Polaris 2022-1 PLC

A stand-alone transaction, where the Issuer will make payments on the Notes and the Certificates from payments of principal and revenue received from a portfolio comprising of mortgage loans originated by Pepper Money Limited and Pepper (UK) Limited and acquired by Optimum Credit Limited (the Seller) and secured over residential properties located in England and Wales, which will be purchased by the Issuer on the Issue Date. Substitution of the loans contained in the Mortgage Pool may occur in accordance with the terms described in the prospectus (available on www.euroabs.com).

The provisional portfolio (as of 31 December 2021) consists of 2,471 loans, where the average principal balance is £182,117 and the largest loan is for £1.001mln. Full internal and external inspection: 99.55%. Loan purpose (by current balances): purchase – 65.13%, re-mortgage – 34.87%. Occupancy Type: owner occupied – 68.39%, BTL – 31.61%. Repayment Method: repayment – 66.87%, interest only – 33.13%. Interest Rate Type: fixed to floating – 100.00%. The WA CLTV is 70.85% (original LTV was 71.95%) and WA seasoning is 3.51 months. Regional concentration: South East – 24.77%, London – 19.94% and the North West – 11.19%. Additional information: Self-employed – 33.74%, CCJs – 25.00%.

UK & EU Risk Retention: The Seller (the Risk Retention Holder) will undertake to retain on an ongoing basis, as an originator, a material net economic interest of not less than 5% in the securitisation (i) as required by Article 6 of the UK Securitisation Regulation and (ii) as determined in accordance with Article 6 of the EU Securitisation Regulation. As at the Issue Date, the UK Retention Requirement and EU Retention Requirement will each be satisfied by the Seller holding not less than 5% of the outstanding nominal value of each tranche of Notes (except for the X1 Notes and X2 Notes) sold or transferred to investors.

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, as amended, but rather intends to rely on an exemption provided for in Section 20 of the US Risk Retention Rules regarding non-US transactions.

Compare/contrast: Polaris 2021-1, Elstree Funding No.2, Silverstone Master Issuer 2022-1