Stratton Mortgage Funding 2020-1: 24 August 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 mortgage loans and their related security sold on the Closing Date by Ertow Holdings VI Designated Activity Company (the Seller) and originated by the Originators (Kensington Mortgage Company, GMAC – RFC Ltd, Edeus Mortgage Creators Ltd and Amber Homeloans Ltd) and secured over residential properties located in England, Wales, Northern Ireland and Scotland which will be purchased by the Issuer on the Closing Date.

Ertow Holdings VI is a designated activity company limited by shares incorporated in Ireland, in order to acquire the beneficial title to certain mortgage loans from each of ALBA 2006-1 plc and ALBA 2015-1 plc. The Seller entered into a profit participating loan agreement with the Retention Holder pursuant to which the Retention Holder agreed to make a loan available to the Seller which the Seller is permitted to use to invest in certain financial assets, subject to the terms of such PPL.

The portfolio consists of 2,087 loans (Alba 06 – 681 loans, Alba 15 – 1,406), where the average current balance per loan is £120,014. Occupancy Type (by current balances): Owner-Occupied – 71.26%, BTL – 28.74%. Income Verification: Verified – 46.03%, no data – 30.36%, Self-certified – 23.61%. Repayment Method (by current balances): interest only – 88.16%, repayment – 11.51% and P&P – 0.33%. Current arrears: 1 month or more in arrears – 10.87%, 3 month or more in arrears – 5.34%. COVID-19 Payment Deferral Loans – 12.43%. The WA current LTV is 82.06% (original LTV was 84.97%) and the WA seasoning is 13.69 years. Regional distribution: Greater London – 22.47%, South East – 16.96%, North West – 13.85% and the West Midlands – 8.81%.

Significant investor: The Seller will on the Closing Date purchase 100% of the Class B Notes, 100% of the Class C Notes, 100% of the Class D Notes, 100% of the Class E Notes, 100% of the Class F Notes, 100% of the Class G Notes, 100% of the Class X1 Notes, 100% of the Class X2 Notes, 100% of the Class Z1 Notes and 100% of the Class Z2 Notes. The Seller is not obliged to retain any Notes other than the Class Z Notes.

EU risk Retention: On the Closing Date, Burlington Loan Management Designated Activity Company (the Retention Holder) will, as an originator for the purposes of the Securitisation Regulation, retain on an ongoing basis a material net economic interest of not less than 5% in the securitisation as required by Article 6(1) of Regulation (EU) 2017/2402. As at the Closing Date, the Retention will be comprised by the Retention Holder holding through its interest and exposure in the profit participating loan entered into with the Seller an interest in the first loss tranche and other tranches having the same or a more severe risk profile than those transferred or sold to investors, represented in this case by the retention by the Seller of the Class Z Notes, in accordance with Article 6(3)(d) of the Securitisation Regulation. The aggregate Principal Amount Outstanding of the Class Z Notes as at the Closing Date is equal to at least 5% of the nominal value of the securitised exposures.

US Risk Retention: The Retention Holder, as the sponsor under the U.S. Risk Retention Rules, does not intend to retain at least 5% of the credit risk of the securitised assets for purposes of compliance with the final rules promulgated under Section 15G of the Securities Exchange Act of 1934, but rather intends to rely on an exemption provided for in Section 20 of the U.S. Risk Retention Rules regarding non-U.S. transactions.

Compare/contrast: ALBA 2006-1 plc, ALBA 2015-1, Stratton Mortgage Funding 2019-1