SRF 2017-2: 15 December 2017
The third issuance in the SRF series (the first transaction closed in October 2016. Prospectus available on www.euroabs.com).
This transaction will feature mortgage loans which were originally originated by Catalunya Banc S.A. Subsequently the loans were sold funds managed by Blackstone in April 2015. In this instance, the portfolio consists largely of seasoned re-performing loans.
The portfolio consists of 2,240 mortgage loans, where the current outstanding average balance is Eur77,360 and the largest current loan is for Eur695,881. The top 10 obligors account for 3.00% of current balances. Distribution by credit/loan (by current balances): multi-credit agreement 56.01%, mortgage loans 43.99%. Amortisation type: French 93.77%, Geometric 6.23%. Restructured Loans: Yes 79.87%, No 20.13%. The WA LTV is 59.71% (original LTV was 77.67%) and the WA seasoning is 116.76 months. Of note is that there are 291 in arrears of between 1 – 30 days. Regional distribution: Barcelona 55.09%, Madrid 7.84% and Tarragona 5.89%.
CRR 405: The Retention Holder will retain a material net economic interest of not less than 5% in the securitisation by holding an interest in the first loss tranche, represented in this case by the Class E Notes.
Compare/contrast: SRF 2017-1