December 2013 - Co

Transcription

December 2013 - Co

Silk Road Finance Number Two PLC
Issue Date
Issuer
Stock Exchange Listing
07 July 2011
Silk Road Finance Number Two PLC
London
Reporting Date
Collateral Report Period Start Date
Colalteral Report Period End Date
31 December 2013
01 November 2013
30 November 2013
Current/ Most Recent Interest Payment Date
Next Interest Payment Date
Previous Interest Payment Date
23 December 2013
21 March 2014
23 September 2013
Original Issuance
Portfolio Data reported Currency
Mortgage Assets as at the Report Date
Mortgage Balance at the report end date
Over issuance amount
Retained Principal Fund Balance at the Reporting Date
Principal Collections held within the GIC
£877,300,000
Sterling
£582,534,410
£498,473
£4,001,405
£0
£587,034,288
Note Liabilities as at the Report Date
Class A Note Balance
Class B1 Over Collateralisation
Class B2 used to fund the retained principal at Closing
£433,484,287
£149,550,000
£4,000,000
£587,034,288
Note Summary as at the most recent IPD
Class Aa
Class Ab
Class B1 VFN
Class B2 VFN
Class C VFN
XS0615237400
AAA/Aaa
AAA/Aaa
XS0615236691
AAA/Aaa
AAA/Aaa
N/A
NR
NR
N/A
NR
NR
N/A
NR
NR
65.248
59.565
23.04%
50%
Euro
65.248
59.565
23.04%
50%
Sterling
100.000
100.000
N/A
N/A
Sterling
100.000
100.000
N/A
N/A
Sterling
100.000
89.431
N/A
N/A
Sterling
€ 500,000,000.00
N/A
€ 326,240,000.00
€ 297,825,000.00
€ 28,415,000.00
£275,000,000.00
N/A
£179,432,000.00
£163,803,750.00
£15,628,250.00
£149,550,000.00
N/A
£149,550,000.00
£149,550,000.00
£0.00
£19,000,000.00
N/A
£19,000,000.00
£19,000,000.00
£0.00
£27,432,500.00
£3,000,000.00
£27,216,105.99
£26,006,048.52
£1,210,057.47
Reference Rate
Day Count Convention
Relevant Margin
Coupon Reference Rate
Current Coupon Rate
23-Sep-13
23-Dec-13
91
3 month € Libor
Actual/360
1.55000%
0.22100%
1.77100%
23-Sep-13
23-Dec-13
91
3 month £ Libor
Actual/365
1.55000%
0.51750%
2.06750%
23-Sep-13
23-Dec-13
91
3 month £ Libor
Actual/365/366
0.21000%
0.51750%
0.72750%
23-Sep-13
23-Dec-13
91
3 month £ Libor
Actual/365/366
0.21000%
0.51750%
0.72750%
23-Sep-13
23-Dec-13
91
3 month £ Libor
Actual/365/366
0.21000%
0.51750%
0.72750%
Accrued Interest due for the Interest Period
Actual Coupon Payments for the Interest period
Current Interest Shortfall
Cumulative Interest Shortfall
€ 1,460,500.00
€ 1,460,500.00
€ 0.00
€ 0.00
£924,907.50
£924,907.50
£0.00
£0.00
£269,190.00
£269,190.00
£0.00
£0.00
£34,200.00
£34,200.00
£0.00
£0.00
£48,692.00
£48,692.00
£0.00
£0.00
21/09/2014
21/03/2054
21/03/2054
21/09/2014
21/03/2054
21/03/2054
21/09/2014
21/03/2054
21/03/2054
21/09/2014
21/03/2054
21/03/2054
21/09/2014
21/03/2054
21/03/2054
International Securities Number (ISIN)
Original Ratings (Fitch/ Moodys)
Current Ratings (Fitch/ Moodys)
Previous Factor
Current Factor
Credit Enhancement- Original
Credit Enhancement- Current
Currency
Original Principal Balance
Subsequent Draw downs
Total Beginning Balance prior to payment
Total Ending Balance subsequent to payment
Total Principal Payments
Accrual Start Date
Accrual End Date
Accrual Period (Number of days)
Step-Up Date
Legal Final Maturity Date
Expected Maturity Date
Available Revenue Receipts
Revenue Receipts during the collection period
Interest Income earned on Deposit accounts and any Authorised Investments
Net Amounts received under the Interest rate / Currency Swap Agreement
Amounts standing to the credit of General Reserve Fund
Amounts transferred from Principal Collections to cover a revenue deficiency
Other Net Income
Less : Third Party Payments made in the collection Period
Most Recent IPD
Previous IPD
23/12/2013
23/09/2013
6,391,547.10
52,092.44
21,932,500.00
28,376,139.54
6,204,163.50
482,011.64
21,932,500.00
28,618,675.14
16,227.92
138,891.36
1,873,292.74
2,851,966.14
21,932,500.00
303,390.00
48,692.00
1,121.92
1,210,057.47
-
19,241.58
148,148.69
1,961,126.46
3,117,463.85
21,932,500.00
320,245.00
51,735.25
1,158.90
-
28,376,139.54
27,551,619.73
41,352,748.06
4,006,689.23
45,359,437.29
29,526,927.08
4,004,579.65
4,001,404.79
41,358,032.50
45,359,437.29
4,006,689.23
29,524,817.50
33,531,506.73
Pre-Acceleration Revenue Priority of Payments
(a) Trustee/ Security Trustee
(b) Paying Agent/ Registrar/ CSP/ Bank Accounts
(c) Third Party Fees
(d) Servicer Fees/ Cash Manager Fees/ Account Bank Fees
(e) Interest Rate Swap Payments
(f) i) Class A Note Interest & Interest Payments to FX swap providers
ii) Class D VFN Note Interest
(g) Class A Principal Deficiency Ledger
(h) General Reserve Ledger
(i) Class B Principal Deficiency Ledger
(j) Yield Reserve Ledger
(k) i) Class B VFN Note Interest
(l) Class C VFN Note Interest
(m) Issuer Profit
(n) Class B VFN Note Principal (Non Capital Balance)
(o) Class C VFN Note Principal
(p) Fixed Interest Rate Swap excluded Termination Amount
(q) Excess to be applied as Available Revenue Receipts at the next IPD during a
determination period
(r) Deferred Consideration
Available Principal Receipts
Principal Receipts during the Collection Period
Amounts standing to the credit of Liquidity Reserve Fund
Amounts standing to the credit of Rearrangement Ledger
Amounts Credited to the Principal Deficiency Ledger
Amounts from Retained Principal Fund of last quarter
Other Items
Less : Amounts Utilised to Pay a Revenue Deficiency
Pre-Acceleration Principal Priority of Payments
(a) Retained Principal Ledger (Until Further Sales Period End Date)
(b) i) Liquidity Reserve Ledger
ii) Retained Principal Receipts Ledger
iii) Class A1 Note Principal Repayments
iv) Class B1 VFN Note Principal Repayments
iv) Class B2 VFN Note Principal Repayments
v) Available Revenue Receipts
33,531,506.73
Interest Rate Swaps details as at the most recent IPD
Swap Counterparty
Notional Balance
Fixed
Barclays
£379,629,402.27
Tracker
Barclays
£132,703,219.19
SVR
Barclays
£111,554,536.47
Swap Period Start Date
Swap Period End Date
23 September 2013
23 December 2013
23 September 2013
23 December 2013
23 September 2013
23 December 2013
Pay Reference Rate
Pay Margin
Pay Reference Rate for the period
All in Pay Rate
Gross Payment to swap Counterparty
Fixed
0.00%
4.35%
4.35%
£4,120,632.43
Base
0.30%
0.50%
0.80%
£264,679.30
SVR
-2.20%
4.74%
2.54%
£706,430.56
Receive Reference Rate
Receive Margin
Receive Reference Rate for the period
All in Receive Rate
Gross Receipt from Swap Counterparty
3 Months LIBOR
2.55%
0.51750%
3.06750%
£2,903,306.86
3 Months LIBOR
0.00%
0.51750%
0.51750%
£171,214.42
3 Months LIBOR
0.00%
0.51750%
0.51750%
£143,928.27
Net Swap (payment)/ receipts
-£1,217,325.57
-£93,464.88
-£562,502.29
Portfolio Characteristics
Number of Residential Mortgage Loans at the end of the period
Balance of Mortgage Loans at the end of the period
Average Loan Size
Current Indexed Loan to Value Ratio
Non-Indexed Current Loan to Value Ratio
Weighted Average Seasoning (Months)
Weighted Average Yield
Current SVR
Current Period
5,195
£582,534,410
£112,134
57.60%
60.55%
48.0
4.08%
4.74%
At Issuance
8,734
£1,092,823,775
£125,123
66.90%
68.40%
19.4
Balance
593,587,400
582,534,410
No
5,266
5,195
Total Balance
£0.00
£0.00
£0.00
£0.00
£0.00
£0.00
No
0
0
0
0
0
0
Losses
Net Loss for the period
Number of Mortgages on which losses were realised
Average Loss Severity
Current Period
£0.00
£0.00
0.00%
Cumulative
0.00%
0.00%
0.00%
Scheduled repayments received in the period
Unscheduled repayments received in the period
Current Period
2,251,834.31
8,801,155.40
Principal Payment Rate ("PPR")
Constant Prepayment Rate ("CPR")
Current Month
1.86%
1.48%
Pool Reconciliation
Residential Mortgage Loans at the start of the period
Residential Mortgage Loans at the end of the period
Repossessions and Sales
Balance of outstanding possessions at the start of the period
Possessed properties in the current period
Principal Balance of Properties Sold in Period
Balance of outstanding possessions at the end of the period
Possessed properties to date
Cumulative Principal Balance of all Properties Sold
Annualised
20.44%
16.62%
3-month average
3.09%
2.72%
Current Period
Delinquency Analysis
Performance Balances
<=1 Months in Arrears
1 Month -2 Months in Arrears
2 Month -3 Months in Arrears
> 3 Months
Total
Total Balance
580,376,941
1,452,987
307,916
70,037
326,529
582,534,410
No
5,170
15
4
1
5
5,195
% of Total Balance Original Balance
99.63%
1,092,823,774
0.25%
0.05%
0.01%
0.06%
100.00%
1,092,823,774
At Issuance
No
8,734
8,734
% of Original Balance
100.00%
0.00%
0.00%
0.00%
0.00%
100.00%
Region
East Anglia
East Midlands
London
North
North West
South East
South West
Wales
West Midlands
Yorks and Humber
Total
Total Balance
29,884,618
32,798,552
67,071,015
14,608,649
65,270,992
181,627,438
63,896,042
21,491,019
73,447,299
32,438,786
582,534,410
No
291
360
383
181
680
1,296
593
230
833
348
5,195
% of Balance Original Balance
5.13%
51,380,526
5.63%
62,012,411
11.51%
144,136,406
2.51%
27,955,086
11.20%
115,814,305
31.18%
350,461,600
10.97%
115,925,592
3.69%
37,044,231
12.61%
129,348,103
5.57%
58,745,514
100.00%
1,092,823,774
No
467
605
738
295
1,131
2,244
982
366
1,346
560
8,734
4.70%
5.67%
13.19%
2.56%
10.60%
32.07%
10.61%
3.39%
11.84%
5.38%
100.00%
Mortgage Size
Less than or equal to 30K
More than 30k up to and including 50K
More than 400K up to and including 500K
More than 500k
Total
Total Balance
8,419,519
20,904,163
49,268,468
78,326,502
82,452,508
80,676,247
106,973,574
134,316,345
16,165,426
5,031,658
582,534,410
No
484
516
784
891
735
590
620
529
37
9
5,195
1.45%
10,410,325
3.59%
31,120,534
8.46%
78,703,093
13.45%
120,034,257
14.15%
139,073,239
13.85%
144,156,216
18.36%
217,390,411
23.06%
307,161,533
2.78%
36,629,686
0.86%
8,144,481
100.00%
1,092,823,775
No
499
763
1,249
1,375
1,243
1,054
1,261
1,194
82
14
8,734
0.95%
2.85%
7.20%
10.98%
12.73%
13.19%
19.89%
28.11%
3.35%
0.75%
100.00%
Loan Purpose
Owner Occupied Purchase
Owner Occupied Remortgage
Total
Total Balance
330,107,631
252,426,779
582,534,410
No
2,631
2,564
5,195
56.67%
644,984,223
43.33%
447,839,552
100.00%
1,092,823,775
No
4,701
4,033
8,734
59.02%
40.98%
100.00%
Interest Payment Type
Capital & Interest
Interest Only
Mixed (Part & Part)
Total
Total Balance
449,319,176
78,819,488
54,395,745
582,534,410
No
4,258
503
434
5,195
77.13%
840,128,477
13.53%
148,918,690
9.34%
103,776,608
100.00%
1,092,823,775
No
7,045
916
773
8,734
76.88%
13.63%
9.50%
100.00%
Non-indexed Current LTV (Using Original Valuation)
Less than or equal to 25%
More than 25% up to and including 50%
Over 100%
Total
Total Balance
30,321,314
133,207,975
39,948,362
42,825,825
48,610,067
73,385,402
53,960,749
67,070,074
60,640,681
28,120,207
2,182,876
1,520,514
740,365
582,534,410
No
848
1,416
328
315
346
502
343
441
418
209
15
9
5
5,195
5.21%
23,862,765
22.87%
171,439,217
6.86%
63,208,887
7.35%
69,238,671
8.34%
65,164,258
12.60%
73,261,662
9.26%
138,024,666
11.51%
124,860,260
10.41%
108,253,093
4.83%
139,258,713
0.37%
104,618,784
0.26%
7,183,774
0.13%
4,449,026
100.00%
1,092,823,775
No
593
1,979
556
558
509
515
866
768
670
920
724
48
28
8,734
2.18%
15.69%
5.78%
6.34%
5.96%
6.70%
12.63%
11.43%
9.91%
12.74%
9.57%
0.66%
0.41%
100.00%
Indexed Current LTV (Using Original Valuation)
Less than or equal to 25%
Over 100%
Total
Total Balance
37,833,166
152,193,178
41,779,400
44,141,259
61,566,785
68,954,766
63,606,271
58,271,366
36,038,276
14,277,802
1,957,711
485,119
1,429,311
582,534,410
No
961
1,502
314
309
400
464
415
412
277
110
19
4
8
5,195
Interest Rate
0 – 1.99%
2 – 2.99%
3 – 3.99%
4 – 4.99%
5 – 5.99%
6 – 6.99%
7 – 7.99%
Total
Total Balance
14,851,000
84,225,628
195,229,528
206,890,325
70,246,075
11,091,854
582,534,410
No of Sub Accounts
253
1,170
2,180
2,847
1,097
131
7,678
Years to Maturity
0 and less than or equal to 5 years
Greater than 5 years and less than or equal to 10 years
Greater than 30 years
Total
Total Balance
14,240,235
46,138,198
103,170,484
143,071,969
172,136,854
72,855,098
30,921,572
582,534,410
Property Type
Detached House
Flat/ Maisonnette
Semi- Detached House
Terraced House
Other
Total
Interest Rate Type
Base
Fixed- reverting to SVR
SVR
Total
6.49%
41,739,578
26.13%
207,593,030
7.17%
59,581,223
7.58%
60,588,717
10.57%
62,709,630
11.84%
68,363,946
10.92%
96,754,113
10.00%
152,256,406
6.19%
61,947,560
2.45%
185,263,161
0.34%
83,473,494
0.08%
4,818,053
0.25%
7,734,863
100.00%
1,092,823,775
No
999
2,224
489
459
428
455
620
885
387
1,161
551
31
45
8,734
3.82%
19.00%
5.45%
5.54%
5.74%
6.26%
8.85%
13.93%
5.67%
16.95%
7.64%
0.44%
0.71%
100.00%
% of Balance Original Balance No of Sub Accounts
2.55%
27,856,382
424
14.46%
172,442,096
1,937
33.51%
353,676,712
3,174
35.52%
337,566,927
4,273
12.06%
165,006,014
2,283
1.90%
35,683,424
406
0.00%
592,219
4
100.00%
1,092,823,775
12,501
2.55%
15.78%
32.36%
30.89%
15.10%
3.27%
0.05%
100.00%
No
337
710
1,083
1,125
1,173
516
251
5,195
2.44%
14,099,826
7.92%
65,144,235
17.71%
139,498,382
24.56%
265,730,984
29.55%
394,851,367
12.51%
139,596,905
5.31%
73,902,075
100.00%
1,092,823,775
No
295
928
1,432
2,137
2,472
937
533
8,734
1.29%
5.96%
12.76%
24.32%
36.13%
12.77%
6.76%
100.00%
Total Balance
193,879,550
52,741,178
176,835,455
135,879,602
23,198,625
582,534,410
No
1,479
426
1,703
1,306
281
5,195
33.28%
353,440,201
9.05%
133,280,544
30.36%
315,022,179
23.33%
262,177,647
3.98%
28,903,204
100.00%
1,092,823,775
No
2,427
1,010
2,760
2,265
272
8,734
32.34%
12.20%
28.83%
23.99%
2.64%
100.00%
Total Balance
110,676,310
350,145,214
121,712,886
582,534,410
No of Sub Accounts
1,560
4,570
1,548
7,678
% of Balance Original Balance No of Sub Accounts
19.00%
234,536,344
2,485
60.11%
758,111,122
8,516
20.89%
100,176,309
1,500
100.00%
1,092,823,775
12,501
21.46%
69.37%
9.17%
100.00%
Re-arrangements repurchased during the Period
Cumulative Re-arrangements Repurchased
Other Repurchases during the period
Other Cumulative Repurchase
Bonds Outstanding as % of Original Bonds Issued
Losses in Quarter as % Bonds Issued
Cumulative Losses as % Bonds Issued
Further Advances in period
Cumulative Further Adavnces Since Transaction Close
Annualised Excess Spread (Junior to Reserve)
£1,258,068.71
£36,410,338.66
£105,527.97
£8,045,655.40
59.57%
0.00%
0.00%
£78,000.00
£12,166,237.18
0.57%
Ledgers details as at the most recent IPD
Current Period
21,932,500.00
21,932,500.00
21,932,500.00
21,932,500.00
21,932,500.00
Previous Period
21,932,500.00
21,932,500.00
21,932,500.00
21,932,500.00
21,932,500.00
Period Start Balance
Realised losses for the period
Credits from Available Revenue
Period End Balance
£0.00
£0.00
£0.00
£0.00
£0.00
£0.00
£0.00
£0.00
Class B Principal Deficiency Ledger
Period End Balance
£0.00
£0.00
£0.00
£0.00
£0.00
£0.00
Class C Principal Deficiency Ledger
Period End Balance
£0.00
£0.00
£0.00
£0.00
£0.00
£0.00
£0.00
£0.00
Reserve Fund Ledger
Balance at Transaction Close
Reserve Fund Required Amount
Credit from the Revenue Waterfall
Period End Balance
Class A Principal Deficiency Ledger
Period Start
Balance
Retained Principal Receipts Ledger
Principal Deficiency Ledger
Liquidity Reserve Ledger
Yield Reserve Ledger
Rearrangement Purchase Ledger
Co-op Collateral Account Ledger
Issuer Fee Amount Ledger
Swap Provider Amount Ledger
Pre-Funded Purchase Ledger
Swap Collateral Ledger
4,006,689.23 £0.00
£0.00
£0.00
£0.00
£5,000,000.00
£9,961.64
£0.00
£15,000,000.00
£0.00
Movements during
the Period Period End Balance
5,284.44
£0.00
£0.00
£0.00
£0.00
£0.00
£1,121.92
£0.00
£0.00
£0.00
4,001,404.79
£0.00
£0.00
£0.00
£0.00
£5,000,000.00
£11,083.56
£0.00
£15,000,000.00
£0.00
Transaction Close
Balance
£4,000,000.00
£0.00
£0.00
£0.00
£0.00
£2,000,000.00
£0.00
£0.00
£15,000,000.00
£0.00
Asset Conditions*
(a) No Event of Default and either (i) conditions (b) to (m) below are satisfied, or
(ii) a drawing is made under the Class B2 VFN equal to the current balance of
the affected loan
(b) Current Balance of 3 month plus arrears < 5%
(c) General Reserve Fund is funded to the General Reserve Fund Required
Amount
(d) Current Ratings unaffected by PS/ FA
(e) Loan Reps and Warranties (FA/ PS)
(f) No Rating Agency Test breach
Current Level
Trigger Event
Satisfied
0.06%
No
No
Satisfied
Satisfied
Satisfied
Satisfied
No
No
No
No
Satisfied
Satisfied
Satisfied
Satisfied
Satisfied
Satisfied
No
No
No
No
No
No
(g) Each loan is originated by the Seller, and consistent with prevailing lending
criteria (in line with a reasonably prudent mortgage lender)
(h) Yield Reserve is funded to the Yield Reserve Required Amount
(i) New Loan Type incorporated and current note ratings unaffected
(j) Appropriate Rating Agency compliant hedging in place for FA/ PS
(k) No debit balance on the Class A Principal Deficiency Ledger
(l) Aggregate FA < 10% of current balance of loan portfolio at closing
(m) Solvency certificate delivered by the Seller to the Security Trustee in
accordance with the MSA
Satisfied
No
*Must be satisfied as a pre-requisite for any Sale of New Portfolio (NP) NP and for any loan subject to a FA, PS or Flexible Drawing to remain in the Portfolio at the Monthly Test Date
Rating Agency Tests
(a) FAs Original Weighted Average LTV
(b) FAs % of Loans with Original LTV > 80%
(c) FAs Current Weighted Average LTV (Non-Indexed)
(d) FAs Weighted Average Income Multiple
(e) FAs Interest Only %
(f) FA Individual LTV (Original Advance plus Further Advances/ Original
Valuation)
hly Test Date/ New Portfolio Sale Date
Threshold
> 75.0%
> 40.0%
> 71.0%
> 3.4X
> 43.0%
Current Level
68.5%
27.5%
60.5%
2.65
22.9%
Trigger Event
No
No
No
No
No
> 95.0%
No accounts were breaching this condition.
No
Deal Triggers
Basis Rate Swap Provider
Currency Swap Provider
Provider
Barclays Bank PLC
Barclays Bank PLC
Rating Triggers (M- Moody's/ F- Fitch)
A2, P-1/ A, F1
A2, P-1/ A, F1
Current Rating (M- Moody's/ F- Fitch)
A2(Neg), P-1/ A, F1
A2(Neg), P-1/ A, F1
Issuer Account Bank (i)
Issuer Account Bank (ii)
Collection Account Bank
The Co-operative Bank PLC
Barclays Bank PLC
Caa1,NP/ B,B
P-1/ F1
Caa1,NP/ B,B
Cash Manager
Caa1,NP/ B,B
Please see below **
Servicer
Loss of P-1 (M S-term)/ A, F1 (F)
Loss of P-1 (M S-term)/ A, F1 (F)
Loss of P-2 (M S-term)/ F2 (F S-term)
Loss of Baa3 (M L-term)/ Loss of BBB- (F Lterm)
Loss of Baa3 (M L-term)/ Loss of BBB- (F Lterm)
Action
N/A
N/A
Deposits limited to Collateralised
Amount- £2m
N/A
Please see below **
Caa1,NP/ B,B
Please see below **
** Co-operative Bank has entered into non-binding heads of terms with Homeloan Management Limited in relation to the provision of back-up mortgage services and Citibank N.A., London Branch in connection with the provisions of back-up cash management
in relation to the the Silk Road Programme.
Deal Participant Information
Cash Manager
Web address
http://www.britannia.co.uk/_site/microsite/bts/index.html
Servicer
Web address
http://www.britannia.co.uk/_site/microsite/bts/index.html
Note Trustee
Web address
Capita Trust Company Limited
www.capitafiduciary.co.uk
Lead Arrangers
Barclays Bank PLC
J.P.Morgan
Information Sources
Point Contact
Email
Telephone
Fax
Address
Reports Distribution Channels
Loan Level Data and Liability Modelling
Bloomberg Ticker
Report Frequency
Paying Agent
HSBC Bank PLC
Account Banks
Barclays Banks PLC
Corporate Services Provider
Capita Trust Corporate Limited
Back-Up Cash Manager Facilitator
Structured Finance Management Limited
Back-Up Servicer Facilitator
Structured Finance Management Limited
Randika Vithanage
[email protected]
+44 (0)1538 397 883
+44 (0)1538 399 519
Britannia House, Cheadle Road, Leek, Staffordshire, ST13 5RG
Bloomberg or http://www.britannia.co.uk/_site/microsite/bts/index.html
https://boeportal.co.uk/theco-operativebank/
SLKRD
Monthly
CRD II Retention
In Europe, investors should be aware of Article 122a of the Capital Requirements Directive which applies to newly issued asset-backed securities after 31 December 2010, and to asset backed securities issued on or before that date
from the beginning of 2015 to the extent that new underlying exposures are added or substituted after 31 December 2014. Article 122a requires, amongst other things, an EU regulated credit institution to only invest in asset-backed
securities in respect of which the originator, sponsor or original lender of the securitisation has explicitly disclosed to the EU regulated credit institution that it will retain, on an ongoing basis, a net economic interest of not less than 5%
respect of certain specified credit risk tranches or asset exposures. The Co-operative Bank PLC's current policy is to retain, on an ongoing basis, a net economic interest in the Silk Road Finance Number Two PLC ("Silk 2") of not les
than 5% and to use reasonable endeavours to provide investors with the data and information which they may reasonably require for the purposes of compliance by investors with Article 122a. As at the date of this report, the Cooperative Bank PLC retains an economic interest in Silk 2 in the form of the general reserve fund and the unrated class B and C VFN notes (all of which are retained by the Co-operative Bank PLC) in amounts as stated in the releva
sections of this report
Active
No
N/A
Yes
No
No
No
No
t services
e
% in
ss
ant
Glossary
Mortgage Yield (pre swap)
Unscheduled Principal Payments
Unscheduled Revenue Receipts
Principal Payment Rate (3 ma)
Annualised PPR Speed (Based on monthly principal payment rate)
Constant Prepayment Rate (3ma)
Constant Prepayment Rate (Annualised)
FA
PS
FL
MSA
WA average mortgage interest rate
Non scheduled principal and redemption receipts
Interest on arrears
Total Payments received unscheduled and scheduled divided by opening mortgage
balance (3month average)
Total Payments received unscheduled and scheduled divided by opening mortgage
balance (Annualised on current month)
Total Payments received unscheduled divided by opening mortgage balance
(3month average)
Total Payments received unscheduled divided by opening mortgage balance
(3month average)
Further Advances
Product Switches
Flexible Drawings
Mortgage Sale Agreement

December 2013 - Co

Transcription

Documents pareils

Here is a list of Moody`s latest bank ratings.

Rachats Avril 2007

An example of automation in Coq using types classes and reflection