Finsbury Square Plc 2018-1: 01 February 2018
The fifth in the Finsbury Square series of standalone RMBS deals, and very similar in structure to the earlier Finsbury Square 2016-2 and 2017-2 transactions, where the issuer will make payments on the notes and the certificates from payments of principal and revenue received from a portfolio comprising mortgage loans acquired by Koala Warehouse Ltd and secured over residential properties located in England and Wales which will be purchased by the issuer on the issue date.
The seller, Koala Warehouse Limited, is an indirect wholly-owned subsidiary of Kayl Holdco. KMC is a wholly owned subsidiary of The Northview Group Limited (formerly called Kensington Group Limited). NVG is a wholly owned subsidiary of Kayl Holdco. NVG has the same ultimate shareholders as the seller and Acenden.
As at the cut-off date (13 December 2017) the mortgage pool consisted of 2,679 loans, where the average balance is £160,761 and the largest loan is for £1.072mln. Mortgage originator (by current balances): KMC – 85.63%, New Street – 14.37%. Ownership Type (by current balances): Owner occupied – 77.19%, Non-Owner/BTL – 22.81%. Repayment Method (by current balances): Repayment – 74.46%, Interest only – 25.02% and Part & Part – 0.51%. Rate Type: Fixed to Floating – 99.94%, Discount – 0.06%. Interest Product Type: 3 month Libor – 100.00%. Loan Purpose: Purchase – 62.24%, Re-mortgage – 32.10% and Debt consolidation – 5.66%. Additionally, self-employed account for 44.24% of the pool and there are no self-certified mortgages in the pool. The WA current LTV is 73.52% (original LTV was 74.31%) and the WA seasoning is 2.69 months. Regional concentration: South East – 23.48%, London – 18.21%, the North West – 12.63% and the South West - 8.79%.
CRR 405: Kayl Holdco Sàrl will undertake that it will retain on an ongoing basis, as an originator within the meaning of Article 405, a material net economic interest of at least 5.0% of the securitised exposures in accordance with the CRR and Article 51(1)(d) of the AIFMD Level 2 Regulation and Article 254(2)(d) of the Commission Delegated Regulation (EU) 2015/35 of 10 October 2014. In order to satisfy the retention requirement on the issue date, Kayl Holdco will hold exposure to the E Notes and the Z Notes at least equal to 5.0% of the nominal value of the mortgage pool as at the issue date.
US Risk Retention: Kayl Holdco as a "sponsor" for the purposes of the U.S. Risk Retention Rules is required under the U.S. Risk Retention Rules to acquire and retain (either directly or through one or more majority-owned affiliates) at least 5% of the credit risk of the securitised assets of the Issuer. Kayl Holdco intends to comply by acquiring on the Issue Date and retaining an eligible horizontal residual interest equal to at least 5% of the fair value of the Notes and Certificates.
Volcker Rule: The issuer is of the view that it is not now, and immediately following the issuance of the notes and the application of the proceeds thereof it will not be, a "covered fund" as defined in the regulations adopted under Section 13 of the Bank Holding Company Act of 1956, as amended, commonly known as the "Volcker Rule".
Compare/contrast: Finsbury Square 2017-2, Kenrick No.3 plc, Precise Mortgage Funding 2018-1B