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Stratton Mortgage Funding 2021-1: 16 February 2021

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 (and any related Flexible Drawing subsequently sold) by Ertow Holdings V (the Sunbury Seller) and Ertow Holdings VII (the Moonraker Seller) and originated by the Originators and secured over residential properties located in England, Wales, Northern Ireland and Scotland.

The portfolio consists of 3,593 loans (Moonraker – 1,350 loans, Sunbury – 2,243), where the average current balance per loan is £123,776. Occupancy Type (by current balances): Owner-Occupied – 63.34%, BTL – 36.66%. Income Verification: Verified – 56.77%, Self-certified – 37.61%, no data – 1.88%. Repayment Method (by current balances): interest only – 89.06%, repayment – 10.88% and P&P – 0.06%. Current arrears: 1 month or more in arrears – 13.15%, 3 month or more in arrears – 4.80%. COVID-19 Payment Deferral Loans – 25.69%. The WA current LTV is 78.66% (original LTV was 80.86%), the WA indexed LTV is 57.49% and the WA seasoning is 13.89 years. Regional distribution: Greater London – 28.65%, South East – 16.11%, North West – 13.61% and the West Midlands – 7.70%.

Significant Investor: The Sunbury Seller will, on the Closing Date, purchase 70% of the Class X1 Notes, 70% of the Class X2 Notes, 70% of the Class Z1 Notes and 70% of the Class Z2 Notes. The Moonraker Seller will, on the Closing Date, purchase 30% of the Class X1 Notes, 30% of the Class X2 Notes, 30% of the Class Z1 Notes and 30% of the Class Z2 Notes. The Sellers are not obliged to retain any Notes other than the Class Z Notes.

EU & UK Risk Retention: On the Closing Date Burlington Loan Management (the Retention Holder) will, as an originator for the purposes of the Securitisation Regulations, 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 the EU Securitisation Regulation and Article 6(1) of the UK Securitisation Regulation. As at the Closing Date, the Retained Interest will be comprised by the Retention Holder holding through its interest and exposure in the profit participating loan entered into with the Sunbury Seller on 1 April 2020 and the profit participating loan entered into with the Moonraker Seller on 23 December 2020, 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 each of the Sellers of the Class Z Notes.

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: Stratton Mortgage Funding 2020-1