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Clavel Residential 3 DAC: 05 August 2023

Essentially this is a refinancing of Clavel 1 & 2.

As per the earlier deals, the Issuer will make payments on the Notes from payments of principal and revenue received from a portfolio comprising mortgage participations and mortgage transfer certificates representing the economic rights in respect of certain loan and facility agreements secured by a mortgage and granted to corporates or individuals domiciled in Spain (i) for the purposes of financing the acquisition, construction or renovation of a residence located in Spain (ii) for any other purpose not related to a residence, or (iii) as a subrogation of the contractual position by corporates or individuals in respect of loans originally granted to developers for the construction of residences.

The Issuer will make payments on the Notes from payments of principal and revenue received under the FT Lantana Bonds, which are uni-tranche Spanish law-governed bonds, and the Clavel Bonds, which are uni-tranche Irish law-governed profit participating variable funding notes, backed by, inter alia, payments of principal and revenue received from a portfolio comprising of the Clavel Bonds and the FT Lantana Bonds. For further details, please see the relevant section in the Prospectus.

The Provisional Portfolio as at the Provisional Portfolio Cut-Off Date comprised 7,717 Mortgage Certificates with an aggregate Current Balance at the Provisional Portfolio Cut-Off Date of €690,459,175. The Average Outstanding Principal Balance is Eur89,472 and the maximum is Eur646,249. Restructured Loan: Yes – 98.05%. Repayment Type: Annuity – 84.86%, Temporary Interest Only – 15.14%. The WA indexed CLTV is 60.12% (original LTV was 76.81%) and the WA seasoning is 12.39 years. Regional concentration: Catalunya – 29.10%, Andalucia – 26.34%, Valencia – 10.55% and Madrid – 9.83%.

EU & UK Risk Retention: On the Closing Date Jepson Limited, a Cayman Islands exempted company, will, in its capacity as originator for the purposes of the EU Securitisation Regulation and the UK Securitisation Regulation, acquire and retain a material net economic interest of not less than 5% in the securitisation.

US Risk Retention: The transaction will be subject to the credit risk retention requirements of Section 15G of the Exchange Act. An economic interest in the credit risk of the securitised assets in this transaction is expected to be retained by virtue of a holding by Jepson Limited (as Sponsor) of an "eligible vertical interest" of 5% of the aggregate principal balance of all ABS interests issued by the Issuer as of the Closing Date.

Compare/contrast: Clavel Residential 1 & 2