Glenbeigh Securities 2018-1: 05 December 2018
A stand-alone issue, where the issuer will make payments on the notes from payments of principal and revenue on a portfolio comprising mortgage loans originated by Permanent TSB plc and secured over residential properties located in Ireland which will be purchased by the issuer on the closing date. Permanent TSB Group Holdings plc (formerly Irish Life & Permanent Group Holdings plc), the holding company of the Group, is currently 74.92% owned by the Irish Government.
Eligibility criteria (includes): each Mortgage Loan is secured by a valid, subsisting and first ranking legal mortgage over the relevant Property situated in Ireland; each Mortgage Loan was originated by the Seller as principal in the ordinary course of business; all Mortgage Loans are denominated in euro; all Mortgage Loans and Related Security are governed by the laws of Ireland; as at the Closing Date, each Borrower has made at least one monthly payment including in respect of each Mortgage Loan that was the subject of a Restructuring.
As at the cut-off date (30 September 2018) the portfolio contained 9,848 unique loan parts (4,146 unique packages) and the majority of this portfolio has been restructured in the last few years. At present 32.4% of the loans, which were originally paying on a capital & interest basis, now pay due to their restructuring on a part capital & interest basis.
Additionally, 67.1% of the loans have been restructured whereby each loan has been split into two, where one portion is looked upon as performing and the other portion is “warehoused”. This essentially means that a borrower under a “Split Loan” essentially makes monthly payments on the “performing” part on a capital & interest basis, and on the “warehoused” part no interest is due or payable during the term of the loan. The borrower is then liable to repay the “warehoused” part on the maturity date.
Under this circumstance is it difficult to accurately assess the various components of the portfolio, but the following figures are available : the average loan balance is Eur218,761 and the largest current loan is for Eur2.548mln; Most Recent Valuation Type: Inspection – 73.24%, desktop – 26.76%. Interest rate type: variable – 77.50%, tracker – 21.77% and fixed – 0.73%. The WA indexed LTV is 94.21% and the WA seasoning is 7.9 years. Regional concentration (by current balances): Dublin – 18.15%, Co Meath – 9.33%, Co Dublin – 8.25% and Co Cork – 7.76%.
EU Risk Retention: The Seller as originator, in accordance with Article 405 paragraph (1) of Regulation (EU) No. 575/2013 of the European Parliament, Article 51 of Regulation (EU) No 231/2013 (referred to as the Alternative Investment Fund Managers Directive) and Article 254(2) of the Commission Delegated Regulation (EU) 2015/35 of 10 October 2014 supplementing Directive 2009/138/EC of the European Parliament, will retain a material net economic interest of at least 5%. As at the Closing Date, such interest will comprise the Class V Notes, which will be equal to 5% of the nominal value of each tranche sold or transferred to investors for the purposes of the securitisation.
US Risk Retention: The Seller, as "sponsor" for purposes of Section 15G of the U.S. Securities Exchange Act of 1934, is required to acquire and retain (either directly or through a majority-owned affiliate) at least 5% of the credit risk of the assets collateralising the 'asset-backed securities' issued on the Closing Date. The Seller intends to comply with the requirements of the U.S. Risk Retention Rules by acquiring on the Closing Date and retaining, either directly or through a majority-owned affiliate, a "single vertical security" that is "an eligible vertical interest" in the form of the Class V Notes.
Compare/contrast: Dilosk RMBS No. 2, Dublin Bay Securities 2018-1