Residential Mortgage Securities No 31 plc: 30 November 2018

Another transaction via the RMS label, where the pool of loans to be sold to the issuer pursuant to the Kayl/Issuer Mortgage Sale Agreement will comprise the Provisional Completion Mortgage Pool, having first been sold by NVG Portman Square Limited to the Seller. The loans in the provisional completion mortgage pool were originated by: Southern Pacific Mortgages Limited (47.99% by current balance), Preferred Mortgages Limited (35.45%), London Mortgage Company (13.16%), Southern Pacific Personal Loans Limited (3.23%), Amber Homeloans Limited (0.10%) & Alliance & Leicester (0.06%).

Most of these loans were originally securitised in the following transactions: Preferred Residential Securities 7 and 8 and series 2005-1, Southern Pacific Securities 2004-1, 2004-2, 2005-1 and 2005-2, and Southern Pacific Financing 2004-A.

At the cut-off date (31 July 2018) the portfolio consists of 4,767 loan parts (First Lien – 4,216; Second Lien 551). The average balance is £68,725 and the largest is £777,267. Borrower income verification (by current balances): Self-certified – 55.81%, verified – 44.19%. Borrower type: owner-occupied – 93.54, BTL – 6.46%. Interest Rate Type: all are at floating rates of interest. Repayment Type: Interest Only - 63.24%, Repayment - 36.19%, Part & Part – 0.56%. Months in Arrears: Current - 71.49%, 1.00 to 1.99 Arrears - 5.48%, 2.00 to 2.99 Arrears - 4.20%, 3.00+ Arrears – 18.83%. County Court Judgements: None – 64.37%, 1 CCJ – 19.84%, 2+ CCJ – 15.79%. The WA current LTV is 72.77% (original LTV was 77.68%), the WA indexed CLTV is 49.85% and the WA seasoning is 159.13 months. Regional concentration (by current balances): Greater London - 34.48%, the West Midlands - 10.59%, North West – 9.41% and South East – 7.28%.

EU Risk Retention: Kayl Holdco S.à r.l. will undertake that it will retain on an ongoing basis, as an originator within the meaning of Article 405(1)(d) of Regulation (EU) No. 575/2013 of the European Parliament, a material net economic interest of at least 5% in the securitisation 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. In order to satisfy the EU Retention Requirement on the Issue Date, Kayl Holdco will hold exposure to no less than 5 per cent of the nominal value of each Class of Notes (other than the X1 Notes and the X2 Notes) sold or transferred to investors.

US Risk Retention: Kayl Holdco as "sponsor" intends to comply with the requirements by designating itself as the entity that will acquire on the Issue Date and, directly or through a majority-owned affiliate, retain the U.S. Risk Retained Interest in the form of an eligible vertical interest equal to at least 5% of the nominal value of each Class of Notes and Certificates issued by the Issuer on the Issue Date.


Volcker Rule: The Issuer is of the view that it is not now a “covered fund” nor will it be immediately following the issuance of the notes and the application of the proceeds thereof.


Compare/contrast: RMS 30, RMAC No.2 plc, Together Asset Backed Securitisation 2018-1