Pepper Residential Securities Trust No. 23: 28 February 2019
As per previous Pepper issues, this issuance consists of notes backed by a pool of non-conforming mortgages originated by Pepper Homeloans Pty Limited through accredited mortgage aggregators and third-party brokers, and is secured by properties located in Australia. As per Pepper No.22, this transaction also features a US$ tranche.
The Eligibility Criteria for each mortgage loan (includes): is denominated in, and only payable in, Australian dollars; requires monthly or fortnightly payments sufficient to pay interest and fully amortise the principal over the loan term; the Debtor has no ability to make further advances under the Mortgage Loan other than with the consent of the relevant Warehouse Trustee in its entire discretion; the Debtor has no right to convert from a variable loan to a fixed rate in respect of Mortgage Loan; the Mortgage Loan is not a construction loan.
At the cut-off date the portfolio consists of 1,688 variable-rate consolidated loans secured by first registered mortgages over residential real estate, where the average consolidated mortgage loan balance is A$444,312. Documentation level (by number of loans / current balance): Full 1,211/65.01%, Alt 474/34.91% and Low 3/0.08%. Distribution by Occupancy Status: Owner Occupied 67.59%, Investment 32.69%. Distribution by Repayment Type: Principal and Interest 75.94%, Interest Only 24.06%. The WA current LVR is 71.00% and the WA seasoning is on the low side at 3.52 months. Geographic Location: VIC Metro 29.32%, NSW Metro 27.27%, NSW Non-Metro 10.80% and Queensland Metro 8.87%.
EU Risk Retention: Notwithstanding that it is not an EU Obliged Entity, on the Closing Date and thereafter Pepper will, as an “originator” for the purposes of Article 405(1) of the CRR, retain a material net economic interest of not less than 5% in this securitisation transaction in accordance with the text of Article 405(1) of the CRR. As at the Closing Date, the EU Retention will be in the form of pro rata retention in each of the tranches sold or transferred to investors as provided for in option (a) of paragraph 405(1) of the CRR, and will be comprised by Pepper holding 100% of the shares in the Retention Vehicles who will, between them, hold not less than 5% of the aggregate Invested Amount of each Class of Notes issued.
US Risk Retention: Pepper intends to satisfy the US risk retention rules by acquiring on the Closing Date and retaining through one or more majority-owned affiliates, an eligible vertical interest in the form of not less than 5% of the Invested Amount of each Class of Notes determined as of the Closing Date. Pepper intends to hold 100% of the shares in the Retention Vehicles which will hold the EVI Retained Notes.
Compare/contrast: Pepper Residential Securities Trust No. 22, Liberty Series 2018-3 Trust, National RMBS Trust 2018-2