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Duncan Funding 2024-1 plc: 27 May 2024

The fourth public securitisation from TSB Bank (the first two transactions have now been redeemed) which was originally part of Lloyds Banking Group. On 9 September 2013, TSB was launched as a re-branded retail bank and is now a wholly-owned subsidiary of Banco de Sabadell SA, a major banking group within Spain with operations in multiple countries.

For this transaction, the Issuer will make payments on the Notes from payments of principal and revenue received from a portfolio comprising of mortgage loans originated or acquired by TSB Bank plc and secured over residential properties located in England, Wales and Scotland.

The provisional portfolio (as at 29 February 2024) consists of 3,669 owner-occupied mortgage accounts, where the average current balance per mortgage account is £172,924 and the largest is for £992,269. Purpose of Loan (by current balances): Purchase - 73.35%, Re-mortgage - 25.82%, Release equity – 0.83%. Repayment type: repayment - 97.61%, interest-only - 2.39%. Product type: Fixed - 93.78%, variable - 6.22%. The WA indexed LTV at closing was 66.46% (the WA LTV at origination was 73.72%) and the WA seasoning is 28.19 months. Regional distribution (current balances): South East - 18.69%, Greater London - 10.83%, the North West - 11.20%, the East of England – 10.13% and the South West - 10.31%.

Significant Investor: On the Closing Date, TSB Bank plc will purchase and retain the Subordinated Note.

UK Risk Retention: As at the Closing Date, the UK Retention Requirement and EU Retention Requirement will each be satisfied by the Seller (TSB) holding the first loss tranche, in this case represented by the retention of the Subordinated Note which will equal no less than 5% of the nominal value of the securitised exposures sold or transferred to investors on the Closing Date, in accordance with (i) Article 6(3)(d) as required by 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: TSB Bank plc, as the sponsor under the final rules promulgated under Section 15G of the US Securities Exchange Act of 1934, does not intend to retain at least 5% of the credit risk of the securitised assets for purposes of compliance with the US Risk Retention Rules, but rather intends to rely on an exemption provided for in Section 20 of the US Risk Retention Rules regarding non-US transactions.

STS: On or about the Closing Date, it is intended that a notification will be submitted to the Financial Conduct Authority (FCA) by TSB Bank, as originator, in accordance with Article 27 of the UK Securitisation Regulation, confirming that the requirements of Articles 18-22 of the UK Securitisation Regulation (the UK STS Requirements) have been satisfied with respect to the Notes.

Compare/contrast: Duncan Funding 2022-1 plc, Friary No 9 plc, Stratton Mortgage Funding 2024-2