Brants Bridge 2023-1: 22 July 2023

The second stand-alone transaction under the Brants Bridge label, where once again the Issuer will make payments on the Notes from payments of principal and revenue received from a portfolio comprising owner-occupied mortgage loans sold by Paratus which were originated by the Seller and secured over residential properties located in England and Wales.

As at the portfolio reference date (31 May 2023) the portfolio consisted of 1,061 owner-occupied loans, where the average outstanding balance per account is £285,082 and the largest is for £1.999mln. All loans were subject to a full property valuation and all are performing. Redemption type: capital & interest - 69.8%, interest-only - 21.7% and part & part - 8.5%. Loan purpose: purchase - 67.9%, re-mortgage - 32.1%. Product type: Fixed - 80.3%, discount - 19.7%. The WA CLTV is 69.8% (OLTV was 70.7%) and the WA seasoning is 9.0 months. Regional concentration: South East - 22.8%, London - 20.7% and East of England - 15.7%.

UK & EU Risk Retention: On the Closing Date and until all the Notes have been redeemed in full, Paratus, as Originator, will retain a material net economic interest of not less than 5% in the securitisation by subscribing for and thereafter holding an interest in each of the Classes of Notes sold to investors.

US Risk Retention: The Seller, as the sponsor under the final rules promulgated under Section 15G of the Securities Exchange Act of 1934, does not intend to retain at least 5% of the "credit risk" of the "securitized assets", 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: Brants Bridge 2022-1, Oak No. 4 plc, Tower Bridge Funding 2023-2