Securitisation

Gemgarto 2018-1 - Successful Negative Consent Process (GBP LIBOR to SONIA)

Thursday,11th March 2021: Kensington has successfully completed its Consent Solicitation exercise in relation to the transition of the bonds and swaps of Gemgarto 2018-1 from LIBOR to a SONIA basis. The amendments will be effective from the next IPD on 16 March 2021 where the Senior & Junior notes will commence paying an interest rate based on Daily Compounded SONIA plus an adjusted margin (described below).

The pre step-up margins were adjusted via the linear interpolation of 1Y LIBOR vs. SONIA basis and 2Y LIBOR vs. SONIA basis to match the WAL of each class of notes while the post step-up margins were adjusted by using the ISDA 5yr/median methodology.

Adjusted margins are disclosed in the below table:

	New reference Rate	Adjusted pre step-up coupons	Adjusted post step-up coupons
Class A	Compounded Daily SONIA	90.1 bps	139.43 bps
Class B	Compounded Daily SONIA	105.3 bps	199.43 bps
Class C	Compounded Daily SONIA	135.3 bps	274.43 bps
Class D	Compounded Daily SONIA	165.3 bps	316.93 bps
Class E	Compounded Daily SONIA	230.3 bps	411.93 bps
Class F	Compounded Daily SONIA	305.3 bps	311.93 bps
Class X	Compounded Daily SONIA	327.9 bps	336.93 bps
Class Z	Compounded Daily SONIA	505.3 bps	761.93 bps

The RNS, 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/gemgarto/gemgarto_2018-1 (category ‘Other’).

The RNSs disclosing the results & the margin adjustments of this Consent Solicitation process are available on this link.