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European Residential Loan Securitisation 2019-NPL2: 22 November 2019


A stand-alone issue, where Issuer will make payments on the Notes from payments of principal and revenue on a portfolio comprising primarily non-performing mortgage loans originated by Permanent TSB plc (the Originator) and secured over primarily residential properties and certain commercial or mixed properties located in Ireland.

As at 31 July 2019 (the Provisional Cut-off Date) the portfolio consisted on 6,921 mortgage loans secured on 6,082 properties, where the average mortgage loan balance is Eur193,374 and the largest is Eur10.032mln. Occupancy type (by current balances): owner occupied – 69.10%, BTL – 30.90%. Repayment type: repayment – 71.69%, interest only – 22.44%, P&P – 5.88%. Interest rate type: variable – 96.63%, fixed – 3.37%. Arrears status: Defaulted (3M+ Arrears) – 96.27%. The WA current indexed LTV is 94.18% (original WA was 78.07%) and the WA seasoning is 14.08 years. Regional concentration: Dublin – 26.86%, Meath – 6.61% and Cork – 6.32%.

Significant investor: The Seller will, on the Closing Date, acquire 73.15% of the Class C Notes, 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 retain, as an originator for the purposes of the Securitisation Regulation, on an on-going basis until the maturity of the Notes, 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 Seller, an interest in the first loss tranche, represented by the Class D Notes, directly held by the Seller, in accordance with Article 6(3)(d) of the Securitisation Regulation.

US Risk Retention: The Retention Holder as the sponsor under the final rules promulgated under Section 15G of the Securities Exchange Act of 1934, as amended (the U.S. Risk Retention Rules), does not intend to retain at least 5% of the credit risk of the securitised assets for purposes of compliance with the U.S. Risk Retention Rules, 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.

STS: The Notes are not intended to be designated as STS securitisation for the purposes of the Securitisation Regulation.

Compare/contrast: European Residential Loan Securitisation 2019-NPL1