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Elvet Mortgages 2020-1: 30 July 2020

A standalone transaction and the third public issuance from originator Atom Bank, where the Issuer will make payments on the notes from payments of principal and revenue received from a portfolio comprising mortgage loans and their related security sold to the Issuer on the closing date. The Issuer confirms that the assets backing the issue of the Notes and the Notes themselves are not part of a re-securitisation.

Atom Bank is the UK's first bank built exclusively for smartphone and tablet. As at 31 March 2020, the Seller had £1,864mln of Sterling-denominated fixed-term customer deposits and the Seller had total assets of £2,705mln.

As at the Portfolio Reference Date (30 April 2020), the Provisional Portfolio was comprised of 4,380 loans originated by the Seller between 2016 and 2020 and secured over properties located in England, Wales and Scotland.

The average current balance is £179,146 and the largest is for £864,547. Occupancy type: owner-occupied – 100.0%. Amortisation type (by current balances): Repayment – 100.0%. Interest Rate type: Fixed rate mortgages reverting to SVR – 100.0%. Additional information: a full property valuation accounts for 92.62% of current balances; Self-employed borrowers account for 5.40%; First time buyers account for 23.67%. The WA current LTV is 67.88% (original LTV was 72.66%) and the WA seasoning is 23.82 months. Regional concentration: South East – 17.27%, London – 14.89%, Scotland – 12.93% and the North West – 10.92%.

Significant Investor: Atom Bank will, on the Closing Date, purchase all of the Class A Notes, all of the Class B Notes and all of the Class VRR Notes. Atom Bank has no obligation to retain the Class A Notes, the Class B Notes and/or the Class VRR Notes on an on-going basis save, in the case of the Class VRR Notes, in respect of its risk retention obligations.

EU Risk Retention: On the Closing Date Atom Bank, as an originator for the purposes of the Securitisation Regulation, will undertake that, for so long as any Notes remain outstanding, it will retain on an ongoing basis a material net economic interest of not less than 5% in the nominal value of the securitisation in the form of the Class VRR Notes.

US Risk Retention: As of the Closing Date, Atom Bank, as "securitizer" of this transaction, has elected to retain, directly, 100% of the Class VRR Notes, which constitute an eligible vertical interest in the form of a "single vertical security" in the required amount of not less than 5% of the aggregate of the Notes and the Certificates (the initial principal amount of which is zero) multiplied by (100/95) (the "Required Credit Risk"), thereby satisfying the U.S. Risk Retention Rules.

STS: It is intended that the transaction qualifies as an STS securitisation within the meaning of Article 18 of the Securitisation Regulation and a notification will be submitted by Atom Bank prior to the Closing Date to the European Securities and Markets Association in accordance with Article 27 of Regulation (EU) 2017/2402.

Compare/contrast: Elvet 2019-1, Brass RMBS No 9 plc, Mortimer BTL 2020-1 plc