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Castell Finance 2019-1: 21 September 2019

This will be the third public securitisation from Optimum Credit Limited. It will take the form of a standalone issuance, where the Issuer will make payments on the Notes from payments of principal and revenue received from a portfolio comprising second or subsequent ranking mortgage loans that have been originated by Optimum Credit Limited and secured over residential properties located in England, Wales and Scotland.

Optimum Credit Limited is currently one of the UK’s largest originators of second charge mortgage loans with a market share of 30.0% in June 2019. It also offers specialist servicing of second charge mortgage portfolios. OCL originates second charge mortgage loans via two channels: loan brokers and direct-to-consumer. OCL is currently directly and wholly owned by Pepper Money (PMB) Limited). Pepper Money is part of the Pepper group, a worldwide mortgage origination and servicing business.

The Provisional Mortgage Portfolio consists of 5,038 second-charge repayment loans, where the average current balance is £45,289 and the largest is for £493,995. All loans refer to owner-occupied properties, and none of the loans are self-certified. Repayment type: repayment 98.36%, combination 1.64%. Interest rate type (by current balances): fixed 82.12%, floating 11.93% and discounted 5.95%. Product category: prime 93.67%, near prime 6.33%. Current months in arrears: 1mnth – 0.60%, 3mnths – 0.10%. Regional concentration: South East 21.10%, London 15.89%, East of England 14.51% and the West Midlands 8.90%. The WA CLTV is 65.38% (WA OLTV was 65.66%) and the WA seasoning is 4 months.

EU Risk Retention: On the Closing Date and until all the Notes have been redeemed in full, Optimum Credit Limited 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 of Regulation (EU) 2017/2402). As at the Closing Date, the Retention will be satisfied by the Retention Holder subscribing for and thereafter holding an interest in the first loss tranche, represented in this case by the retention by the Retention Holder of the Class Z Notes
US Risk Retention: The Seller does not intend to retain at least 5.0% 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, 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: Castell Finance 2018-1, Hawksmoor Mortgages 2019-1 plc , Polaris 2019-1 PLC