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Trinidad Mortgage Securities 2018-1: 13 July 2018

A stand-alone transaction, where the Issuer will make payments on the notes from payments of principal and interest received from a portfolio comprising mortgage loans originated by: Mars Capital Finance Limited (trading as Magellan Homeloans) and Magellan Homeloans Limited; Heritable Bank PLC (in administration) and Cyprus Popular Bank Public Co Ltd (formerly Marfin Popular Bank Public Co. Ltd and trading as Laiki Bank or Marfin Popular Bank), to borrowers secured on Properties in England and Wales.

The Originators: Heritable Bank PLC went into administration on 7 October 2008. Whilst in administration, Heritable Bank PLC is continuing to manage its current loan book and the administrators will be seeking to find purchasers for and will continue to manage the remainder of Heritable Bank PLC business and loan book to maximise recovery for creditors. Heritable Bank PLC is not accepting deposits or new accounts.

Established in 1901 as 'Popular Savings Bank of Limassol', Cyprus Popular Bank Public Co Ltd was the second largest bank in Cyprus. Cyprus Popular Bank was branded on its domestic bank as 'Laiki Bank'. In 2012 the bank collapsed and was rescued by the government of Cyprus. In March 2013 the 'good' assets of Cyprus Popular Bank Public Co Ltd were transferred to Bank of Cyprus. Cyprus Popular Bank Public Co Ltd, through its subsidiaries, provided banking and financial services to individual and corporate customers in Cyprus, Greece and internationally.

Mars Capital Finance Limited is a private limited company and administers residential mortgage loans advanced to borrowers secured on properties in England, Wales, Northern Ireland and Scotland. As of the date of this transaction, Mars is a 100% subsidiary of Mars Acquisition Limited. The entire issued share capital of Mars Acquisition Limited is owned by Arrow Global Investments Holdings Limited. Since 2007, Mars has acquired the legal title to and managed approximately £1.1bln of UK mortgage assets. Mars is both servicer and legal title holder of mortgages owned by Thrones 2013-1 plc, Thrones 2014-1 plc and Thrones 2015-1 plc.

The portfolio consists of three distinct pools, namely: The Thrones 2013 Portfolio, the originator being Heritable Bank PLC, accounting for 30.37% of the Provisional Mortgage Portfolio; The Megallan Portfolio, the originator being Magellan Homeloans, accounting for 61.00% of the Provisional Mortgage Portfolio; and the Camael Portfolio, the originator being Cyprus Popular Bank Public Co Ltd, accounting for 8.62% of the Provisional Mortgage Portfolio.

The Provisional Mortgage Portfolio as a whole (at cut-off date 30 April 2018) consisted of 1,805 mortgage loans advance to 1,717 borrower groups and secured on 1,911 properties. The average current balance is £150,169 and the maximum current balance is £2.273mln. Occupation type (by current balances): owner-occupied – 79.26%, BTL – 20.74%. Income Verification: Certified – 81.14%, Self-Certified – 10.23%, No Data – 8.62%. Product Index Type (by current balances): variable – 58.04%, fixed - 41.96%. Repayment Type: repayment – 71.20%, interest-only – 28.79%, no data – 0.01%. Number of Months in Arrears: >= 1, <3 – 2.14%, >= 3 – 2.02%. The WA current LTV is 65.19% (original LTV was 67.48%) and the WA seasoning is 4.84 years. Regional concentration: London – 19.76%, South East – 15.41%, South West – 9.58% and the North West – 9.53%.

EU Retention Undertaking: the Beneficial Title Seller (Magellan Funding No2 DAC) will undertake that it will retain at all times until the redemption of the last of the Senior Notes and the Class X Notes a material net economic interest of not less than 5% in the nominal value of the securitised exposures in accordance with the text of Article 405 of the CRR, Article 51 of the AIFMR and Article 254 of the Solvency II Delegated Act. As at the Closing Date, such interest will be comprised of an interest in the first loss tranche by holding exposure to Class H Notes and Class Z Notes in an amount such that the total nominal value of exposure to the Class H Notes and the Class Z Notes held by it is at least equal to 5% of the nominal value of the Mortgage Portfolio (taking into account on the Closing Date the anticipated purchase of the Thrones 2013 Portfolio and the maximum nominal value of the Mortgage Loans that the Issuer can acquire from and including the Closing Date to and including the Calculation Date immediately preceding the First Interest Payment Date pursuant to the Mortgage Sale Agreement).

US Risk Retention Rules: The Beneficial Title Seller as the sponsor under Section 15G of the Securities Exchange Act of 1934, as amended, does not intend to retain at least 5% of the credit risk of the Notes, but rather intends to rely on an exemption provided for in Section 20 of the U.S. Risk Retention Rules regarding non-U.S. transactions.

Compare/contrast: Thrones 2013-1 Plc, Stratton Mortgage Funding plc