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Warwick Finance Residential Mortgages No.3: 24 October 2017

The third transaction via the Warwick name which again is a stand-alone RMBS transaction from The Co-op, where the initial originators of the underlying mortgages were Platform Funding Limited and GMAC-RFC Limited (now called Paratus AMC Limited), secured over residential properties located in England and Wales, Scotland and Northern Ireland.

As at the cut-off date, the portfolio will consist of 16,254 main accounts (split into 16,756 loan parts), where the average loan balance is £116,284 and the largest loan is for £1.0mln. All are floating rates of interest. Originator (by no. of loans – current balance): PFL 16,086 – 98.82%, GMAC 168 – 1.18%. Loan type: Owner Occupied 61.81%, Buy to Let 38.19%. Purpose of Loan: Investment mortgage 38.00%, Purchase 34.71%, Re-mortgage with equity release 22.50%, others 4.79%. Repayment Terms: Interest Only 86.05%, Capital & Interest 13.91%, Part & Part 0.04%. Borrower verification: Non-Self-Certified Loans 50.69%, Self-Certified Loans 49.03%, Non-Self-Certified Loans (GMAC Non Income Verified) 0.28%. Arrears levels: 30-60 Days in Arrears 2.67%, 60-90 Days 1.25%, 90+ Days 2.94%. The WA indexed CLTV is 65.22% (WA OLTV was 85.30%) and the WA seasoning is 10.77 years. Regional distribution (by current balances): South East 26.29%, Greater London 17.01%, North West 11.97% and West Midlands 7.55%.

Significant Investor: It is expected that on the Closing Date an investor will acquire a majority holding in the Notes and the Residual Certificates, giving it a sufficient ability to pass or block Noteholder resolutions.

CRR 405: Each Seller will retain a net economic interest of at least 5.0% of the nominal value of the securitised exposures sold by it to the Issuer for the purposes of the securitisation. As at the Closing Date, such interest will comprise not less than 5.0% of the nominal value of each of the tranches sold or transferred to the investors.

US Risk Retention: The Seller intends to comply with the requirements of the U.S. Risk Retention Rules by acquiring on the Closing Date and retaining, either directly or through a majority-owned affiliate, an eligible vertical interest equal to 5% in each Class of Notes and Residual Certificates.

Compare/contrast: Warwick No.2, Residential Mortgage Securities No 30 plc, Together Asset Backed Securitisation 1