Durham Mortgages A: 24 May 2018
A standalone issuance, where the Issuer will make payments on the notes from payments of principal and revenue received from a portfolio comprising loans the equitable interest in which will be sold to the Issuer by Dorset Home Loans Limited and which were purchased by the seller from Bradford & Bingley plc (and originated by B&B and Mortgage Express) and secured over residential properties located in England and Wales, Scotland and Northern Ireland.
The portfolio (as at 28 February 2018) comprises 24,833 loans advanced to the borrowers upon the security of 21,913 owner-occupied residential properties situated in England and Wales, Scotland and Northern Ireland, with all of the loans in the portfolio originated between 1994 and March 2009. At close, none were in arrears. The average loan balance is £110,931 and the largest is for £1.0mln. Repayment type (by current balances): Interest Only – 80.62%, Repayment – 18.32%, Part & Part – 1.06%. Interest rate type: Float Life – 99.95%, Fixed Float – 0.05%. Loan purpose: Purchase – 74.13%, Re-mortgage – 24.68%, other – 1.18%. The WA indexed LTV is 62.32% and the WA seasoning is 137 months. Regional distribution: South East – 29.98%, Greater London – 21.99%, North West – 9.73% and South West – 7.61%. Additional information: CCJ in last 6 years - 10.40%; Self-Certified - 86.18%.
Significant Investors and Pre-Placed Notes: On the Closing Date, the Retention Holder will acquire: (i) 5% of each of the Class A Notes, the Class B Notes, the Class C Notes and the Class D Notes and (ii) 100% of the Class E Notes, the Class F Notes, the Class Z1 Notes, the Class Z2 Notes, the Class R Notes, the Class X Notes, the VFN and the Certificates.
The Retention Holder will concurrently transfer 95% of the Class E Notes, the Class F Notes, the Class Z1 Notes, the Class Z2 Notes, the Class R Notes, the Class X Notes and the Class Y Certificate to a different investor on the same day. In addition, on the closing date 95% of the Class A Notes, 95% of the Class B Notes, 95% of the Class C Notes and 95% of the Class D Notes will be pre-placed with a consortium consisting of Barclays Bank UK PLC, HSBC Bank plc, Lloyds Bank plc, Nationwide Building Society, National Westminster Bank Plc and Santander UK plc, acting directly or through an affiliate.
The Certificates will be issued on the Closing Date to the Seller and represent a right to deferred consideration for the sale of the Portfolio by the Seller to the Issuer. The Seller will transfer the Certificates to Barclays Bank PLC immediately following the issue of the Certificates to the Seller on the Closing Date. Barclays expects to transfer 95.0% of the Class Y Certificates to one or more holders pursuant to a private placement transaction. Barclays will be required to retain no less than 5.0% of the nominal value of each of the Class X Certificate and the Class Y Certificates for as long as required under the U.S. Credit Risk Retention Requirements and no less than 5.0% of the nominal value of the Class X Certificate for as long as required under the EU Risk Retention Requirements.
CRR 405: On the Closing Date, Barclays Bank PLC (the Retention Holder) will, as an originator for the purposes of the CRR, retain a material net economic interest of not less than 5% in the securitisation in accordance with the text of each of Article 405(1)(a) of Regulation (EU) No 575/2013, Article 254(2)(a) of Regulation (EU) No. 2015/35 and Article 51(1)(a) of Regulation (EU) No 231/201. The Retention will comprise the Retention Holder holding no less than 5% of the nominal value of each Class of Notes sold or transferred to investors and the Class X Certificate issued to the Seller, in each case on the Closing Date.
US Risk Retention: The Retention Holder intends to satisfy the U.S. Credit Risk Retention Requirements by acquiring and retaining directly an eligible vertical interest (an EVI) equal to a minimum of 5% of the nominal value of each Class of Notes and the Certificates issued by the Issuer on the Closing Date.
Compare/contrast: Durham Mortgages B, Castell Finance 2017-1, Stratton Mortgage Funding plc