Warwick Finance Residential Mortgages No.4: 26 August 2019

The fourth transaction via the Warwick name which again is a stand-alone RMBS transaction from The Co-op, where the initial originators of the underlying mortgages were Platform Funding Limited, GMAC-RFC Limited (now called Paratus AMC Limited), Verso Limited, Kensington Mortgage Company Limited and Southern Pacific Mortgage Limited, secured over residential properties located in England and Wales, Scotland and Northern Ireland, which will be purchased by the Issuer on the Closing Date.

As at the cut-off date (30 April 2019), the portfolio will consist of 3,244 main accounts (split into 3,434 loan parts) where the average loan balance is £102,223 and the largest loan is for £910,788. All are floating rates of interest. Originator (by no. of loans – current balance): PFL 1,402 – 43.22%, VERSO 1,029 – 31.72%, KMCL 407 – 12.55%, SPML 312 – 9.62%, and GMAC 94 – 2.90%. Loan type: Owner Occupied 78.17%, Buy to Let 21.83%. Purpose of Loan: Purchase 39.05%, Re-mortgage with equity release 26.35%, Investment mortgage 21.83%, re-mortgage 11.39%, others 1.38%. Repayment Terms: Interest Only 89.83%, Capital & Interest 9.82%, Part & Part 0.35%. Borrower verification: Non-Self-Certified Loans 30.95%, Self-Certified Loans 69.05%. Arrears levels: 30-60 Days in Arrears 4.00%, 60-90 Days 1.29%, 90+ Days 1.05%. The WA indexed CLTV is 51.21% (WA OLTV was 79.84%) and the WA seasoning is 14.15 years. Regional distribution (by current balances): South East 33.93%, London 18.43%, North West 10.19% and West Midlands 7.79%.

Significant Investor: It is expected that on the Closing Date an investor will acquire a majority holding in the Notes and the Residual Certificates, giving it a sufficient ability to pass or block Noteholder resolutions.

EU Risk Retention: The Seller, as originator, will retain a material net economic interest of at least 5% in the securitisation. As at the Closing Date, such interest will comprise not less than 5% of the nominal value of each of the tranches sold or transferred to the investors.

US Risk Retention: The Seller intends to comply with the requirements of the U.S. Risk Retention Rules by acquiring on the Closing Date and retaining, either directly or through a majority-owned affiliate, an eligible vertical interest equal to 5% in each Class of Notes and Residual Certificates.

Compare/contrast: Warwick No.3, Polaris 2019-1 plc, Tower Bridge Funding No.4