Stratton Mortgage Funding 2021-2: 14 March 2021

A stand-alone transaction where the Issuer will make payments on the Notes, the Certificates and the VRR Loan Note from payments of principal and revenue received from a portfolio comprising the Mortgage Loans, the equitable or beneficial interest in which will be sold by the Seller, and which were purchased by the Seller from Citibank, N.A., London Branch and secured over predominantly residential properties located in England, Wales, Scotland and Northern Ireland which will be purchased by the Issuer from the Seller on the Closing Date. The Portfolio was acquired by the Sponsor from NRAM Limited and Bradford and Bingley plc.

Note: The Portfolio purchased by the Issuer on the Closing Date consists of 35% of the Provisional Portfolio as selected by an independent third party on a random selection basis.

The provisional portfolio (as at 31 January 2021) consists of 41,964 Sub-Accounts (35,422 main accounts) secured over properties located in England, Wales, Scotland or Northern Ireland. The average account balance is £130,507. Occupancy Status at Origination (by current balances): BTL – 56.04%, owner-occupied – 43.96%. Repayment Type (by current balances): Interest Only – 90.88%, repayment – 7.27%, P&P – 1.85%. Interest Rate Type: Variable – 100.00%. Months in Arrears: 3 months ≤ Months in Arrears < 6 month – 2.20%, 6 months ≤ Months in Arrears – 3.33%. Total Payment Holiday Taken: >= 6 Months – 11.57%. The WA current indexed LTV is 61.98% and the WA seasoning is 14.21 years. Regional concentration: Greater London – 20.85%, North West – 14.64%, South East – 12.27% and Yorks & Humber – 8.05%.

EU & UK Risk Retention: 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 (i) Article 6 of Regulation (EU) 2017/2402) and (ii) Article 6 of Regulation (EU) 2017/2402 as it forms part of domestic law of the United Kingdom by virtue of the European Union (Withdrawal) Act 2018. As at the Closing Date, the Retention will comprise of the Retention Holder holding no less than 5% of the nominal value of each tranche sold or transferred to investors on the Closing Date, and the Retention Holder holding the VRR Loan Note.

US Risk Retention: The Retention Holder intends to satisfy its obligations under the U.S. Credit Risk Retention Requirements by acquiring and retaining (directly or through a majority-owned affiliate), on the Closing Date, a “single vertical security” that is an “eligible vertical interest” in the Issuer in the form of the VRR Loan Note.

Compare/contrast: Stratton Mortgage Funding 2021-1, Jupiter Mortgages No.1