Merrion Square Residential 2023-1 : 27 October 2023

A stand-alone issue, where the Issuer will make payments on the Notes and the VRR Loan from receipts of principal and revenue from a portfolio of mortgage loans secured over properties located in Ireland and Northern Ireland.

The mortgage loans are in two distinct loan portfolios: the Shamrock Mortgage Loans, originated by Ulster Bank Ireland, Danske Bank A/S, Stepstone Mortgage Funding DAC, Nua Mortgages Limited, Start Mortgages DAC, Bank of Scotland (Ireland) Limited and Permanent TSB plc; and the Strandhill Mortgage Loans, originated by ACC Loan Management Limited (as ACC Bank plc at the time of origination).

At the cut-off date (30 June 2023) the provisional pool consisted of 4,666 mortgage loans, where the average mortgage loan balance is Eur111,600 and largest current balance is Eur2.270mln. Originator (by no. of loans / % current balance): Cooperatieve Rabobank 2,461 / 32.79%, Ulster Bank Ireland 667 / 23.83%, PTSB 461 / 15.55%, Danske Bank 345 / 9.22%, Stepstone Mortgage Funding 307 / 8.48%, others 686 / 10.13%.

Property type: Residential – 98.61%, ND – 0.57%, Commercial – 0.44%, Land – 0.38%. Occupancy Type (by current balances): Owner occupied –70.52%, BTL – 29.48%. Mortgage type: Purchase – 31.43%, Investment mortgage – 30.93%, ND – 23.59%, other – 14.05%. Income Verification: Verified – 89.15%, Self-certified no checks – 2.37%, ND – 8.48%. Repayment Method (by current balances): Annuity – 79.70%, P&P – 6.66% and Interest only – 13.63%. Interest Rate Type: Floating – 94.25%, Fixed – 5.75%. Additional information: Months in arrears: >3.00 – 12.87%; ever re-structured – 39.81%. The indexed CLTV is 49.95% (original LTV was 74.80%) and the WA seasoning is 15.81 years. Regional concentration: Dublin – 31.21%, Cork – 9.87% and Meath – 6.25%

EU, UK, & US Risk Retention: For the purpose of satisfying, inter alia, US, EU and UK risk retention requirements, Morgan Stanley Principal Funding Inc (the Retention Holder) will advance a euro loan to the Issuer on the Closing Date. As at the Closing Date, the nominal amount of the VRR Loan will be equal to €24,853,684.21, being not less than 5% of the product of 100/95 and the aggregate Principal Amount Outstanding of the Notes of all Classes.

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

Compare/contrast: Shamrock Residential 2023-1 DAC, Portman Square 2023-NPL1, Dilosk RMBS No. 6 (STS) DAC