Securitisation

FSQ 18-2 & FSQ 19-1 NEGATIVE CONSENT PROCESS (GBP LIBOR TO SONIA)

Kensington launched a negative consent process in relation to both the Finsbury Square 2018-2 and Finsbury Square 2019-1 transactions for the purpose of proactively modifying the reference rate that will apply to all classes of outstanding notes from 3 month GBP-LIBOR to Compounded Daily SONIA following the first call date in March 2022.

The proposal contemplates that the calculation of interest on the notes will continue to be linked to 3m GBP-LIBOR until the first call date in March 2022 (with the final LIBOR reset occurring in December 2021 prior to cessation) and that, if the deals are not called on their first call date, the reference rate applied to all outstanding notes at that point will be Compounded Daily SONIA with a corresponding adjustment being made to the step-up margin applicable to each class to account for the differential between SONIA and LIBOR. The post step-up margin adjustment for both deals will be equal to 11.93bps, being the Spread Adjustment (as defined in supplement number 70 to the 2006 ISDA Definitions (the "ISDA IBORs Fallback Supplement")) for three month GBP-LIBOR as specified on Bloomberg screen "SBP0003M Index". Similar amendments to those proposed will also be made to the floating leg and fixed rate of each fixed/floating swap outstanding on the deals.

The noteholders of the most senior class (i.e. the Class A Notes) have 30 calendar days from the notification date to object to the proposal.

For full details regarding the proposal to the class A noteholders (including the margin adjustment methodology) and the negative consent process, please refer to the public RNS announcement dated 10 May 2021 available on this link for both Class A noteholders and other class noteholders (the “RNS”) – type ‘Finsbury Square’ in the search bar.

NO ACTION IS REQUIRED TO BE TAKEN BY ANY CLASS A NOTEHOLDER WHO DOES NOT WISH TO OBJECT TO THE BENCHMARK RATE MODIFICATION, THE SWAP RATE MODIFICATION OR THE PROPOSED AMENDMENTS (IN EACH CASE AS DEFINED IN THE RNS).

Expected Timetable

The Deed of Amendment and Restatement (together with the Amended Documents) and the Replacement Interest Rate Swap Confirmation (in each case, as defined in the RNS) are available on the Kensington’s portal https://investors.kensingtonmortgages.co.uk/rmbs-reports (category ‘Other’ of each relevant FSQ deal).