Kensington Mortgage plans to pool another £281.1 million ($424 million) of its U.K. prime RMBS loans under its Gemgarto master trust, according to Moody's Investor Service.
Gemgarto 2015-2 is collateralized entirely by loans with rates that are fixed at a weighted average interest rate of 3.75% for the first three years of their terms and then reset to an adjustable rate that is expected to pay a margin over three-month Libor of at least 4.10%.
This, combined with the relatively low coupons, especially before step-up, means that the transaction will benefit from relatively high levels of excess spread.
Approximately 95% of the loans were originated this year, so there is little seasoning in the pool. Moody's noted in the presale report that "the performance of a pool of loans originated over a short period of time is more volatile than one spread over a number of years".
Loans have a weighted average LTV, as calculated by Moody's, of 69.09%
Moody's assigned preliminary ratings of 'Aaa' ratings to the class A notes; 'Aa1' ratings to the class B notes; 'Aa2' ratings to the class C notes ; and 'A2' ratings to the class D notes. All of the notes have a legal final maturity date of February 2054.
Kensington started prime lending in 2010 and has only issued two other securitization from the Gemgarto trust. BofA Merrill Lynch, Citigroup and Deutsche Bank are the lead managers.