Braccan Mortgage Funding 2024-1: 21 September 2024

This will be the first “Braccan” transaction from regular issuer Paratus, and will again be a standalone issuance. The Issuer will make payments on the Notes from payments of principal and revenue received from a portfolio comprising both owner-occupied and buy-to-let mortgage loans sold by Paratus AMC Limited which were originated by the seller (via their Foundation Home Loans brand) and secured over residential properties located in England, Wales and Scotland.

As at the portfolio reference date (31 July 2024) the portfolio consisted of 2,126 loans, where the average outstanding balance per account is £205,921 and the largest is for £1.657mln. All loans were subject to a full property valuation and the majority are performing (98.7%). Borrower type: BTL – 70.3%, owner occupied – 29.7%. Redemption type: interest-only – 73.6%%, capital & interest - 23.4% and part & part – 3.0%. Loan purpose: re-mortgage - 54.1%, purchase - 45.9%. Product type: Fixed (Reverts to variable) - 98.2%, discount –1.8% and variable – 0.1%. The WA CLTV is 68.8% (OLTV was 69.5%) and the WA seasoning is 28.2 months. Regional concentration: London - 35.5%, South East - 15.3% and East Anglia -10.6%.

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: Paratus (in its capacity as the Retention Holder) as a "sponsor" for the purposes of the credit risk retention requirements under section 15G of the Securities Exchange Act of 1934 intends to comply with the US Risk Retention Rules by acquiring and retaining (either directly or through a majority-owned affiliate) at least 5% of the "credit risk" of the "securitized assets" of the Issuer.

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

Compare/contrast: Twin Bridges 2023-2, Brants Bridge 2023-1, Duncan Funding 2024-1 plc