Brass RMBS No 11 plc: 13 November 2022
Another outing for the Yorkshire Building Society under the Brass name. As with previous Brass deals, the Issuer will make payments on the Notes from payments of principal and revenue received from a portfolio comprising mortgage loans originated by Accord Mortgages Limited and secured over residential properties located in England, Wales and Scotland.
As at the cut-off date, the portfolio will consist of 9,396 mortgage accounts originated by Accord between June 2007 and March 2022. There are no Self-certified Loans, Buy to Let Loans, New Build Loans, Offset Loans nor Right to Buy Loans in the pool. The average current balance is £219,740 and the largest loan is for £1.981mln. Overall there are 1,151 loans of greater than £500,000 in the pool, accounting for 17.35% of current balances. Use of proceeds (by current balances): purchase - 74.10%, re-mortgage - 10.18%, debt consolidation – 9.60% and renovation – 6.13%. Repayment type: repayment - 95.63%, interest only - 4.37%. Interest rate type: fixed - 99.27%, variable - 0.73%. The current WA indexed LTV is 67.52% (original LTV was 77.47%) and WA seasoning is 1.77 years. Regional concentration (by current balances): South East - 23.36%, Greater London - 22.14%, the North West - 9.80% and Yorkshire & the Humber - 7.62%.
Significant investor: YBS will, on the Closing Date, purchase all of the Class A1 Notes, all of the Class A2 Notes and all of the Class Z VFN.
UK & EU Risk Retention: YBS will retain on an ongoing basis a material net economic interest of at least 5% in the nominal value of the securitised exposures as required by (i) Article 6(1) of Regulation (EU) 2017/2402 and (ii) Article 6(1) of Regulation (EU) 2017/2402. As at the Closing Date, such interest will comprise of an interest equal to a minimum of 5% of the aggregate Principal Amount Outstanding of each Class of Notes, in accordance with Article 6(3)(a) of the UK Securitisation Regulation and Article 6(3)(a) of the EU Securitisation Regulation.
US Risk Retention: YBS, as “sponsor” for purposes of Section 15G of the Exchange Act, is required under the U.S. Credit Risk Retention Requirements to acquire and retain, either directly or through a majority owned affiliate, an economic interest in the credit risk of the interests created by the Issuer on the Closing Date in an amount of, in the case of vertical risk retention, not less than 5%. YBS expects to retain an eligible vertical interest (EVI) equal to a minimum of 5% of the aggregate ABS interests issued by the Issuer.
STS: On or about the Closing Date, it is intended that a notification will be submitted to the FCA by YBS, as originator, in accordance with Article 27 of the UK Securitisation Regulation, confirming that the requirements of Articles 18-22 of the UK Securitisation Regulation (the UK STS Requirements) have been satisfied.
Compare/contrast: Brass RMBS 10, Friary No 7 plc, Hops Hill No.2 plc