Citadel 2024-1 PLC: 13 November 2024

This will be the first public UK securitisation under the Citadel name (not to be confused with the Dutch RMBS deals). The Issuer will make payments on the Notes and the Certificates from payments of principal and interest received from a portfolio comprising second or subsequent ranking mortgage loans originated by UK Mortgage Lending Ltd and sold by it to Salisbury Funding Limited and secured over residential properties located in England, Wales and Scotland.

The Provisional Mortgage Portfolio consists of 6,256 second-charge repayment loans, where the average current balance is £47,005 and the largest is for £259,250. All loans refer to owner-occupied properties and none of the loans are self-certified. Property Valuation Type: Full, internal and external inspection – 56.08%, AVM – 40.81% and Drive-by – 3.11%. Repayment type: repayment - 99.86%, combination - 0.14%. Interest rate type (by current balances): Fixed to Float – 90.18%, Floating for life –8.82%. Product category: prime - 95.85%, near prime - 4.15%. The WA CLTV is 79.38% (WA OLTV was 82.99%) and the WA seasoning is 15.4 months. Regional concentration: South East – 14.88%, the North West - 12.35% and East of England - 10.90%.

UK & EU Risk Retention: On the Closing Date and until all the Notes have been redeemed in full, Waterfall Victoria Master Fund Ltd (the Retention Holder) as an originator for the purposes of the UK Securitisation Regulation and the EU Securitisation Regulation will retain a material net economic interest of not less than 5% in the securitisation by holding an interest in not less than 5% of the outstanding nominal value of each of the tranches of Notes.

US Risk Retention: The Seller does not intend to retain at least 5% of the credit risk of the securitised assets for 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: This transaction does not meet the criteria for STS securitisations and consequently no STS notification will be made with respect to the Notes.

Compare/contrast: Castell Finance 2023-2, Elstree Funding No.5, Winchester 1 plc