Twin Bridges 2023-2: 25 November 2023

This is the twelfth Twin Bridges transaction from Paratus (currently seven are outstanding) which will again be a standalone issuance where the Issuer will make payments on the Notes from payments of principal and revenue received from a portfolio comprising buy-to-let mortgage loans sold by Paratus AMC Limited which were originated by the seller and secured over residential properties located in England, Wales and Scotland.

As at the portfolio reference date (31 August 2023) the portfolio consisted of 2,085 buy-to-let accounts, where the average outstanding balance per account is £219,361 and the largest is for £1.429mln. All loans were subject to a full property valuation and the majority are performing (96.82%). Borrower type: individual - 49.75%, limited company - 50.25%. Redemption type: interest-only - 96.73%, capital & interest - 2.90% and part & part - 0.37%. Loan purpose: re-mortgage - 64.93%, purchase - 35.07%. Product type: Fixed (Reverts to variable) - 65.49%, discount – 22.27% and tracker – 12.24%. The WA CLTV is 69.23% (OLTV was 69.87%) and the WA seasoning is 43.38 months. Regional concentration: Greater London - 51.64%, South East - 13.64% and East Anglia -8.86%.

EU & UK Risk Retention: On the Closing Date and until all the Notes have been redeemed in full, Paratus as originator (the Retention Holder) will retain a material net economic interest of not less than 5% in the securitisation as required by Article 6 of Regulation (EU) 2017/2402 as it forms part of domestic law by virtue of the European Union (Withdrawal) Act 2018, and Article 6 of Regulation (EU) 2017/2402 (the EU Securitisation Regulation). As at the Closing Date, the Retention will be satisfied by the Retention Holder subscribing for and thereafter holding an interest in each of the Classes of Notes sold to investors, represented in this case by the retention by the Retention Holder of at least 5% of each Class of Notes, as required by Article 6(3)(a) of the UK Securitisation Regulation and Article 6(3)(a) of the EU Securitisation Regulation.

US Risk Retention: The transaction is not intended to involve the retention by a sponsor for purposes of compliance with the final rules promulgated under Section 15G of the Securities Exchange Act of 1934, as amended, but rather it is intended to rely on an exemption provided for in Rule 20 of the US Risk Retention Rules regarding non-US transactions.

STS: As at the Closing Date, no UK STS Notification will be submitted to the FCA.

Compare/contrast: Twin Bridges 2023-1, Bowbell No 3 plc, Together Asset Backed Securitisation 2023-1ST2 plc