Chester B1 Issuer PLC: 07 April 2020
A stand-alone transaction, where the Issuer will make payments on the Notes, the Certificates and the VRR Loan Note from payments of principal and revenue received from a portfolio comprising the Loans and secured over residential properties located in England, Wales, Scotland and Northern Ireland.
The Portfolio was acquired by Citibank, N.A., London Branch from NRAM Limited on 24 April 2019 pursuant to a loans sale agreement entered into on 29 March 2019 between, amongst others, NRAM Limited, UK Asset Resolution Limited and the Sponsor. The Sponsor on-sold the Portfolio on the Chester Closing Date to the Seller pursuant to a loans sale agreement entered into on the Chester Closing Date between the Seller and the Sponsor, and the Seller in turn immediately on-sold the Portfolio to Chester B1 Ltd on the same date.
As at the Cut-Off Date, the Portfolio consisted of 26,608 Sub-Accounts (18,758 loans) secured over owner-occupied properties located in England, Wales, Scotland or Northern Ireland, where the average current loan size is £91,084. Repayment type (by current balances): repayment – 53.19%, interest only – 46.62%, P&P – 0.19%. Interest rate type: variable – 99.97%. Arrears: 30-59 Days in Arrears – 3.48%, 60-89 Days in Arrears – 1.95%, 90+ Days in Arrears – 5.16%. The WA indexed LTV is 71.54% (WA original LTV was 91.96%) and the WA seasoning is 12.96 years. Geographic distribution: North West – 15.44%, Scotland – 14.38%, Yorkshire and the Humber – 10.96%, North East – 9.42% and the South East – 9.41%.
Significant investor: It is expected that on the Closing Date an investor which is an affiliate of a Joint Lead Manager will acquire all of the Class A Notes and another investor or related investors will acquire all of the Notes (except the Class A Notes) and the Class Y Certificates.
EU Risk Retention: On the Closing Date, Citibank, N.A., London Branch (the “Retention Holder”) will, as an originator, retain a material net economic interest of not less than 5% in the securitisation in accordance with Article 6 of Regulation (EU) 2017/2402. As at the Closing Date, the Retention will comprise the Retention Holder holding no 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. At the Closing Date, the Retention will consist of the Retention Holder holding the VRR Loan Note.
US Risk Retention: This securitisation transaction will be subject to the credit risk retention requirements of Section 15G of the U.S. Securities Exchange Act of 1934. The Retention Holder intends to satisfy its obligations under the U.S. Credit Risk Retention Requirements by acquiring and retaining (directly or through a majority-owned affiliate), on the Closing Date, a “single vertical security” that is an “eligible vertical interest” in the Issuer in the form of the VRR Loan Note. The VRR Loan Note will represent at least 5% of all “ABS interests” in the Issuer and the VRR Loan Note 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: Chester A, CMF 2020-1 plc, Towd Point Mortgage Funding 2019 - Vantage 2