Brass RMBS No 9 plc: 15 June 2020
Another outing for the Yorkshire Building Society under the Brass name. As with 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 13,959 mortgage accounts originated by Accord between January 2007 and Dec 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 £204,067 and the largest loan is for £1.993mln. Overall there are 543 loans of greater than £500,000 in the pool, accounting for 13.10% of current balances. Use of proceeds (by current balances): mortgage 57.9%, re-mortgage 42.1%. Repayment type: repayment 94.2%, interest only 5.8%. Interest rate type: fixed 96.7%, variable 3.3%. The current WA indexed LTV is 71.32% (original LTV was 76.43%) and WA seasoning is 15.6 months. Regional concentration (by current balances): South East 22.3%, Greater London 19.5%, the North West 10.8% and the West Midlands 8.5%.
Significant investor: YBS will, on the Closing Date, purchase all of the Class A1 Notes, Class A2 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 8, Darrowby No. 5 plc, Canterbury Finance No.2 plc