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Elland RMBS 2018: 17 December 2018

The issuer will make payments on the notes from payments of principal and revenue received from a portfolio comprising mortgage loans and their related security originated by Bank of Scotland plc under its Halifax brand and secured over residential properties located in England and Wales which will be purchased by the issuer on the closing date.

Please note, this transaction references SONIA (Sterling Overnight Index Average) as opposed to the traditional LIBOR.

As at the mortgage portfolio reference date (31 Oct 2018) the pool consisted of 39,400 accounts, none of which are in arrears. All loans are First legal mortgage / first ranking standard security, and all were advanced to owner-occupiers. The WA current balance is £272,389 and the largest is for £1.191mln. Redemption type (by current balances): P&I – 96.79%, interest-only – 3.21%. Interest rate type: fixed – 98.96%, variable – 1.04%. The WA current LTV is 73.77% (original LTV was 74.68%) and the WA seasoning is 6.54 months. Regional concentration (by current balances): the South East – 22.01%, London – 20.59%, East of England – 14.21%, and the North West – 9.02%.

EU Risk Retention: Bank of Scotland plc as an originator, will retain a material net economic interest of not less than 5% in the securitisation in accordance with the text of each of Article 405 of Regulation (EU) No 575/2013, Article 51 of the Regulation (EU) No 231/2013 and Article 254 of Regulation (EU) No 2015/35. As at the Closing Date, such Retention will be comprised of an interest in the first loss tranche.

Compare/contrast: Molineux RMBS 2016-1 Plc, Gosforth Funding Plc 2018-1, Finsbury Square 2018-2 Plc