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Canada Square Funding 2020-1: 27 March 2020

A stand-alone transaction, where the issuer will make payments on the notes from payments of principal and revenue received from a portfolio comprising loans secured over residential properties located in England and Wales. The portfolio was acquired by the seller from Hart Funding Limited, Zephyr Funding Limited and Broadway Funding Limited.

The provisional portfolio as at 31 January 2020 comprises of 1,089 variable rate buy-to-let loans, where the average current balance is £239,847 and the largest is for £2.00mln. Borrower type: individual – 78.52%, company – 21.48%. Repayment type (by current balances): interest only – 97.43% and repayment –2.57%. Loan purpose: remortgage – 69.29%, purchase – 30.71%. Interest rate type: fixed to floating – 94.84%, floating for life – 5.16%. The WA current LTV is 71.28% (original LTV was 71.26%) and the WA seasoning is 2.76 months. Regional concentration: Greater London – 45.88%, the South East – 16.10% and East Anglia – 9.54%.

Significant Investor: On the Closing Date: (a) a single investor intends to purchase more than 50% of the Class A Notes, (b) a single investor intends to purchase 100% of the Class B Notes, (c) Citigroup Global Markets Limited (an affiliate of Citibank Europe plc, UK Branch and Citibank N.A., London Branch) intends to purchase 100% of the Class C Notes, the Class D Notes and the Class E Notes, (d) Citibank, N.A., London Branch will be required to purchase 100% of the VRR Loan Note and (e) a single investor intends to purchase 100% of the Class Y Certificates and the Class X Notes.

EU Risk Retention: On the closing date Citibank NA London branch will, as originator, retain a material net economic interest of not less than 5% in the securitisation by holding the VRR Loan Note representing not less than 5% of the nominal value of each tranche sold or transferred to investors on the Closing Date, as required by Article 6 of the Securitisation Regulation.

US Risk Retention: The securitisation transaction will be subject to the credit risk retention requirements of Section 15G of the Exchange Act as added by Section 941 of the Dodd-Frank Act. The Retention Holder, as "sponsor" for purposes of the U.S. Credit Risk Retention Requirements, is required to acquire and retain (either directly or through a majority owned affiliate) at least 5% of the credit risk of the securitised assets. The Retention Holder intends to satisfy the U.S. Credit Risk Retention Requirements by acquiring on the Closing Date and retaining (directly or through a majority-owned affiliate) a “single vertical security” in the Issuer, in the form of the VRR Loan Note. The VRR Loan Note will represent at least 5% of all “ABS interests” (as defined in U.S. Regulation RR) in the Issuer and will entitle the Retention Holder to a specified percentage of the amounts paid on each other class of ABS interests issued by the Issuer.

Compare/contrast: Canada Square 2019-1, Chester A plc, Towd Point Mortgage Funding 2019 - Auburn 14