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European Residential Loan Securitisation 2020-NPL1: 25 November 2020

A stand-alone issue, where the 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 30 June 2020 (the Provisional Cut-off Date) the portfolio consisted of 1,774 mortgage loans secured on 1,611 properties, where the average mortgage loan balance is Eur217,102 and the largest is Eur2.524mln. Occupancy type (by current balances): owner occupied – 69.15%, BTL – 30.85%. Repayment type: repayment – 66.79%, interest only – 25.43%, P&P – 7.78%. Interest rate type: variable – 98.99%, fixed – 1.01%. Arrears status: Defaulted (3M+ Arrears) – 96.52%. The WA current indexed LTV is 99.99% (original WA was 78.87%) and the WA seasoning is 13.35 years. Regional concentration: Dublin – 26.86%, Meath – 6.61% and Cork – 6.32%.

Significant investor: The Seller will, on the Closing Date, acquire 100% of the Class Z Notes and 100% of the Class P Notes.

EU Risk Retention: Lone Star International Finance DAC (the Retention Holder), as an originator for the purposes of the Securitisation Regulation, will retain, 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 a profit participating loan entered into with the holding company of the Seller, LSF XI Glas II Holdings (Glas II Holdings), which in turn has entered into a profit participating loan with the Seller, an interest in the first loss tranche represented by the Class Z 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-NPL2