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Silk Road Finance No. 5 Plc: 13 July 2019

After an absence of two years, The Co-operative Bank brings another stand-alone Silk Road transaction to the market.

In regard to the transaction, the issuer will make payments on the notes from payments of principal and revenue received from a portfolio comprising mortgage loans originated by Platform Funding Limited and The Co-operative Bank plc, sold by The Co-operative Bank plc and secured over residential properties located in England and Wales. Note, Additional Loans may be purchased by the Issuer from the Seller on any Further Sale Date occurring during the Further Sale Period.

As at the cut-off date (30 April 2019) the provisional pool consisted of 10,081 owner-occupied loans 6,093 mortgage accounts, where the average mortgage account current balance is £165,002 and the largest is for £970,592. No loans were in arrears. Product Interest Rate Type (by current balances): fixed 99.80%, variable 0.13% and discount 0.07%. Purpose of Loan: Purchase 47.43%, Re-mortgage 35.46%, Remortgage with Equity Release 17.06% and Equity Release 0.06%. Repayment Type: capital & interest 99.97%, interest only 0.03%. The WA current non-indexed LTV is 70.96% (original LTV was 72.56%) and the WA seasoning is 0.78 years. Regional concentration: South East 29.11%, the North West 11.62%, Greater London 8.92%, Yorks & Humber 10.79%, East Anglia 8.92% and the South West 8.58%.

Significant Investor: The Co-operative Bank p.l.c. will, on the Closing Date, purchase all of the Class A Notes and all of the Class B VFN and all of the Class Z VFN and may, in relation to the Class A Notes, sell at a later date some or all of those Notes in the secondary market at variable prices. The Co-op may sell the Class A Notes in individually negotiated transactions at variable prices in the secondary market.

EU Risk Retention: The Seller will retain on an ongoing basis a material net economic interest of at least 5% of the nominal value of the securitised exposures by holding an interest in the Class B VFNs and Class Z VFNs which have a more severe risk profile than those transferred to investors, as required by Article 6(1) of Regulation (EU) 2017/2402. Such retention requirement will be satisfied by The Co-operative Bank holding the first loss tranches, in this case being the Class B VFN and the Class Z VFN in accordance with Article 6(3)(d) of the Securitisation Regulation. Any change to the manner in which such interest is held will be notified to the Noteholders.

US Risk Retention: The Seller, as the sponsor under the final rules promulgated under Section 15G of the Securities Exchange Act of 1934, does not intend to retain at least 5% of the credit risk of the Notes for the purposes of the U.S. Risk Retention Rules, 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.

STS: Within 15 Business Days of the Closing Date, it is intended that a notification will be submitted to ESMA, in accordance with Article 27 of the Securitisation Regulation, that the requirements of Articles 19 to 22 of the Securitisation Regulation have been satisfied with respect to the Notes.

Compare/contrast: Silk Road No.4, Warwick Residential 3, Bowbell No 2 plc