Platform Funding Limited, a wholly owned subsidiary of the Co-Operative Bank, and Paratus (formerly GMAC-RFC) are securitizing £1.78 billion ($2.6 billion) of U.K. non-conforming loans.
Paratus originated 44.50% of the loans and Platform Funding originated the other 55.50%. Bank of America Merrill Lynch, Morgan Stanley and Citigroup Global Markets are the lead managers on the deal, called Warwick Finance Number One, according to presales reports from Moody’s Investor Service and Standard & Poor’s
Moody’s and S&P assigned preliminary Aaa’/ AAA’ ratings to £1.3 billion of class A notes that benefit from credit support of 27.5%, Aa2’/ AA’ ratings to £ 215.5 million of class B notes, structured with 15.5% credit support, A2’/ A+’ ratings to £62.8 million of class C notes, structured with 12% credit support, Baa2’ / BBB’ ratings to £35.9 million of class D notes, structured with 10% credit support , Ba2’ / BB’ ratings to £48.5 million of class E notes, structured with 7.3% credit support and B3’/ BB’ ratings to £55.7 million of class F notes, structured with 4.2% credit support.
The pool is comprised primarily of loans rates pegged to the Bank of England base rate; however 34.9% have rates linked to three-month Libor and 17.5% have standard variable rates.
The weighted average remaining term of all of the loans is 14.4 years; they have a current weighted average loan to value ratio (LTV) of 76.8% and an original weighted average LTV of 73.2%; 13.56% have arrears greater than one month. All of the loans were originated prior to 2008 (70.08% was originated in 2006 and 2007 and the average seasoning of the pool is 8.16 years.
It's the second deal backed by pre-crisis loans to be launched this month. Last week, Credit Suisse began marketing a £265.5 million ($392 million) securitization of non-coforming mortgage assets originated by Edeus Mortgage Creators, Kensington Mortgage Co, Amber Homeloans and Paratus . Most of the loans in the transaction pool were originated pre-crisis in 2006 (27.11%) and 2007 (71.09%) and have a weighted-average current loan-to-value ratio of 84.57%,