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Durham Mortgages A - Refinancing: 22 February 2021


The Issuer will make payments on the Notes from payments of principal and revenue received from a portfolio comprising loans secured over residential properties located in England, Wales, Scotland and Northern Ireland the equitable interest in which was sold to the Issuer by Dorset Home Loans Limited on 23 May 2018 (the Original Closing Date). The Loans comprising the Portfolio were purchased by the Seller from Bradford & Bingley plc on 26 April 2018.

The Issuer financed the acquisition of the Portfolio from the Seller on the Original Closing Date through the issuance of certain classes of notes. On the Closing Date, the Issuer will deposit the proceeds of the Notes in an account secured for the benefit of, inter alia, the holders of the Original Notes. On and from the Closing Date, the holders of the Original Notes will (i) agree that their security and recourse to the Issuer in respect of the Original Notes is limited to amounts credited to the Issuer Redemption Account and (ii) have no other security interest in respect of the Issuer's property. On 22 February 2021 (the Original Notes Redemption Date), the Issuer will use the amounts credited to the Issuer Redemption Account to redeem the Original Notes in full.

As at the Portfolio Reference Date, the portfolio comprised of 15,650 accounts (17,807 sub-accounts) of loans advanced to borrowers upon the security of owner-occupied residential properties situated in England, Wales, Scotland and Northern Ireland, with all of the loans in the portfolio originated between 1994 and March 2009. The average account balance is £128,814 and the largest is for £1.151mln. Repayment type (by current balances): Interest Only – 84.51%, Repayment – 14.42%, Part & Part – 1.08%. Interest rate type: Float Life – 99.95%, Fixed Float – 0.05%. Loan purpose: Purchase – 73.58%, Re-mortgage – 25.36%, other – 1.06%. The WA indexed LTV is 56.61% and the WA seasoning is 170.74 months. Regional distribution: London – 28.78%, South East – 16.54%, North West – 9.89% and East Anglia – 9.44%.

UK & EU Risk Retention: On the Closing Date, Barclays Bank plc (the Retention Holder) will retain, as 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 UK Securitisation Regulation and Article 6(1) of the EU Securitisation Regulation. As at the Closing Date, the retention will comprise the Retention Holder holding no less than 5% of the nominal value of each Class of Notes and the Class X Certificates.

US Risk Retention: The Retention Holder intends to satisfy the U.S. Credit Risk Retention Requirements by acquiring and retaining, directly, an eligible vertical interest (EVI) equal to a minimum of 5% of the nominal value of each Class of Notes and the Certificates.

STS: The Notes are not intended to be designated as a UK STS securitisation or a EU STS securitisation for the purposes of the UK Securitisation Regulation or the EU Securitisation Regulation.

Compare/contrast: Durham Mortgages A (redeemed), Durham Mortgages B, Hops Hill No.1 plc