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Avon Finance No.2 PLC: 21 September 2020

A stand-alone issue, where the Issuer will make payments on the Notes from payments of principal and revenue received from a portfolio comprising loans the equitable or beneficial interest in which was acquired by Citibank, N.A., London Branch from Warwick Finance Residential Mortgages Number One plc, and originally originated by Platform Funding Limited or GMAC-RFC Limited and secured over residential properties located in England and Wales, Scotland and Northern Ireland. On the Closing Date the Sponsor will sell the Portfolio to the Seller and the Seller will immediately on-sell the Portfolio to the Issuer.

At the cut-off date the provisional pool comprises of 8,484 accounts, where the average current account balance is £102,046. Occupancy type (by current balances): owner-occupied – 75.74%, BTL – 24.26%. Repayment type: interest only – 81.45%, repayment – 18.03% and P&P – 0.51%. Loans in Arrears >= 3 month (% of Current Balance) – 4.72%. The WA current LTV is 75.95% (indexed = 59.05%) and the WA original LTV was 81.62%. The WA seasoning is 13.74 years. Regional concentration (by current balances): South East – 26.17%, London – 14.28%, North West – 10.97% and the West Midlands – 8.97%.

EU Risk Retention: On the Closing Date Citibank, N.A., London Branch (the Retention Holder) will retain, as an originator, on an ongoing basis, a material net economic interest of not less than 5% in the securitisation in accordance with Article 6(1) of the Securitisation Regulation. As 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 Exchange Act. 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.

Compare/contrast: Avon Finance No.1, Warwick Finance No.1