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Trinity Square 2021-1 PLC (2024 Refinancing): 19 April 2024

Essentially, a refinancing of Trinity Square 2021-1.

A stand-alone transaction, where the Issuer will make payments on the Notes, the Certificates and the VRR Loan Note from payments of principal and revenue received from a mortgage pool comprising mortgage loans originated by GE Money Home Lending Limited and GE Money Mortgages Limited and secured over residential properties located in England and Wales.

The Mortgage Pool was acquired by Citibank NA London Branch from Trinity Square 2015-1 plc and Trinity Square 2016-1 plc (together, the “Original Sellers”) on the Closing Date pursuant to the Acquisition Loans Sale Agreements. On the Closing Date, the Sponsor will sell the Mortgage Pool to the Seller and the Seller will immediately on-sell the Mortgage Pool to the Issuer.

At the new refinancing Cut-Off Date (29 February 2024) the Mortgage Pool consisted of 8,092 variable-rate Mortgage Loans secured over properties located in England or Wales, where the average current loan size is £82,340. Ownership (by current balances): owner-occupied - 95.18%, BTL – 4.82%. Repayment type: interest-only – 72.58%, repayment – 25.52%, P&P – 1.90%. Additional information, Arrears: 3+ Months in Arrears – 9.34%; self-employed – 32.25%. The current indexed LTV is 43.56% (original LTV was 78.69%) and the WA seasoning is 202 months. Geographic Region: London – 16.48%, South East – 14.52%, North West – 14.11% and the East of England – 11.23%.

UK & EU Risk Retention: On the Closing Date, Citibank NA London Branch (the Retention Holder) will retain a material net economic interest of not less than 5% in the securitisation in accordance with (i) Article 6 of the EU Securitisation Regulation and (ii) Article 6 of the UK Securitisation Regulation. As at the Closing Date, the Retention will comprise of the Retention Holder holding no less than 5 percent of the nominal value of each tranche sold or transferred to investors on the Closing Date, as required by (i) Article 6(3)(a) of the EU Securitisation Regulation and (ii) Article 6(3)(a) of the UK Securitisation Regulation respectively.

US Risk Retention: This securitisation transaction will be subject to the credit risk retention requirements of Section 15G of the Exchange Act and The Retention Holder intends to satisfy its obligations under the US Credit Risk Retention Requirements by acquiring on the Closing Date and retaining (directly or through a majority-owned affiliate) a “single vertical security”, that is an “eligible vertical interest” (each as defined in the US Risk Retention Rules) in the Issuer in the form of the VRR Loan Note.

STS: The securitisation transaction does not qualify as a STS securitisation.

Compare/contrast: Trinity Square 2021-1, Durham Mortgages A - Refinancing (2024), Stratton Mortgage Funding 2024-2