TPMF 2019 - Auburn 13: 19 October 2019

A standalone issuance which will see the issuer make payments on the Notes and Certificates from payments of principal and revenue on a portfolio comprising mortgage loans originated by the relevant originator and secured over residential and commercial properties located in England, Wales, Northern Ireland and Scotland. The assets have been securitised in previous Auburn Securities plc transactions, either Towd Point Mortgage Funding 2016 - Auburn 10 plc or Auburn Warehouse Borrower 4 Limited.

The provisional pool consists of 11,956 variable-rate mortgage loan accounts advanced on 10,912 properties, and to 8,462 sets of borrowers. The WA average mortgage loan balance is £122,997 and the maximum is £1.993mln. Mortgage Loan Purpose: re-mortgage 50.42%, purchase 46.86% and equity release 2.72%. Occupancy Type: BTL 94.80%, Owner Occupied 5.20%. Repayment type: interest-only 95.69%, repayment 3.86%, part & part 0.45%. Arrears: current 99.60%, 90+ days in arrears 0.40%. The WA indexed current LTV is 59.70% (original LTV was 80.76%) and the WA seasoning is 152 months. Regional concentration: Greater London 29.25%, South East England 22.30%, the North West 10.15% and the South West 9.51%.

Significant investor: Subject to the EU Retention Requirement and the U.S. Credit Risk Retention Requirement, CERH will, either directly or through one or more of its affiliates, acquire 100% of the Class A2 Notes, Class B Notes, Class C Notes, Class D Notes, Class E Notes, Class Z Notes, Class XA Notes and the Class XB Certificates and, subject to EU Retention Requirement and the U.S. Credit Risk Retention Requirement, may subsequently sell these on to third party investors.

EU Risk Retention: On the Closing Date, the Retention Holder (Cerberus European Residential Holdings B.V.), in its capacity as an originator for the EU Securitisation Regulation, will undertake that it will retain (initially through the Sellers (each being a wholly-owned subsidiary) and immediately thereafter on the Closing Date through a wholly-owned affiliate) on an ongoing basis, a material net economic interest of at least 5% in the securitisation as required by Article 6(1) of the EU Securitisation Regulation and in accordance with Article 6(3)(a) of the EU Securitisation Regulation. Such interest will be comprised of retention of no less than 5% of the nominal value of each of the tranches sold or transferred to investors as required by Article 6(3)(a) of the EU Securitisation Regulation. Such retention requirement will be satisfied by the Retention Holder holding the economic exposure to the EU Retention Notes.

US Risk Retention: CERH and FirstKey Mortgage LLC are required under Section 15G of the Exchange Act to ensure that one of such Co-Sponsors (directly or through a majority-owned affiliate of such Co-Sponsor) acquires and retains the U.S. Required Risk Retention Interest. The Co-Sponsors intend to satisfy the U.S. Credit Risk Retention Requirements on the Closing Date by designating CERH (in its capacity as the "Retention Holder") as the sponsor that will acquire and retain, directly or through a majority-owned affiliate, the U.S. Required Risk Retention Interest in the form of an EVI.

Compare/contrast: Towd Point Mortgage Funding 2018-Auburn 12, Albion No 4 plc, Twin Bridges 2019-2