New Issue: Shawbrook Mortgage Funding 2022-1 PLC

Shawbrook Mortgage Funding 2022-1 PLC is an RMBS transaction that securitizes a portfolio of £574 million buy-to-let (BTL) mortgage loans secured on properties in the U.K. The loans in the pool were originated between 2016 and 2022 by Shawbrook Bank Ltd., a specialist lender, wholly owned by Shawbrook Group PLC. The collateral primarily comprises loans granted to experienced professional landlords, none of whom have an adverse credit history. The transaction benefits from liquidity support provided by a liquidity reserve and a general reserve, and principal can be used to pay senior fees and interest on the most senior notes. Credit enhancement for the rated notes consists of subordination and the general reserve from the closing date. The transaction incorporates a

...Strengths Concerns and mitigating factors Shawbrook Bank is a well-established specialist lender with a well-defined lending strategy targeting professional BTL borrowers. It is authorized by the Prudential Regulatory Authority (PRA) and is regulated by the PRA and the Financial Conduct Authority (FCA). About 65% of properties in the pool are houses in multiple occupation (HMOs). Although the available performance data shows Shawbrook Bank's HMO performance to be as least as good as more standard collateral combined with more conservative minimum debt service coverage ratios (DSCRs) than its peers, we have considered this higher than usual concentration in our credit analysis through the originator adjustment and a valuation haircut. The lender, Shawbrook Bank, has appropriate specialist knowledge of the sector it operates in. It has conservative underwriting standards, illustrated by minimum DSCR requirements, maximum loan-to-value (LTV) ratios, and the strong credit profile of borrowers,...

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