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Jepson Residential 2019-1: 25 March 2019


A Stand-alone transaction, where the issuer will make payments on the notes from payments of principal and revenue on a portfolio comprising mortgage loans originated by Bank of Scotland (Ireland) Limited, Start Mortgages DAC and Nua Mortgages Limited, secured over residential properties located in Ireland. The deal is basically a refinancing of the European Residential Loan Securitisation 2017-PL1 deal that was called in March 2019.

Lone Star was the call option holder but sold this option to Jepson Limited in June 2018, which then assigned it to Ellington Residential Holdings Ireland. Jepson is a direct wholly-owned subsidiary of Jepson Holdings Limited. Jepson Holdings Limited is an exempted company with limited liability incorporated under the laws of Cayman Islands, which is owned in indirect holdings by various funds managed by Ellington Management Group LLC and affiliates.

As at the provisional cut-off date (31 December 2018) the portfolio consisted of 2,682 mortgage loans, where the average mortgage balance was Eur231,144, and the largest was for Eur2.563mln. Occupancy type (by current balances): owner occupied – 95.3%, BTL – 4.7%. Mortgage type: re-mortgage – 54.8%, purchase – 45.2%. Repayment type (by current balances): annuity – 54.2%, interest only – 45.4% and P&P – 0.4%. Interest rate type: variable – 99.98%, fixed – 0.02%. Arrears status: >2.00 to <=3.00 – 1.6%, >3.00 – 7.9%. The WA indexed CLTV is 72.35% (original LYV was 72.20%) and the WA seasoning is 12.26 years. Regional distribution: Dublin – 40.3%, Kildare – 6.9% and Meath – 6.5%.

EU Risk Retention: Jepson Limited (the Retention Holder) will, as at the Closing Date until the Final Maturity Date or the date on which the Notes (other than the Class X Notes) are redeemed in full, retain a material net economic interest of not less than 5% in the securitisation as required by Article 6 of Regulation (EU) 2017/2402 (the Securitisation Regulation). As at the Closing Date, the Retention will be satisfied by the Retention Holder holding the economic interest in not less than 5% of the nominal value of each class of Notes sold or transferred to investors.

Compare/contrast: European Residential Loan Securitisation 2017-PL1, Dunmore Securities No. 1, Glenbeigh Securities 2018-1