New Issue: Temple Quay No.1 PLC

Temple Quay No.1 PLC is a static RMBS transaction that securitizes a portfolio of £506.65 million owner-occupied and buy-to-let (BTL) mortgage loans secured on properties in the U.K. The loans in the pool were originated by Bank of Ireland (UK) PLC, The Governor and Company of the Bank of Ireland (U.K. Branch), Bank of Ireland Home Mortgages Limited, and Bristol&West PLC between 1982 and 2022. Bristol&West PLC was acquired by Bank of Ireland in 1997. Lending under the Bristol&West brand ceased in 2009. The assets were originated based on a lending policy that would be categorized as prime. As such, while the assets are highly exposed to borrowers with self-certified income, exposure to borrowers

...Strengths Concerns and mitigating factors The pool has a low current indexed loan-to-value (LTV) ratio of 54.0%, which is most likely to incur lower loss severities if the borrower defaults, and also incentivize the borrower to continue to maintain a high payment rate to reduce historical arrears. We have received historical loss severity information on 5,759 loans. The historical average weighted-average loss severity (WALS) is relatively high at 27.44%. Therefore, we applied a 10% valuation haircut in our weighted-average loss severity estimates. This valuation haircut is further supported by the results of the pool audit report which contained several exceptions related to the valuation field. The servicer, Bank of Ireland (UK) PLC has significant servicing experience and is contracted to administer the loans on the issuer's behalf. We believe its team is experienced and has well-established and fully integrated servicing systems and policies. We reviewed the servicing and default management...

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