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Brass RMBS No 8 plc: 22 September 2019

Another outing for the Yorkshire Building Society under the Brass name, and a similar transaction to previous Brass deals.

As previous Brass deals, the issuer will make payments on the notes from payments of principal and revenue received from a portfolio comprising mortgage loans originated by Accord Mortgages Limited and secured over residential properties located in England, Wales and Scotland.

As at the cut-off date, the portfolio will consist of 10,683 mortgage accounts originated by Accord between January 2007 and Feb 2019. There are no Self-certified Loans, Buy to Let Loans, New Build Loans, Offset Loans nor Right to Buy Loans in the pool. The average current balance is £195,242 and the largest loan is for £1.796mln. Overall there are 400 loans of greater than £500,000 in the pool, accounting for 13.10% of current balances. Use of proceeds (by current balances): mortgage 53.3%, re-mortgage 46.7%. Repayment type: repayment 91.5%, interest only 8.5%. Interest rate type: fixed 98.0%, variable 2.0%. The current WA indexed LTV is 68.82% (original LTV was 75.18%) and WA seasoning is 22.6 months. Regional concentration (by current balances): South East 22.4%, Greater London 20.6%, Scotland 9.6% and the North West 8.8%.

Significant investor: YBS will on the Closing Date purchase and retain no less than 5% of the Class A1 Notes in an aggregate principal amount of $16 million, no less than 5% of the Class A2 Notes in an aggregate principal amount of £15 million, all of the Class A3 Notes and all of the Class Z VFN.

EU Risk Retention: YBS will undertake that it will retain a material net economic interest of at least 5.0% in the nominal value of the securitised exposures as required by Article 6(1) of Regulation (EU) 2017/2402. As at the Closing Date, such interest will comprise an interest equal to a minimum of 5% of the aggregate Principal Amount Outstanding of each Class of Notes.

US Risk Retention: YBS, as “sponsor” for purposes of Section 15G of the Exchange Act is required under the U.S. Credit Risk Retention Requirements to acquire and retain, either directly or through a majority owned affiliate, an economic interest in the credit risk of the interests created by the Issuer on the Closing Date in an amount of, in the case of vertical risk retention, not less than 5%. YBS expects to retain an eligible vertical interest (the EVI) equal to a minimum of 5% of the aggregate ABS interests issued by the Issuer.

STS: YBS will, on or about the date of the Prospectus, submit a notification to ESMA in accordance with Article 27 of the Securitisation Regulation confirming that the requirements of Articles 19 to 22 of the Securitisation Regulation have been satisfied with respect to the Notes.

Compare/contrast: Brass RMBS 7, Oak No. 3 plc, Polaris 2019-1 plc