Yorkshire Building Society RMBS Brass No. 5 plc Investor Presentation November 2016 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. 5 Transaction Overview 4. Brass No. 5 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
1. Executive Summary and Overview 2. Yorkshire Building Society Overview 3. Brass No. 5 Transaction Overview 4. Brass No. 5 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 fifth public UK prime Residential Mortgage Backed Securities (“RMBS”) transaction – Brass No.5 plc (“Brass No.5”) Up to £[300]m of publically placed triple- A rated (Moody’s and Fitch) Class A Notes offered Brass No.5 is a standalone, static pool, pass-through RMBS transaction backed by a pool of first lien, prime, UK owner-occupied mortgage loans As per the previous Brass transactions, the mortgage loans in the Brass No.5 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 is currently the UK’s second largest building society (1) operating under a multi-brand strategy (YBS, Accord Mortgages, Barnsley Building Society, Chelsea Building Society, Norwich & Peterborough Building Society and YBS Share Plans) with total assets of £38.2b as at 31 st December 2015 (2) Our investment programmes have enabled us to modernise our business and therefore we have decided to re-band both Barnsley Building Society and Chelsea Building Society branches to Yorkshire Building Society. This will give our members access to a larger network of more than 163 branches and 100 agencies giving them greater choice and flexibility YBS is currently rated A-/F1 by Fitch and Baa1/P- 2 by Moody’s (3) (1) Building Societies Association (2) Yorkshire Building Society Annual Report The Moody’s long -term and long-term (foreign and local) bank deposit rating is A3 (3) 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 € 1.5b 3yr CB Retained CB’s € 750m Govt Gteed £150m PIBS Tier 1 $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 2012 2013 2014 2015 2016 € 600m 5yr Senior € 750m 7yr Senior £500m 4yr CB CoCo LME £400m 10yr Senior € 500m 5yr CB £600m Brass 2 £500m Brass 3 £300m Brass 4 € 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 WAL (1) Principal Expected Initial Step-Up Step-Up Legal Class TT % CE (%) Index Status (years) Amount (£m) Ratings (F/M) Margin (%) Margin Date Maturity [ ● ] [ ● ] A [91.5] [AAAsf / Aaa(sf)] [2.95] [10.0] 3M LIBOR 2x [Nov-21] [Aug-54] Offered [ ● ] Z VFN [8.5] Not Rated - - 3M LIBOR - N/A N/A [Aug-54] Retained Standalone, static pool, sequential pay, pass-through RMBS structure The Class A Notes will total [91.5]% and have a WAL of [2.95] (1) years First Interest Payment Date [February 2017], quarterly thereafter in May, August, November and February Optional redemption: Step-up and call on or after [November 2021]. 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 Up to £[300]m of publically placed Class A Notes offered – Yorkshire Building Society will retain a portion of the Notes As at the closing date, YBS will retain a material net economic interest of at least 5% in the securitisation, via retention of the Class Z VFN, 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). 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.5 plc (1) Preliminary Prospectus dated 7th November 2016 for more information) 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.5 Pool Collateral Summary Pool Overview (as of 31 st July 2016) Original LTV Current LTV (Indexed) WA: 74.2% Max: 90.0% Min: 8.7% WA: 66.4% Max: 90.0% Min: 5.3% Pool Size £2,947,170,029 14,910 Number of Accounts 45% 45% 39.6% 38.6% 40% 40% Average Current Balance £197,664 35% 35% 28.1% WA Current LTV (un-indexed) 71.76% 30% 30% 24.2% 25% 25% 19.2% WA Current LTV (indexed) 66.36% 20% 15.7% 20% 74.16% WA OLTV 15% 10.8% 15% 6.1% 7.9% 10% 10% WA Interest Rate 2.31% 3.2% 3.5% 3.0% 5% 5% WA Seasoning (months) 11.9 0% 0% < 45 - 55 - 65 - 75 - 85 - < 45 - 55 - 65 - 75 - 85 - WA Remaining Term (years) 25.1 45% 55% 65% 75% 85% 95% 45% 55% 65% 75% 85% 95% 100% Capital and Repayment Fixed Loans reverting to SVR 100% Seasoning (months) Geographical Distribution Full – Time Employed Borrowers 100% WA: 11.9 Max: 120.0 Min: 1.2 Performing Loans 100% 5.0% 7.6% 70% 63.7% 7.1% 7.9% Brass Brass Brass Brass Brass 60% 3.5% Brass Criteria Comparison No.1 No.2 No.3 No.4 No.5 2.9% 50% 8.2% No BTL 6.8% 40% No Self Certified Income 30.5% No CCJ or Bankruptcy History 30% No Retention accounts 20% No Credit Repair Accounts No Future Reserve or Offset accounts 10% 3.6% 1.4% 0.8% 25.5% 25.6% No New Build Loans 0% No Northern Irish Loans < 12 12 - 24 24 - 36 36 - 60 > 60 X X X No Scottish Loans East Anglia East Midlands No Guarantor Loans North East North West Maximum LTV at Origination 90% 90% 90% 90% 90% Greater London South East Maximum Current Unindexed LTV 85% 77.5% 82% 90% 90% South West Wales Maximum Current Indexed LTV 90% 90% 90% 90% 90% West Midlands Yorks. & Humber. Minimum Application Score 200 200 200 200 200 Source: Brass No.5 plc Preliminary Prospectus dated 7th November 2016 REG S BEARER-FORM SELLING RESTRICTIONS: NOT FOR DISTRIBUTION TO ANY US PERSON OR TO ANY PERSON OR ADDRESS IN THE UNITED STATES 7
Brass No.5 Pool Collateral Comparison Brass No. 5 Lanark Gosforth Duncan Holmes Darrowby (Provisional Friary No.3 Albion No. 3 2016-1 2016-2 2016-1 2016-1 No.4 Pool) Issue Date [Nov-16] Aug-16 May-16 May-16 May-16 Feb-16 Feb-16 Sep-15 Structure Standalone Master Trust Standalone Standalone Master Trust Standalone Standalone Standalone Sponsor Yorkshire BS Clydesdale Virgin Money TSB Santander UK Skipton BS Principality BS Leeds BS Total CE to Class A % [10.0] 12.0 12.4 10.5 17.9 10.1 10.75 10.5 Aggregate Loan Balance (£ m) [2,947.2] 4,406.1 1,222.8 3,754.1 6,872.8 487.0 517.7 364.5 Average Loan Balance (£) [204,776] 111,459 171,627 123,881 90,282 120,493 116,259 132,613 [2.3] 3.2 2.4 2.7 3.2 3.2 2.9 3.1 WA Interest Rate WA Seasoning (years) [1.0] 4.0 1.4 3.1 9.2 2.1 1.93 1.2 Asset Parameters WA Remaining Term (years) [25.1] 18.1 22.0 20.0 12.3 20.4 19.6 23.5 95.0 93.7 Maximum Indexed LTV [90.0] N/A 84.9 141.8 89.6 92.1 60.4 62.1 WA Indexed CLTV (%) [66.4] 57.6 60.1 61.8 60.2 66.7 Self Employed (%) [0.0] 6.8 22.8 12.0 25.1 11.4 17.4 8.4 Interest Only (%) [0.0] 21.4 5.5 11.8 52.7 4.4 14.5 16.4 Fixed Interest (%) [100.0] 62.7 90.1 57.7 0.1 75.5 88.0 93.2 Scotland Wales London & SE London & SE London & SE London & SE London & SE London & SE Regional Concentration (%) (51.1) (51.0) (37.28) (51.0) (26.0) (31.7) (22.6) (22.8) Source: Brass No.5 plc Preliminary Prospectus dated 7th November 2016 REG S BEARER-FORM SELLING RESTRICTIONS: NOT FOR DISTRIBUTION TO ANY US PERSON OR TO ANY PERSON OR ADDRESS IN THE UNITED STATES 8
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