Brass RMBS No 7 plc: 16 September 2018

Another outing for the Yorkshire Building Society under the Brass name, and a similar transaction to the previous Brass deal which also featured a 5-year revolving period.

As previous Brass deals, the issuer will make payments on the notes from payments of principal and revenue received from a portfolio comprising mortgage loans originated by Accord Mortgages Limited and secured over residential properties located in England, Wales and Scotland.

As at the cut-off date, the portfolio will consist of 20,602 mortgage accounts originated by Accord between January 2007 and March 2018. There are no Self-certified Loans, Buy to Let Loans, New Build Loans, Offset Loans nor Right to Buy Loans in the pool. The average current balance is £184,748 and the largest loan is for £1.846mln. Overall there are 495 loans of greater than £500,000 in the pool, accounting for 8.80% of current balances. Use of proceeds (by current balances): mortgage 61.3%, re-mortgage 38.7%. Repayment type: repayment 96.5%, interest only 3.5%. Interest rate type: fixed 98.5%, variable 1.5%. The current WA indexed LTV is 66.26% (original LTV was 76.22%) and WA seasoning is 26.4 months. Regional concentration (by current balances): South East 20.6%, Greater London 19.9%, Scotland 10.3% and the North West 8.8%.

Significant investor: YBS will, on the closing date, purchase and retain the Class A Notes in an aggregate amount equal to £2.5bln.


EU Risk Retention: Accord will undertake to the issuer and the trustee, on behalf of the note-holders, that it will retain a material net economic interest of at least 5.0% in accordance with the text of each of Article 405(1) of Regulation (EU) No. 575/2013, referred to as the Capital Requirements Regulation, and Article 51(1) of Regulation (EU) No 231/2013. As at the closing date, such interest will be comprised of an interest in the first loss tranche, in this case the Class Z VFN, as required by the text of each of paragraph (d) of Article 405(1) of the CRR and paragraph (d) of Article 51(1) of the AIFMR.

US Risk Retention: The Seller, as the sponsor under the U.S. Risk Retention Rules, 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 (the U.S. Risk Retention Rules), but rather intends to rely on an exemption provided for in Section __.20 of the U.S. Risk Retention Rules regarding non U.S. transactions.


Compare/contrast: Brass RMBS 6, Holmes Master Issuer (2018-2), Twin Bridges 2018-1