 Nov 2009
GBP 3.5 billion of debt securities rated
London, 03 November 2009 -- Moody's Investors Service assigned definitive credit ratings to the following
classes of notes issued by Silverstone Master Issuer plc:
- Aaa to the GBP 1,250,000,000 2009-1
Class A1 Notes due January 2055.
- Aaa to the GBP 1,600,000,000 2009-1
Class A2 Notes due January 2055.
- Aaa to the GBP 650,000,000 2009-1 Class A3
Notes due January 2055.
Moody's also affirms the existing ratings of notes issued by Silverstone
Master Issuer plc. Nationwide redeemed the Silverstone 2008-2
issuance on 2 November 2009.
The notes are backed by a pool of prime UK residential mortgages originated
by Nationwide Building Society ("Nationwide", Aa3 / P-1).
This represents the third issue out of the Silverstone Master Trust structure.
At closing the Trust Property for this transaction will consist of approximately
GBP 30.7 billion of loans.
The Reserve Fund is funded to 4.92 per cent of the total Funding
1 Notes outstanding at closing and the total credit enhancement for the
Aaa rated notes is 13.92 per cent.
The notes from this issuance include two unusual features:
- The margin on the intercompany loan which backs the notes is
split into two parts. A coupon of three-month LIBOR plus
0.25% is payable out of the revenue waterfall as normal,
plus an additional 1.20% is payable via a dedicated yield
reserve funded up front by Nationwide. This additional margin will
reduce to 0.30% from the IPD in October 2014 for the A1
and A2 notes, and from the IPD in October 2016 for the A3 notes.
Nationwide are the swap counterparty for the fixed-floating swap
on the A3 Notes which pay a semi-annual fixed coupon.
- At the step-up date, in October 2014 for the A1
and A2 Notes and October 2016 for the A3 Notes, Nationwide will
offer to purchase any outstanding notes at a price of par plus accrued
interest less the allocated portion of any outstanding Aaa PDL.
The likelihood of this offer occurring and the ability of Nationwide to
exercise it have not been assessed as part of the assigned ratings.
Moody's initially analysed and will monitor this transaction using the
rating methodologies for UK RMBS Master Trust transactions as described
in the reports "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 "Moody's RMBS Master Trust Cash Flow Analysis,"
published in April 2008, which are all available on www.moodys.com
in the Rating Methodologies sub-directory under the Research &
Ratings tab. Other methodologies and factors that may have been
considered in the process of rating this issuer can also be found in the
Rating Methodologies sub-directory on Moody's website. In
addition, Moody's publishes a weekly summary of structured finance
credit, ratings and methodologies, available to all registered
users of our website, at www.moodys.com/SFQuickCheck.
The key parameters used by Moody's to calibrate the loss distribution
curve are a MILAN Aaa CE of 7.8 % and an Expected Loss of
0.9%. These numbers reflect the prime nature of the
pool and also take into account the current economic conditions in the
UK. Rising unemployment, currently at 7.8%
with a consensus forecast of 10% in 2010, is likely to drive
delinquencies up in the short to medium term. Additionally house
prices have been falling since their peak in mid 2007 resulting in an
indexed weighted-average loan to value of 66.5% for
the mortgage pool, compared to a 63.0% based upon
the valuation at last underwriting, with 10.6% having
an indexed loan to value above 100%.
The V Score for this transaction is Low/Medium, which is in line
with the score assigned for the UK Prime RMBS 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.
The definitive 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 final legal maturity date.
Other non-credit risks have not been addressed, but may have
a significant effect on yield to investors.
A copy of Moody's New Issue Report for this transaction will be available
on our website www.moodys.com. Alternatively,
please call Moody's London Client Service desk on +44 (0)20 7772
5454, to order a copy.
Christophe de Noaillat
Senior Vice President
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's assigns ratings to 3 classes of UK RMBS issued by Silverstone Master Issuer plc Series 2009-1
Asst Vice President - 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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