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Malt Hill No.2 Plc: 30 June 2018

A stand-alone securitisation of buy-to-let mortgage loans secured by residential properties located in England and Wales, where the issuer will make payments on the notes from payments of principal and interest received from a portfolio comprising mortgage loans originated by Godiva Mortgages Limited to borrowers secured on properties in England and Wales to be acquired by the issuer from the Beneficial Title Seller on the Closing Date. Godiva is a wholly owned subsidiary of Coventry Building Society.

The “Beneficial Title Seller” is UK Mortgages Corporate Funding Designated Activity Company, which was established for the purpose of acquiring residential mortgage loans advanced to borrowers in the United Kingdom.

As at the provisional cut-off date (31 May 2018) the portfolio consisted of 1,994 fully current buy-to-let mortgage loans (in 2,077 loan parts), where the largest loan is for £679,000. Loan purpose (by current balances): re-mortgage 79.39%, purchase 20.61%. Repayment method: interest-only 93.24%, repayment 6.61%, and part & part 0.15%. Product type (by current balances): fixed 100.00%. The WA current indexed LTV is 60.75% (original WA LTV was 61.13%) and the WA seasoning is 15.59 months. Regional concentration (by current balances): Greater London 51.50%, South East 19.31% and East Anglia 11.94%.

CRR: Pursuant to Articles 404 to 410 of Regulation (EU) No. 575/2013, Article 51 of Regulation (EU) No 231/2013 and Article 254 of Commission Delegated Regulation (EU) 2015/35 of 10 October 2014, the Beneficial Title Seller will undertake that it will retain at all times until the redemption of the last of the Notes a material net economic interest of not less than 5% in the nominal value of the securitisation in accordance with the text of Article 405 of the CRR, Article 51 of the AIFMR and Article 254 of the Solvency II Regulation. As at the Closing Date, such interest will be comprised of an interest in the first loss tranche in the Class Z VFN.

US Risk Retention: The Beneficial Title Seller, as the sponsor under the U.S. Risk Retention Rules, does not intend to retain at least 5% of the credit risk of the securitised assets for the purposes of compliance with the final rules promulgated under Section 15G of the Securities Exchange Act of 1934, as amended, 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.

Volcker Rule: The Issuer will be relying on an exclusion or exemption from the definition of “investment company” under the investment company act of 1940, as contained in section 3(c)(5)(C) of the Investment Company Act.

Compare/contrast: Malt Hill No 1, Oat Hill No 1, Durham Mortgages B