Residential Mortgage Securities No 32 plc: 14 August 2020

The issuer will make payments on the notes from payments of principal and revenue received from a portfolio comprising mortgage loans originated by the originators and secured by first, second and third ranking security over residential properties located in England and Wales and secured by first and second ranking security over residential properties located in Scotland which will be purchased by the Issuer from Kayl Holdco on the Issue Date. Substitution of the loans contained in the Mortgage Pool may occur in accordance with the terms described in the prospectus.

The transaction is basically a refinancing of two existing Kensington legacy securitisations, namely RMS 28 and KMS 2007-1.

At the cut-off date (31 May 2020) the portfolio consists of 7,166 loan parts (First Lien – 6,175; Second Lien 991). The average balance is £91,259 and the largest is £643,703. Borrower income verification (by current balances): Self-certified – 64.52%, verified – 35.48%. Borrower type: owner-occupied – 87.86%, BTL – 12.14%. Interest Rate Type: floating – 98.40%, fixed – 1.60%. Repayment Type: Interest Only - 77.43%, Repayment - 21.44%, Part & Part – 1.12%. Months in Arrears: Current - 77.34%, 1.00 to 1.99 Arrears - 6.51%, 2.00 to 2.99 Arrears - 2.79%, 3.00+ Arrears – 11.37%. County Court Judgements: None – 76.50%, 1 CCJ – 13.27%, 2+ CCJ – 5.31%, 3+ CCJ – 4.93%.

The WA current LTV is 74.71% (original LTV was 79.62%), the WA indexed CLTV is 55.83% and the WA seasoning is 163.32 months. Regional concentration (by current balances): London - 22.19%, the North West –12.95%, the South East – 12.58%, the East of England – 10.80%.

Significant investor: On the Issue Date, Kayl Holdco will hold the entire Principal Amount Outstanding of the F1 Notes, the F2 Notes, the X1 Notes, the X2 Notes and the Z Notes.

EU Risk Retention: Kayl Holdco will undertake to retain on an ongoing basis, as an originator within the meaning of the Securitisation Regulation, a material net economic interest of at least 5% in the securitisation as required by the EU Retention Requirements. In order to satisfy the EU Retention Requirement on the Issue Date Kayl Holdco will, in accordance with Article 6(3)(d) of the Securitisation Regulation, hold exposure to the F2 Notes and the Z Notes in an amount such that the total nominal value of exposure to the F2 Notes and the Z Notes held by it is at least equal to 5% of the nominal value of the Mortgage Pool so as to hold exposure to the EU Retained Interest at not less than the EU Retention Requirement.

US Risk Retention: Kayl Holdco (in its capacity as the U.S. Risk Retention Holder) intends to comply with the requirements of the U.S. Risk Retention Rules by acquiring on the Issue Date and retaining, either directly and/or through one of its majority owned affiliates, the U.S. Risk Retained Interest in the form of an EHRI equal to at least 5% of the fair value of the Notes and Certificates as determined under U.S. generally accepted accounting principles.

Compare/contrast: Residential Mortgage Securities No 28 plc, Kensington Mortgages Securities 2007-1