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European Residential Loan Securitization 2019-NPL1: 22 July 2019


A stand-alone issuance, where the Issuer will make payments on the notes from payments of principal and revenue on a portfolio comprising primarily of non-performing mortgage loans originated by Bank of Scotland (Ireland) and secured over residential properties located in Ireland. There is a small number of performing and re-performing mortgage loans in the portfolio.

The portfolio was acquired by, and is being sold by, LSF IX Java Investments DAC (the Java Seller), and LSF IX Paris Investments DAC (the Paris Seller).

LSF IX Java Investments DAC (the Java Seller) acquired the legal and beneficial title to the Mortgage Loans from Investec Bank plc and Nua Mortgages Limited (the Original Sellers). The Java Seller entered into a profit participating loan agreement with the Retention Holder to the Java Seller on 11 September 2014 pursuant to which the Retention Holder agreed to make a loan available to the Java Seller, which the Java Seller is permitted to use to invest in certain financial assets.

LSF IX Paris Investments DAC (the Paris Seller) acquired the legal and beneficial title to these Mortgage Loans from Bank of Scotland (Ireland) Limited (the Original Seller). The Paris Seller entered into a profit participating loan agreement with the Retention Holder on 10 October 2014 pursuant to which the Retention Holder agreed to make a loan available to the Paris Seller, which the Paris Seller is permitted to use to invest in certain financial assets.

As at the cut-off date (30 April 2019) the portfolio consisted of 1,355 mortgage loans, where the average mortgage loan balance is Eur338,648 and the largest is for Eur4.354mln. Overall there are 38 loans of greater than Eur1.0mln in the portfolio accounting for 13.69% of current balances. Repayment terms (by current balances): Repayment 63.90%, Interest-only 36.06%, and P&P 0.05%. Interest rate type: variable 98.63%, fixed 1.37%. Occupancy Type: Owner Occupied 87.63%, BTL 2.01%. Loan Status: Legal 74.23%, Modification Pipeline 10.42%, in possession 10.18% and current 5.17%. Arrears Status (months in arrears): 3M+ = 93.47%. The WA original LTV was 73.25%, the WA indexed CLTV is 101.34% and the WA seasoning is 12.44 years. Geographical Distribution: Dublin 23.57%, Galway 8.52%, Cork 7.82% and Meath 6.53%.

Significant Investor: The Paris Seller will, on the closing date, acquire 100% of the Class D Notes and 100% of the Class P Notes.


EU Risk Retention: Lone Star International Finance DAC (the Retention Holder) will, until the maturity of the Notes, as an originator for the purposes of the Securitisation Regulation, retain a material net economic interest of not less than 5% in the securitisation in accordance with Article 6(1) of Regulation (EU) 2017/2402. As at the Closing Date, the Retained Amount will be comprised by the Retention Holder holding through its interest and exposure in the profit participating loan entered into with the Paris Seller an interest in the first loss tranche, represented by the Class D Notes, directly held by the Paris Seller, in accordance with Article 6(3)(d) of the Securitisation Regulation. The aggregate Principal Amount Outstanding of the Class D Notes as at the Closing Date is equal to at least 5 per cent of the nominal value of the securitised exposures.

US Risk Retention: The Retention Holder (Lone Star International Finance DAC) intends to rely on an exemption provided for in Section __.20 of the U.S. Risk Retention Rules regarding non-U.S. transactions that meet certain requirements.


Compare/contrast: European Residential Loan Securitization 2018-1, Jepson Residential 2019-1, Shamrock Residential 2019-1