Kensington Mortgages Securities 2007-1

This wil be the first transaction off the newly established MTN programme for Kensington
Mortgages, and consists of loans originated from the various units of the Kensington Group,
namely Money Partners Limited, Money Partners Loans Limited, and Kensington Mortgage
Company Ltd.

The collateral consists of 11,033 first ranking and second ranking mortgage loans made to
individuals secured on residential properties located in England, Wales and Scotland. 66.12%
of he loans were granted for remortgages, and 33.88% for outright purchases. The pool
contains "Impaired Credit Loans", loans where the borrower has previously been in arrears
with, or defaulted on, other financial obligations. These include the 16.21% of the portfolio
where the borrower has been subject to at least one County Court Judgement. Almost 70%
of the pool are loans with limited verification of borrower income, with buy-to-let products
accounting for 4.44% of the pool. Approximately 52% of the pool is comprised of mortgages
where the borrower only pays interest until the final redemption date.

The average loan size is Stg78,000, with 10 1/2mnths seasoning, and a WA current LTV 75.13%.
Geographically, the SouthEast including London at 36.80% is by far the largest constitute of the
pool. The next 4 main regions being : NorthWest 11.99%, Yorks & Humber 9.25%, Scotland 8.46%,
and the West Midlands 8.32%.

The deal priced in line or at the tight end of guidance of 8a/18a/28-30/47-50/85-90bps. The +17bps
print on the Euro AAA 3.44yrs notes is 1bp wider than the latest Eurosail deal, which had a
slightly longer average life (4.17yrs). Further down the capital structure the AA/A/BBB notes priced
at +28/ +50/+85bps for a 3.56yrs wal compared to +24/+44/+84bps for a 4.21yrs wal. Although the
Eurosail pool is less seasoned and has a higher subprime component, Capstone (the servicer of all
Eurosail loans) has maintained a well-respected track record in terms of servicing the loan pool.


Compare/contrast: Eurosail 2007-1NC, Landmark Securities 2, Money Partners Securities 4,