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Chester A PLC: 29 April 2019

A standalone issue where the issuer will make payments on the notes from a portfolio comprising loans, the equitable or beneficial interest in which will be sold by the seller and which was purchased by the seller from Citibank NA, London Branch (the sponsor), and secured over residential properties located in England, Wales, Scotland and Northern Island. The portfolio was acquired by the sponsor from NRAM Ltd.

The portfolio comprises loans originated by one of Northern Rock plc, Legal & General Bank Ltd, NRAM (No.2) Ltd, and the North of England Building Society.

The provisional portfolio (as at 28 February 2019) consists of 15,063 loans (in 28,806 sub-accounts), where the average current loan size is £142,698. Repayment type (by current balances): interest only – 76.39%, repayment – 23.27%, P&P – 0.34%. Interest rate type: floating – 96.90%, fixed – 3.10%. The WA indexed LTV is 69.80% (original LTV was 74.01%) and the WA seasoning is 12.71 years. Regional concentration: South East – 24.26%, North West – 11.88%, Greater London – 9.63%, Yorks & Humber – 8.45% and Scotland – 8.43%. Additional info: CCJs 1 – 9.27%, 2 – 4.63%, 3+ - 3.94%, overall – 17.83%. Income non-verified – 53.72%. Arrears: 30-59 days in arrears – 4.24%, 60-89 days – 2.42%, 90+ days – 6.89%.

EU Risk Retention: On the closing date Citibank NA will, as originator, retain a material net economic interest of not less than 5% in the securitisation in accordance with Article 6 of Regulation (EU) 2017/2402 by holding no less than 5% of the nominal value of each tranche sold or transferred to investors on the closing date.

US Risk Retention: This securitisation will be subject to the credit risk retention requirements, and the retention holder is expected to acquire on the closing date a “single vertical security” that is an “eligible vertical interest” in the form of the VRR Loan Note.

Compare/contrast: Towd Point Mortgage Funding 2016 - Granite 2 plc, Towd Point Mortgage Funding 2016 - Granite 3 plc, Barley Hill No.1 plc