Classes of debt in MAB securitisation
Here are details of the fixed and floating rate notes within the securitisation.
Class A1N
Class A1N| Amount at 26 September 2020: | £110.3 million |
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| Legal Maturity Date: | December 2030 |
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| Coupon: | £ Libor + 0.45% |
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| Ratings: | BBB+ / A+ / A3 |
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Class A2
Class A2| Amount at 26 September 2020: | £200.7 million |
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| Legal Maturity Date: | December 2030 |
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| Coupon: | 5.574% |
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| Ratings: | BBB+ / A+ / A3 |
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Class A3N
Class A3N| Amount at 26 September 2020: | $231.0 million* |
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| Legal Maturity Date: | December 2030 |
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| Coupon: | $ Libor + 0.45% |
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| Ratings: | BBB+ / A+ / A3 |
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*Equivalent to £137.9 million at a contracted rate of $1.675:£1
Class A4
Class A4| Amount at 26 September 2020: | £128.1 million |
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| Legal Maturity Date: | December 2030 |
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| Coupon: | £ Libor + 0.58% |
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| Ratings: | BBB+ / A+ / A3 |
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Class AB
Class AB| Amount at 26 September 2020: | £318.4 million |
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| Legal Maturity Date: | December 2033 |
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| Coupon: | £ Libor + 0.60% |
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| Ratings: | BBB / A / Baa2 |
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Class B1
Class B1| Amount at 26 September 2020: | £65.6 million |
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| Legal Maturity Date: | December 2025 |
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| Coupon: | 5.965% |
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| Ratings: | BB / BBB- |
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Class B2
Class B2| Amount at 26 September 2020: | £282.4 million |
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| Legal Maturity Date: | December 2030 |
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| Coupon: | 6.013% |
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| Ratings: | BB / BBB- |
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Class C1
Class C1| Amount at 26 September 2020: | £200 million |
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| Legal Maturity Date: | September 2032 |
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| Coupon: | 6.469% |
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| Ratings: | B+ / BB+ |
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Class C2
Class C2| Amount at 26 September 2020: | £50 million |
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| Legal Maturity Date: | September 2034 |
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| Coupon: | £ Libor + 1.88% |
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| Ratings: | B+ / BB+ |
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Class D1
Class D1| Amount at 26 September 2020: | £110 million |
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| Legal Maturity Date: | June 2036 |
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| Coupon: | £ Libor + 2.13% |
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| Ratings: | B+ / BB |
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- Cash interest cost of securitised debt is 6.3%
- Floating rate notes are fully hedged over their full life
- Debt fully amortises by June 2036
- Interest is payable quarterly in arrears on 15 March, 15 June, 15 September, 15 December
- Class A and Class AB note ratings are the higher of Ambac ratings or underlying ratings
- Ratings are as given by Standard & Poors, Fitch and Moodys (on the Class A and AB notes)
