Chetwood Funding 2024-1: 11 January 2024

The Issuer will make payments on the Notes from payments of principal and revenue received from a portfolio comprising mortgage loans and their related security originated by the Originators and secured over residential properties located in England and Wales and sold by Chetwood to the Issuer on the Closing Date. The Issuer confirms that the assets backing the issue of the Notes and the Notes are not part of a re-securitisation.

As at the Portfolio Reference Date (30 September 2023) the Provisional Portfolio comprised 5,802 BTL Loans originated by the Originators and secured over properties located in England and Wales, where the average current balance is £194,855. The originators of the loans are Paratus, Topaz, Lendinvest, and Landbay. Repayment Method: interest only – 98.24%, P&P – 1.46%, repayment – 0.30%. Interest rate types: Fixed to floating – 94.00%, discount – 5.20%, floating – 0.80%. The WA current LTV is 71.90% (original LTV was 71.96%), the Indexed current LTV is 72.60% and the WA seasoning is 12.29 months. Additional information: self-employed – 53.65%. Geographical distribution: Greater London – 34.85%, South East – 14.81%, East Anglia – 10.62% and the North West – 10.22%.

Significant Investor: Chetwood shall, on the Closing Date, purchase the majority of the Class A Notes and 100% of the Class Z Notes and as a result, as at the Closing Date, Chetwood will be able to pass or block Noteholder resolutions of each Class of Notes.

UK & EU Risk Retention: As at the Closing Date, the UK Retention Requirement and the EU Retention Requirement will each be satisfied by the Seller holding the first loss tranche and other tranches having the same or a more severe risk profile than those transferred or sold to investors, in this case represented by the retention by the Seller of the Class Z Notes (i) in accordance with Article 6(3)(d) of the UK Securitisation Regulation and (ii) under the Transaction Documents in connection with Article 6(3)(d) of the EU Securitisation Regulation.

US Risk Retention: The Seller does not intend to retain at least 5% of the credit risk of the securitised assets for the 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.

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

Compare/contrast: Canada Square Funding 7, Mortimer BTL 2023-1 plc, Gemgarto 2023-1 plc