Canada Square Funding 2021-1: 13 March 2021

The fourth deal in the Canada Square series is another stand-alone transaction, where the issuer will make payments on the Notes from payments of principal and revenue received from a portfolio comprising loans secured over residential properties located in England and Wales. The portfolio was acquired by the seller from Hart Funding Limited, Zephyr Funding Limited, Broadway Funding Limited and Habito Mortgage Funding No.1.

The provisional portfolio as at 31 January 2021 comprises of 1,187 variable rate buy-to-let loans, where the average current balance is £206,058 and the largest is for £1.136mln. Borrower type: company – 52.16%, individual – 47.84%. Repayment type (by current balances): interest only – 95.58% and repayment –4.37%. Loan purpose: remortgage – 66.32%, purchase – 33.68%. The WA current LTV is 70.27% (original LTV was 70.40%) and the WA seasoning is 3.44 months. Regional concentration: London – 40.26%, the South East – 14.64% and the East of England – 10.96%.


EU & UK Risk Retention: On the Closing Date, Citibank, N.A., London Branch (the Retention Holder) will, as an originator, retain a material net economic interest of not less than 5% in the securitisation in accordance with Article 6 of each of (i) Regulation (EU) 2017/2402 and (ii) the EU Securitisation Regulation as it forms part of the domestic law of the United Kingdom pursuant to section 3 of the EUWA. This will comprise of the Retention Holder holding the VRR Loan Note, representing not less than 5% of the nominal value of each tranche sold or transferred to investors on the Closing Date.

US Risk Retention: The securitisation transaction will be subject to the credit risk retention requirements of Section 15G of the Exchange Act as added by Section 941 of the Dodd-Frank Act. The Retention Holder, as "sponsor" for purposes of the U.S. Credit Risk Retention Requirements, is required to acquire and retain (either directly or through a majority owned affiliate) at least 5% of the credit risk of the securitised assets. The Retention Holder intends to satisfy the U.S. Credit Risk Retention Requirements by acquiring on the Closing Date and retaining (directly or through a majority-owned affiliate) a “single vertical security” in the Issuer, in the form of the VRR Loan Note. The VRR Loan Note will represent at least 5% of all “ABS interests” (as defined in U.S. Regulation RR) in the Issuer and will entitle the Retention Holder to a specified percentage of the amounts paid on each other class of ABS interests issued by the Issuer.

STS: The securitisation does not qualify as an STS Securitisation.

Compare/contrast: Canada Square 2020-2, Jupiter Mortgage No.1 plc, Gemgarto 2021-1 plc