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Global Securitisation and Structured Finance 2008 I Re-visiting UK mortgage master trust structures

Gracehurch Barclays

Arkle Lloyds TSB

10.50% Yes Yes

11.00% Yes Yes

Barclays F1/A

Lloyds TSB F1/A

Barclays 3% liq. res.

Lloyds TSB 3% liq. Res.

fund builds up from principal if seller below A-

fund build up from principal if seller below A-

NA NA

F1/A+

F1/A+

6.50% A-

4.40% F2

90d+ arr >4% or 12m agg arr as % gross int >2%

90d+ arrears 4%

CE < req amt, 90d+ arr >4% or last 12m agg arr as % gross int >2%

90d+ arrears >4%

Fosse

Alliance & Leicester

8.50% Yes Yes

A&L F1/A

A&L

Liquidity reserve fund

NA

F1/A+

4.00% F2

90d+ arr >4% or 12m agg arr as % gross int >2%

shortfall on cash accum req AND 90d+ arrears >4%

Aire Valley

Bradford & Bingley

13.20% No No

B&B F1/A

HSBC Bank

Liquidity facility

Rabobank

F1/A+

5.00% F2

90d+ arrears 5%

90d+ arrears >5%

Lothian Standard Life

8.50% No Yes

Standard Life Bank guar. By DB

Barclays Bank

Liq. res. fund build up from principal if seller below A3

NA

NA

15.20% Baa2 (Mdy’s)

90d+ arr >4% or 12m agg arr as % gross int >2%

90d+ arr >4% AND last 12m agg arr as % gross int >2%

Holmes Abbey

8.00% Yes Yes

ANTS F1/A

Abbey National

Liquidity Facility

RBS

F1/A+

4.70% F1

90d+ arr >4% or 12m agg arr as % gross int >2%

CE < required amount or > 90 arrears >5%

Table 1: Comparing UK mortgage master trust structures

Mound Pendeford

Bank of

Bank of

Scotland (HBOS) Scotland (HBOS)

Permanent

Halifax (HBOS)

Granite Northern Rock

Originator

9.70% No

Yes

14.20% No

No

8.30% No Yes

11.60% Yes Yes

AAA credit enhancement De-linked socialist structure

Multi-issuance master issuer programme

Halifax Plc F1/A

Bank of Scot. F1/A

HBOS TS F1/A

Northern Rock F1/A

Basis swap provider

Basis swap rating trigger (Fitch)

Bank of Scot.

Liquidity reserve subject to a rating event

Bank of Scot.

Liquidity facility (Mound 1 to 3)

Bank of Scot.

Liquidity facility

Northern Rock

3% liq. res. fund build up from principal if seller below A-

GIC provider Liquidity support

NA

Barclays

JP Morgan Chase Bank

NA

Liquidity facility provider

F1/A+

F1/A+

F1/A+

F1/A+

CCY swap rating trigger (Fitch)

6.00% F1

21.60% F1

5.00% F1

7.10% A-

Min.seller share

Substitutions rating trigger (Fitch)

90d+ arrears 5%

90d+ arrears 6%

90d+ arrears 5%

90d+ arrears 4%

Arrears threshold for substitutions

90d+ arrears >5%

NA

90d+ arrears >5%

90d+ arrears >4%

All principal receipts directedto outstanding AAA tranches if: PDL debit, reserve account below required amount OR …

166

Global Securitisation and Structured Finance 2008

Source: Offering Circulars, Source: Deutsche Bank. As at end 2007

Deutsche Bank

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