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Castell Finance 2020-1: 24 September 2020

This will be the fourth public securitisation from Optimum Credit Limited. It will take the form of a standalone issuance, where the Issuer will make payments on the Notes from payments of principal and revenue received from a portfolio comprising second or subsequent ranking mortgage loans that have been originated by Optimum Credit Limited and secured over residential properties located in England, Wales and Scotland.

The Provisional Mortgage Portfolio consists of 6,826 second-charge repayment loans, where the average current balance is £40,543 and the largest is for £502,621. All loans refer to owner-occupied properties, and none of the loans are self-certified. Repayment type: repayment 99.22%, combination 0.78%. Interest rate type (by current balances): fixed 69.83%, floating 27.08% and discounted 3.10%. Product category: prime 96.25%, near prime 3.75%. Current months in arrears: 1mnth – 0.60%, 3mnths – 0.10%. The WA CLTV is 63.65% (WA OLTV was 64.90%) and the WA seasoning is 19 months. Regional concentration: South East 21.82%, London 16.16%, East of England 14.50% and the South West 9.08%.

EU Risk Retention: On the Closing Date and until all the Notes have been redeemed in full, Optimum Credit Limited will, as an originator for the purposes of the Securitisation Regulation, retain a material net economic interest of not less than 5% in the securitisation as required by Article 6 of Regulation (EU) 2017/2402). As at the Closing Date, the Retention will be satisfied by the Retention Holder subscribing for and thereafter holding an interest in not less than 5% of the outstanding nominal value of each of the tranches of Notes (except for the Class X Notes).

US Risk Retention: The Seller 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: Castell Finance 2019-1, Polaris 2019-1 plc, Canterbury Finance No.3 plc