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Castell Finance 2023-1 : 02 May 2023

This will be the seventh 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 UK Mortgage Lending Ltd and secured over residential properties located in England, Wales and Scotland.

The Provisional Mortgage Portfolio consists of 9,075 second-charge repayment loans, where the average current balance is £44,050 and the largest is for £539,055. All loans refer to owner-occupied properties, and none of the loans are self-certified. Repayment type: repayment - 99.42%, combination - 0.58%. Interest rate type (by current balances): Fixed to Float – 86.82%, floating for life – 8.20%, Discount – 2.90%, fixed for life - 2.07%. Product category: prime - 86.84%, optimum – 11.45% and near prime - 1.71%. The WA CLTV is 59.19% (WA OLTV was 64.76%) and the WA seasoning is 15.4 months. Regional concentration: South East – 19.25%, East of England - 14.14%, London - 11.33% and the North West - 10.64%.

UK & EU Risk Retention: On the Closing Date and until all the Notes have been redeemed in full, UK Mortgage Lending Ltd (the Retention Holder) will, as an originator for the purposes of the UK Securitisation Regulation and the EU Securitisation Regulation, retain a material net economic interest of not less than 5% in the securitisation by holding an interest in not less than 5% of the outstanding nominal value of each of the tranches of 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 US Risk Retention Rules regarding non-US transactions.

Compare/contrast: Castell Finance 2022-2, Elstree Funding No.3