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Silk Road Finance No. 6 Plc: 05 December 2019

After an absence of two years, this will be The Co-operative Bank’s second Silk Road transaction of 2019.

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 September 2019) the provisional pool consisted of 6,152 first ranking owner-occupied loans secured on 6,130 properties, where the average mortgage account current balance is £161,546 and the largest is for £950,723. No loans were in arrears. Product Interest Rate Type (by current balances): fixed 99.68%, variable 0.32%. Purpose of Loan: Purchase 44.70%, Re-mortgage 37.30%, Remortgage with Equity Release 17.91% and Equity Release 0.08%. Repayment Type: capital & interest 100.00. The WA current non-indexed LTV is 70.80% (original LTV was 72.61%) and the WA seasoning is 0.87 years. Regional concentration: South East 27.92%, the North West 11.69%, Yorks & Humber 9.37%, the South West 9.04% and Greater London 8.74%.

Significant Investor: The Co-operative Bank plc 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.

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 fifteen 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.5, Warwick Residential 3