Valley Funding PLC: 23 December 2024
A stand-alone issue, where the Issuer will make payments on the Notes and the VRR Loan Note from payments of principal and revenue received from a portfolio comprising performing, non-performing, re-performing, term-past and paying in arrears residential owner occupied loans and buy-to-let loans originated under the Birmingham Midshires and Halifax brands, which are secured over residential properties located in England and Wales, Scotland and Northern Ireland, the equitable or beneficial interest in which will be sold to the Issuer by Bank of Scotland plc .
The provisional pool (as at 30 September 2024) consists of 8,955 mortgage accounts (26,068 actual loans), where the average current balance per account is £121,472. All loans are first legal mortgage/first ranking standard security. Borrower type: owner-occupied – 79.4%, BTL – 20.6%. Repayment type: interest-only – 57.2%, repayment – 42.8%. Loan type: variable/tracker – 64.9%, fixed – 35.0%. Arrears: >=3 Months in Arrears – 31.1%, >=6 Months – 13.4%. The WA current LTV is 51.2 (original LTV was 78.7%) and the WA seasoning is 14.1 years. Geographical Distribution: London – 20.6%, South East – 12.3%, Scotland – 11.3% and the East 10.0%.
UK & EU Risk Retention: On the Closing Date Bank of Scotland plc (the Retention Holder), as "originator" for purposes of the UK Securitisation Framework, will retain on an ongoing basis a material net economic interest of not less than 5% in the securitisation in accordance with Article 6(1) of Chapter 2 of the PRA Securitisation Rules and SECN 5.2.1R and Article 6 of the EU Securitisation Regulation.
US Risk Retention: The Sponsor intends to satisfy the US Credit Risk Retention Requirements (in its capacity as Retention Holder) by acquiring and retaining on the Closing Date an EVI equal to 5% in the Issuer in the form of the VRR Loan Note.
STS: The Notes are not intended to be designated as a UK STS securitisation or a EU STS securitisation for the purposes of the UK Securitisation Framework or the EU Securitisation Regulation.
Compare/contrast: Kenrick No.4 plc, Pavillion Mortgages 2024-1