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Curzon Mortgage PLC: 19 April 2023

This is essentially a re-financing of the Chester B1 transaction, and the loans were sold to the Seller on the Closing Date.

The Portfolio was initially acquired by Citibank, N.A., London Branch from NRAM Limited on 24 April 2019, and the Issuer will make payments on the Notes from payments of principal and revenue received from a portfolio comprising owner-occupied loans, which are secured over residential properties located in England, Wales, Scotland and Northern Ireland (the Portfolio or Mortgage Portfolio), the equitable interest in which will be sold to the Issuer by Isle of Wight Home Loans Limited (referred to in the Prospectus as the Seller) on the Closing Date.

As at the Cut-Off Date (1 March 2023) the Portfolio consisted of 10,854 owner-occupied loans (15,557 Sub-Accounts) secured over owner-occupied properties located in England, Wales, Scotland or Northern Ireland, where the average current loan size is £86,512. Repayment type (by current balances): interest only – 52.39%, repayment – 47.48%, P&P – 0.14%. Interest rate type: variable – 98.82%. Arrears: 3 <= x < 6 – 3.62%, >= 12 – 4.55%. The WA indexed LTV is 55.54% (WA original LTV was 90.79%) and the WA seasoning is 16.16 years. Geographic distribution: North West – 17.47%, Scotland – 14.50%, North East – 13.50% and the East Midlands– 9.31%.

Significant investor: The Retention Holder (Barclays) will acquire 100% of the Class A Notes and 5% of each other Class of Notes.

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 per cent in the securitisation in accordance with Article 6(1) of the UK Securitisation Regulation and Article 6(1) of the EU Securitisation Regulation.

US Risk Retention: The Retention Holder intends to satisfy the US 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 (including, for the avoidance of doubt, the nominal value of any Further Class A2 Notes) and the Certificates.

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

Compare/contrast: Chester B1, Grosvenor Square RMBS 2023-1 PLC, Pavillion Mortgages 2022-1