... This GBP###m (equivalent) transaction is a securitisation of first charge non conforming residential mortgages originated in the UK. Fitch Ratings has assigned ratings to the notes issued by EMF UK #### # Plc (the issuer or EMF ## #) as indicated at left. The ratings are based on the quality of the collateral, available credit enhancement, the origination processes of Southern Pacific Mortgage Limited (SPML), Preferred Mortgages Limited (PML), Alliance & Leicester Plc (A&L) and Matlock London (trading under the London Mortgage Company (LMC) brand), the servicing capabilities of Capstone Mortgage Services Limited and Vertex Mortgage Services Limited (Vertex) and the sound legal structure of the transaction. Initial credit enhancement of ##.##% for the class A#, A# and A# notes is provided by the subordination of the class B notes (##.##%) and an initial and target reserve fund of #.##%. To determine appropriate credit enhancement levels, Fitch analysed the collateral using its UK Residential Mortgage Default Model as a benchmark, adjusting it to account for additional risks associated with sub prime lending (see ...
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