Reuters: Financial Services and Real Estate: TEXT-S&P rts Fosse Master Issuer's series 2012-1 U.K. RMBS nts

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TEXT-S&P rts Fosse Master Issuer's series 2012-1 U.K. RMBS nts May 9th 2012, 13:26 Wed May 9, 2012 9:26am EDT May 09 - OVERVIEW -- We have assigned preliminary ratings to Fosse Master Issuer's series 2012-1 notes. -- This will be the 10th issuance from the Fosse master trust. -- A pool of first-ranking mortgages secured over U.K. properties will collateralize the notes. Standard & Poor's Ratings Services today assigned its preliminary credit ratings to Fosse Master Issuer PLC's mortgage-backed notes series 2012-1 (see list below). In addition, Fosse Master Issuer will issue subordinated unrated class Z notes. The general reserve fund will decrease in percentage terms to 3.48% from 3.61% prior to the 2012-1 issuance. Overall credit enhancement will be 19.10% for the class A notes and 17.81% for the class B notes, as further class Z notes will be issued. On the closing date, Fosse will purchase additional collateral in connection with this transaction. This transaction will be the 10th issuance from the Fosse master trust. We anticipate that the mortgage collateral pool at closing will increase to approximately GBP20.7 billion. A pool of first-ranking mortgages secured over properties in England, Scotland, Wales, and Northern Ireland will collateralize the notes. Alliance & Leicester PLC (whose assets and liabilities Santander UK PLC assumed in May 2010) historically originated all of the loans in the trust. Subsequently, credit policy and risk management at Alliance & Leicester were aligned with those of Santander UK, to the extent possible given the system constraints. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at RELATED CRITERIA AND RESEARCH -- Presale: Fosse Master Issuer PLC (Series 2012-1), May 9, 2012 -- European Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, March 14, 2012 -- U.K. RMBS Methodology And Assumptions, Dec. 9, 2011 -- Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011 -- Principles Of Credit Ratings, Feb. 16, 2011 -- Counterparty And Supporting Obligations Methodology And Assumptions, Dec. 6, 2010 -- Methodology: Credit Stability Criteria, May 3, 2010 -- European Legal Criteria For Structured Finance Transactions, Aug. 28, 2008 -- A Listing Of S&P's New Actions Aimed At Strengthening The Ratings Process, Feb. 7, 2008 -- Treatment Of Flexible Mortgage Loans In U.K. RMBS Transactions, April 6, 2005 -- U.K. Prime RMBS Index Report, published quarterly RATINGS LIST Fosse Master Issuer PLC Floating-Rate Mortgage-Backed Notes Series 2012-1 Class Prelim. Prelim. rating amount 1A1 A-1+ (sf) TBD 2A1 AAA (sf) TBD 2A2 AAA (sf) TBD 3A1 AAA (sf) TBD 2B1 AA (sf) TBD Z NR (sf) TBD NR--Not rated. TBD--To be determined. Link this Share this Digg this Email Reprints

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