Co-operative Bank p.l.c. (The Co-operative Bank) has entered into a transaction whereby it has transferred a mezzanine portion of the risk in a portfolio of residential mortgage loans originated by its subsidiary, Platform Funding Limited to third party investors via the issuance of £116.5m of funded notes by an orphan special purpose vehicle incorporated in Ireland, Calico Finance Number One Limited (Calico) (the Transaction).
The Co-operative Bank will receive funded credit protection from Calico on a mezzanine portion of residential mortgage portfolio of approximately £1.8bn. As a result of the Transaction, The Co-operative Bank will benefit from a reduction in its total calculated risk-weighted assets.
Other than in connection with the Transaction, the Co-operative Bank will continue to be ineligible to receive any regulatory capital relief in respect of any RMBS securitisation transactions for the period determined by the FSA as previously announced in the RNS of 30 March 2011.
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