Yorkshire Building Society RMBS Brass No. 6 plc Investor Presentation October 2017 REG S BEARER-FORM SELLING RESTRICTIONS: NOT FOR DISTRIBUTION TO ANY US PERSON OR TO ANY PERSON OR ADDRESS IN THE UNITED STATES
Contents 1. Executive Summary and Overview 2. Yorkshire Building Society Overview 3. Brass No. 6 Transaction Overview 4. Brass No. 6 Provisional Portfolio Overview and Performance 5. Accord Mortgages 6. Operations Overview Appendix – UK Mortgage Market REG S BEARER-FORM SELLING RESTRICTIONS: NOT FOR DISTRIBUTION TO ANY US PERSON OR TO ANY PERSON OR ADDRESS IN THE UNITED STATES 2
Contents 1. Executive Summary and Overview 2. Yorkshire Building Society Overview 3. Brass No. 6 Transaction Overview 4. Brass No. 6 Provisional Portfolio Overview and Performance 5. Accord Mortgages 6. Operations Overview Appendix – UK Mortgage Market REG S BEARER-FORM SELLING RESTRICTIONS: NOT FOR DISTRIBUTION TO ANY US PERSON OR TO ANY PERSON OR ADDRESS IN THE UNITED STATES 3
Introduction Yorkshire Building Society (“YBS”) is pleased to present its sixth public UK prime Residential Mortgage Backed Securities (“RMBS”) transaction – Brass No.6 plc (“Brass No.6”) Brass No.6 is a standalone RMBS transaction backed by a pool of first lien, prime, UK owner-occupied mortgage loans. Brass No.6 will feature a 5-year revolving pool period with a scheduled amortisation Class A Note Up to £[300]m of publically placed triple- A rated (Moody’s and Fitch) Class A Notes will be offered As per the previous Brass transactions, the mortgage loans in the Brass No.6 pool were originated by Accord Mortgages, a wholly owned, mortgage lending subsidiary within the YBS Group, through its longstanding relationships in the intermediary mortgage market YBS operates nationally and is currently the UK’s third largest building society (1) with total assets of £39.8bn as at 30 th June 2017 (2) The Group is currently consolidating all its direct business into the Yorkshire Building Society brand but will continue to operate under the Accord name in the intermediary market. YBS is currently rated A-/F1 by Fitch and A3/P- 2 by Moody’s (1) Building Societies Association (2) YBS Interim Results June 2017 REG S BEARER-FORM SELLING RESTRICTIONS: NOT FOR DISTRIBUTION TO ANY US PERSON OR TO ANY PERSON OR ADDRESS IN THE UNITED STATES 4
Public Bond Issuance History Yorkshire Building Society has been a consistent issuer of debt in recent times 2006 2007 2008 2009 2010 2011 £150m PIBS Tier 1 € 1.5b 3yr CB Retained CB’s € 750m Govt Gteed $350m Govt Gteed £750m 7yr CB € 1.5b 5yr CB £750m Govt Gteed £600m Govt Gteed £750 Brass 1 € 600m 5yr CB 100m CoCo Exchange 2014 2012 2013 2015 2016 2017 CoCo LME € 600m 5yr Senior € 750m 7yr Senior £400m 10yr Senior £500m 4yr CB € 500m 6yr CB £500m Brass 3 £300m Brass 4 € 500m 5yr CB £300m Brass 5 £600m Brass 2 £300m Tier 2 € 500m 7yr CB € 500m 7yr CB PIBS/LT2 LME £250m Tier 2 REG S BEARER-FORM SELLING RESTRICTIONS: NOT FOR DISTRIBUTION TO ANY US PERSON OR TO ANY PERSON OR ADDRESS IN THE UNITED STATES 5
Transaction Overview Principal Expected WAL (1) Initial Step-Up Step-Up Legal Class TT % CE (%) Index Status Amount (£m) Ratings (F/M) (years) Margin (%) Margin Date Maturity A [ ● ] [88.5]% [AAAsf / Aaa(sf)] [3.17] [13.0] 3M LIBOR [ ● ] 2x [Sep-22] [Dec-60] Offered Z VFN [ ● ] [11.5]% Not Rated - - 3M LIBOR - N/A N/A [Dec-60] Retained Brass No.6 will feature a 5- year revolving pool (“The Further Sale Period”) during which excess principal over the Class A Targe t Schedule Amount can be used to purchase Additional Loans subject to certain criteria The Class A notes will amortise in line with a target schedule of amortisation and have a WAL of [3.17] (1) years Up to £[300]m of publically placed Class A Notes offered – YBS will retain a portion of the Notes First Interest Payment Date [March 2018], quarterly thereafter in June, September, December Optional redemption: Step-up and call on or after [September 2022]. After the Step-Up date, the Class A margin increases by 2x 10% clean-up call Amortising reserve fund: [1.5]% of the mortgage pool balance at close, fully funded at closing via the Class Z VFN. Subject to the General Amortising Conditions being met, the reserve target will be set at [2.0]% of Class A’s outstanding balance subject to a maximum of the Initial General Reserve Required Amount and floored at a minimum of [0.75]% of the mortgage pool balance at close As at the closing date, YBS will retain a material net economic interest of at least 5% (2) in the securitisation via retention of the Class Z VFN. This will be disclosed in the ongoing investor reporting Based on assumed principal payment rate (“PPR”) of [20]% and call option by the issuer being exercised on the step -up and call date (see Brass No.6 plc (1) Preliminary Prospectus dated 16th October 2017 for more information) (2) As required by in accordance with each of Article 405 of Regulation (EU) No. 575/2013, referred to as the Capital Requirements Regulation (the CRR) and Article 51 of Regulation (EU) No 231/2013, referred to as the Alternative Investment Fund Managers Regulation (AIFMR) and Article 254 of Regulation (EU) 2015/35 (the Solvency II Regulation) (which, in each case, does not take into account any corresponding national measures). REG S BEARER-FORM SELLING RESTRICTIONS: NOT FOR DISTRIBUTION TO ANY US PERSON OR TO ANY PERSON OR ADDRESS IN THE UNITED STATES 6
Brass No.6 initial Pool Collateral Summary Initial Provisional Pool (as of 31 st July 2017) Original LTV Current LTV (Indexed) Pool Size WA: 75.7% Max: 90.0% Min: 5.4% WA: 72.1% Max: 89.9% Min: 1.7% £2,829,997,799 37.1% Number of Accounts 40% 40% 14,377 35.0% 35% 35% Average Current Balance £196,842 29.0% 30% 30% 24.8% WA Current LTV (un-indexed) 73.43% 23.2% 25% 25% WA Current LTV (indexed) 72.08% 20% 20% 14.2% 12.2% 15% 15% WA Original LTV 75.70% 9.0% 10% 10% 4.3% 5.3% WA Interest Rate 2.9% 3.0% 2.15% 5% 5% WA Seasoning (months) 11.7 0% 0% < 45% 45 - 55 - 65 - 75 - 85 - < 45% 45 - 55 - 65 - 75 - 85 - WA Remaining Term (years) 25.8 55% 65% 75% 85% 95% 55% 65% 75% 85% 95% Capital and Repayment 100% Fixed Loans reverting to SVR 100% Seasoning (months) Geographical Distribution Employed / Self Employed Split 94.3% / 5.7% WA: 11.7 Max: 126.7 Min: 3.1 Performing Loans 100% 7.6% 5.5% 65.5% 70% 7.9% 9.0% Brass Brass Brass Brass Brass Brass 60% Brass Criteria Comparison 3.4% No.1 No.2 No.3 No.4 No.5 No.6 50% 3.4% No BTL 9.5% 40% 6.6% No Self Certified Income 27.8% No CCJ or Bankruptcy History 30% No Retention accounts 20% No Credit Repair Accounts 4.8% 10% No Future Reserve or Offset A/Cs 1.3% 0.6% 22.2% 24.9% No New Build Loans 0% No Northern Irish Loans < 12 12 - 24 24 - 36 36 - 60 > 60 No Scottish Loans X X X East Anglia East Midlands No Guarantor Loans North East North West Maximum LTV at Origination 90% 90% 90% 90% 90% 90% Greater London South East Maximum Current Unindexed LTV 85% 77.5% 82% 90% 90% 90% South West Wales Maximum Current Indexed LTV 90% 90% 90% 90% 90% 90% Minimum Application Score 200 200 200 200 200 200 West Midlands Yorks. & Humber. Source: Brass No.6 plc Preliminary Prospectus dated 16th October 2017 REG S BEARER-FORM SELLING RESTRICTIONS: NOT FOR DISTRIBUTION TO ANY US PERSON OR TO ANY PERSON OR ADDRESS IN THE UNITED STATES 7
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