Shamrock Residential 2023-1 DAC: 16 March 2023

A stand-alone transaction, where the Issuer will make payments on the Notes from, among other things, payments of principal and revenue on a portfolio of mortgage loans secured over properties located in Ireland, the majority of which are residential properties.

The mortgage loans were originated by: in respect of the Leaf sub-portfolio, Allied Irish Banks, public limited company, AIB Mortgage Bank Unlimited Company, AIB Finance Limited, EBS DAC and Haven Mortgages Limited; in respect of the Phoenix sub-portfolio, Allied Irish Banks, public limited company, AIB Mortgage Bank Unlimited Company, EBS DAC, Irish Nationwide Building Society (including Anglo Irish Bank, Irish Bank Resolution Company, Hill Samuel (Ireland) Ltd, Scottish Legal Trustee Ltd, Irish Industrial Building Society and Irish Mutual Building Society) and Springboard Mortgages Limited; in respect of the Cannes sub-portfolio, Permanent TSB plc, Start Mortgages DAC and Bank of Scotland (Ireland) Limited.

At the cut-off date (31 October 2022) the provisional pool consisted of 2,427 mortgage loans, where the average mortgage loan balance is Eur138,732 and largest current balance is Eur2.638mln. Originator (by no. of loans / current balance): Phoenix Mortgage Loans 190 / Eur26.9mln; Cannes Mortgage Loans 1,350 / Eur182.9mln; Leaf Mortgage Loans 887 / Eur126.8mln; Mars Mortgage Loans 1,077 / Eur153.7mln; Start Mortgage Loans 1,350 / Eur183.9mln.

Property type: Residential – 98.61%, ND – 0.57%, Commercial – 0.44%, Land – 0.38%. Occupancy Type (by current balances): Owner occupied –91.49%, BTL – 8.51%. Mortgage type: Purchase – 42.82%, Re-mortgage – 11.43%, ND – 43.25%, other – 2.50%. Income Verification: Verified – 95.69%, Self-certified no checks – 3.90%, ND – 0.40%. Repayment Method (by current balances): Annuity – 77.95%, P&P – 4.30% and Interest only – 17.75%. Interest Rate Type: Floating – 93.38%, Fixed – 6.62%. Additional information: Months in arrears: >3.00 – 10.39%; ever re-structured – 77.56%. The indexed CLTV is 57.49% (original LTV was 76.85%) and the WA seasoning is 15.45 years. Regional concentration: Dublin – 28.94%, Cork – 8.42% and Meath – 7.18%.

EU & UK Risk Retention: Morgan Stanley Principal Funding Inc (the Retention Holder) will, as at the Closing Date, undertake to retain, on an ongoing basis until the Final Maturity Date or the date on which the Notes (other than the Class X Notes) are redeemed in full, a material net economic interest of not less than 5% of the nominal value of the securitised exposures in the securitisation as required by (i) Article 6(1) of the EU Securitisation Regulation and (ii) Article 6(1) of the UK Securitisation Regulation.

US Risk Retention: The Retention Holder intends to comply with the requirements of the US Risk Retention Rules by acquiring on the Closing Date and retaining, either directly or through a majority-owned affiliate, the US Risk Retained Interest in the form of an eligible vertical interest equal to not less than 5% of each Class of Notes issued by the Issuer on the Closing Date.

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

Compare/contrast: Shamrock Residential 2022-2, Kinbane 2022-RPL 1 DAC, Fastnet Securities 18