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Silk Road Finance No. 4 Plc: 04 June 2017

After an absence of almost five years, The Co-operative Bank re-launches the Silk Road name with a stand-alone transaction where The Co-operative Bank plc will, on the Closing Date, purchase all of the Class A Notes, all of the Class B VFN and all of the Class Z VFN.

In regard to the transaction, the issuer will make payments on the notes from payments of principal and revenue received from a portfolio comprising mortgage loans originated by Platform Funding Limited and The Co-operative Bank plc, sold by The Co-operative Bank plc and secured over residential properties located in England, Wales and Scotland.

As at the cut-off date (31 March 2017) the provisional pool consisted of 7,990 owner-occupied loans (7,973 mortgage accounts), where the average mortgage account current balance is £175,599 and the largest is for £1.384mln. No loans were in arrears. Product Interest Rate Type (by current balances): fixed 98.13%, discount 1.69%, others 0.19%. Purpose of Loan: Re-mortgage 52.67%, Purchase 47.30%, Further Advance 0.03%. Repayment Type: capital & interest 99.97%, interest only 0.03%. The WA indexed current LTV is 67.97% (original LTV was 71.41%) and the WA seasoning is 0.69 years. Regional concentration: South East 35.74%, Greater London 11.95%, South West 7.84% and Yorks & Humber 7.72%.

CRR 405: The Seller will, in accordance with Article 405 paragraph (1) of Regulation (EU) No. 575/2013, retain a material net economic interest of at least 5% of the nominal value of the securitised exposures by holding an interest in the Class B VFNs and Class Z VFNs which have a more severe risk profile than those transferred to investors.

The Seller, as the sponsor under the final rules promulgated under Section 15G of the Securities Exchange Act of 1934, does not intend to retain at least 5% of the credit risk of the Notes for the purposes of the U.S. Risk Retention Rules, but rather intends to rely on an exemption provided for in Section 20 of the U.S. Risk Retention Rules regarding non-U.S. transactions.

Compare/contrast: Silk Road No.3, Leek No.19, Friary No 4 Plc