Stratton Mortgage Funding 2019-1: 11 June 2019
A stand-alone issue, where 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 sold on the Closing Date by Ertow Holdings IV Designated Activity Company and secured over residential properties located in England, Wales, Northern Ireland and Scotland, which will be purchased by the Issuer on the Closing Date.
Ertow Holdings IV Designated Activity Company is a designated activity company limited by shares incorporated in Ireland in order to acquire the beneficial title to certain mortgage loans from each of Moorgate Funding 2014-1 plc and Stratton Finance I Limited pursuant to the Seller Mortgage Sale Agreements on 10 June 2019. The Seller entered into a profit participating loan agreement with the Retention Holder on 13 December 2018, pursuant to which the Retention Holder agreed to make a loan available to the Seller which the Seller is permitted to use to invest in certain financial assets, subject to the terms of such PPL. Pursuant to the terms of the PPL, all available amounts received by the Seller in relation to the Loans are, following the payment of various taxes and expenses of the Seller in accordance with the terms of the PPL, passed by the Seller to the Retention Holder.
The original originators of the loans were (by no. of loans / outstanding principal): Mortgages plc 1,638/39.91%; Wave 632/24.37%; Edeus 481/17.29%; GMAC RFC 363/10.44%; Money Partners 111/2.32%, Close Brothers 101/3.79%; and Kensington Mortgages 80/1.98%. All these loans were originally securitised in the following transactions: Mortgage Funding 2014-1 (2,550 loans) and RMS 25 (856 loans).
The provisional portfolio consists of 3,406 loans, where the average current balance per loan size is £121,414. Occupancy Type (by current balances): owner-occupied – 66.58%, BTL – 33.42%. Income Verification by Primary Borrower: self-certified – 56.95%, verified – 42.82%, no data – 0.23%. Loan Purpose: purchase – 51.20%, re-mortgage – 44.78% and investment – 4.02%. Repayment method (by current balances): interest-only – 86.57%, repayment – 12.68% and P&P – 0.75%. Interest Rate Type: various floating options – 100%. Number of Days in Arrears: 90 – 120 1.31%, 120+ 2.86%. The WA current LTV is 77.62% (original LTV was 80.98%) and the WA seasoning is 11.83 years. Regional concentration: South East Inc London – 32.83%, North West – 14.99%, Yorks & Humber – 9.55% and the West Midlands – 8.56%.
Significant investor: The Seller will on the Closing Date purchase 100% of the Class A Notes, 100% of the Class B Notes, 100% of the Class C Notes, 100% of the Class D Notes, 100% of the Class E Notes, 100% of the Class F Notes, 100% of the Class X Notes, 100% of the Class Z1 Notes and 100% of the Class Z2 Notes. The Seller is not obliged to retain any Notes other than the Class Z Notes. Please note, the Seller decided to retain the whole deal, announcing "For the avoidance of doubt, this decision is not related to investor engagement and the seller thanks all accounts for interest shown in the transaction to date."
EU Risk Retention: On the Closing Date Burlington Loan Management will, as an originator for the purposes of the Securitisation Regulation, retain a material net economic interest of not less than 5% in the securitisation as required by Article 6(1) of Regulation (EU) 2017/2402. As at the Closing Date, such Retention will be by the Retention Holder holding through its interest and exposure in the profit participating loan entered into with the Seller an interest in the first loss tranche and other tranches having the same or a more severe risk profile than those transferred or sold to investors, represented in this case by the retention by the Seller of the Class Z Notes, in accordance with Article 6(3)(d) of the Securitisation Regulation. The aggregate Principal Amount Outstanding of the Class Z Notes as at the Closing Date is equal to at least 5% of the nominal value of the securitised exposures.
US Risk Retention: The Retention Holder, 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 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.
Compare/contrast: Stratton Mortgage Funding plc (2018-1), Residential Mortgage Securities No 31 plc, Shawbrook Mortgage Funding 2019-1 plc