Gosforth Funding Plc 2018-1: 25 September 2018

The tenth stand-alone transaction in the Gosforth series (five transactions are currently outstanding) where the underlying assets are a portfolio comprising mortgage loans originated by Landmark Mortgages Limited (formerly NRAM plc and Northern Rock (Asset Management) plc) and subsequently transferred to Virgin Money plc, and also originated by Virgin Money plc, and secured over residential properties in England, Scotland and Wales.

The provisional mortgage portfolio (as at 30 April 2018) comprises 10,856 mortgage loans with an average current balance of £177,810. The largest current balance is £748,578 and there are 204 loans of greater than £500,000 in the portfolio (representing 6.39% of current balances). Employment status (by aggregate current balances): full time 72.20%, self-employed 25.78%. Loan product type (by aggregate current balances): fixed 94.64%, variable 5.36%. Repayment type (by aggregate current balances): Re-payment 95.32%, interest only 4.68%. The WA current LTV is 61.01%, the WA current indexed LTV is 58.24% and the WA seasoning is 27.55mnths. Regional concentration (by aggregate current balances): South East 27.67%, Greater London 24.48%, Scotland 9.29%, the South West 8.30% and the North West 7.21%.

Significant Investor: Virgin Money will, on the Closing Date, purchase 5% of the Class A1 Notes, 8.52% of the Class A2 Notes, 100% of the Class A3 Notes, 100% of the Class M Notes and 100% of the Class Z Notes.


EU Risk Retention: Virgin Money, as originator, will undertake that it will retain a material net economic interest of at least 5% in accordance with each of Article 405 of Regulation (EU) No.575/2013 and Article 51 of Regulation (EU) No 231/2013. As at the Closing Date such interest will be comprised of an interest in the Class Z Notes, in accordance with the EU Risk Retention Requirements.

US Risk Retention: Virgin Money as “sponsor” for the purposes of Section 15G of the Exchange Act is required to acquire and retain an economic interest in the credit risk of the Mortgage Loans sold by the Seller to the Mortgages Trustee on the Closing Date or on a Transfer Date. Virgin Money intends to satisfy the US Risk Retention Requirements by acquiring and retaining an eligible vertical interest equal to 5% in each Class of Notes, including in each sub-Class of the Class A1 Notes, and 5% in all amounts owing under the Subordinated Loan Agreement.


Compare/contrast: Gosforth Funding 2017-1, Brass RMBS No 7 plc, Tower Bridge Funding No.3