Proteus RMBS DAC: 24 December 2017
A stand-alone issuance, where the Issuer will make payments on the notes from payments of principal and revenue received from a portfolio comprising mortgage loans which will be sold to the Issuer by Proteus Funding DAC, who will purchase the Mortgage Loans from Danske Bank A/S on the Closing Date. The loans are secured over residential properties located in Ireland and also including up to 79 properties situated across Northern Ireland, England and Scotland. Additionally the Mortgage Portfolio will also contain up to 47 non-residential properties.
At the cut-off, the portfolio consists of 12,892 mortgage loans where the average current balance is Eur135,292 and the largest is for Eur5.274mln. Mortgage Type (by current balances): Principal Private Residential – 74.9%, BTL - 25.1%. Repayment Type: Capital and Interest – 67.3%, Interest only – 31.1%, Part & Part – 1.6%. Interest Rate Type: Tracker – 78.9%, Discount – 13.1%, Variable – 6.8%, Other – 1.2%. The WA current indexed LTV is 69.4%, and the WA seasoning is 119 months.
Significant Investor: on the Closing Date it is expected that 95% of the Class A Notes, 95% of the Class B Notes and 95% of the Class Z Notes will be pre-placed with the Consortium.
The Issuer has not requested a rating of any Class of Notes from any credit rating agency.
CRR 405: On the Closing Date, Goldman Sachs Lending Partners LLC (the Retention Holder) will, as an originator for the purposes of the CRR, the AIFM Regulation and the Solvency II Regulation, retain a material net economic interest of not less than 5% of the nominal value of each Class of Notes sold or transferred to investors or to the Seller.
US Risk Retention: The Sponsor intends to satisfy the U.S. Credit Risk Retention Requirements by acquiring and retaining, either directly or through a majority owned affiliate, an eligible vertical interest equal to a minimum of 5% in each Class of Notes on the Closing Date.
Volcker Rule: The Issuer is not, and after giving effect to any offering and sale of Notes and the application of the proceeds thereof will not be, a "covered fund" for the purposes of regulations adopted under Section 13 of the Bank Holding Company Act of 1956.
Compare/contrast: European Residential Loan Securitization 2017-1 NP, Fastnet Securities 13, Grand Canal Securities 2