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European Residential Loan Securitization 2018-1: 25 March 2018

Another stand-alone issuance, where the Issuer will make payments on the notes from payments of principal and revenue on a portfolio comprising non-performing mortgage loans, re-performing loans and performing loans originated by Irish Nationwide Building Society and primarily secured over residential properties located in Ireland. There are a small number of mortgage loans in the portfolio that are secured over residential properties located outside of Ireland. There are a small number of mortgage loans in the portfolio where enforcement procedures have been completed in respect of such mortgage loans.

(Note – this is basically a re-financing of the earlier European Residential Loan Securitization 2016-1 transaction)

Each of the 1,940 mortgage loans in the mortgage portfolio was advanced by Irish Nationwide. As at the cut-off date (31 January 2018) the average mortgage loan balance is Eur183,551 and the largest is for Eur8.050mln. Overall there are three loans of greater than Eur2.5mln in the portfolio accounting for 4.52% of current balances. Repayment terms (by current balances): Annuity 86.42%, Interest-only 13.58%. Apart from 3 loans, all are at standard variable rates of interest. Occupancy Type: Owner Occupied 87.63%, BTL 12.37%. Loan Status: Legal 46.59%, current 37.81%, Modification Pipeline 10.34% and REO 5.26%. Arrears Status (months in arrears): >3.00 to <=6.00 2.11%, >6.00 50.99%. The WA indexed CLTV is 95.64% and the WA seasoning is 13.05 years. Geographical Distribution: Dublin 25.26%, Cork 12.44% and Kerry 5.89%.

Significant Investor: The Seller will, on the closing date, purchase 100% of the Class P Notes and 100% of the Class Z Notes.

CRR 405: Lone Star International Finance DAC will, through its exposure to the Seller in the form of a profit participating loan, retain on an ongoing basis from the closing date until the final maturity date or the date on which the notes are redeemed in full a material net economic interest of at least 5% of the nominal value of the securitised exposures (representing downside risk and economic outlay). As at the closing date, such interest will be comprised of exposure by the Retention Holder of an interest in the first loss tranche, namely the Class D Notes.

Compare/contrast: European Residential Loan Securitization 2016-1