Merrion Square Residential 2024-1: 14 July 2024

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 Issuer will make payments on the Notes from payments of principal and revenue on a portfolio comprising mortgage loans originated by Permanent TSB plc (the Crystal Originating Lender) and Irish Nationwide Building Society and Springboard Mortgages Limited (each a Piano Originating Lender) and secured over freehold or leasehold properties located in Ireland, the majority of which are residential properties. There are also eight mortgage loans in the Mortgage Portfolio which are secured over commercial properties located in Ireland and nine mortgage loans in the Mortgage Portfolio which are secured over other types of properties located in Ireland or properties in Ireland in circumstances where information on the property type is unavailable.

At the cut-off date (31 March 2024) the provisional pool consisted of 4,562 mortgage loans, where the average mortgage loan balance is Eur142,866 and largest current balance is Eur3.926mln. Originator (by no. of loans / % current balance): PTSB 3,138 / 74.37%, Springboard Mortgages 596 / 13.04%, Irish National BS 828 / 12.60%. Property type: Residential – 98.61%, ND – 0.57%, Commercial – 0.44%, Land – 0.38%. Occupancy Type (by current balances): Owner occupied –57.23%, BTL – 42.71%, ND – 0.05%. Mortgage type: Purchase – 77.07%, re-mortgage – 17.60%, other – 5.33%. Income Verification: Verified – 92.13%, Self-certified no checks – 7.02%, ND – 0.84%. Repayment Method (by current balances): Annuity – 43.52%, P&P – 28.41% and Interest only – 28.07%. Interest Rate Type: Floating – 87.57%, Fixed – 12.43%. Additional information: Months in arrears: >3.00 – 14.05%; ever re-structured – 61.35%. The indexed CLTV is 51.65% (original LTV was 75.27%) and the WA seasoning is 16.90 years. Regional concentration: Dublin – 35.87%, Cork – 9.05% and Meath – 5.42%.

EU & UK Risk Retention: Morgan Stanley Principal Funding Inc. (the "Retention Holder") will undertake that it will, from the Closing Date until the Final Maturity Date or the date on which the Notes are redeemed in full, retain, on an ongoing basis, as an originator, a material net economic interest of not less than 5% in the securitisation.

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 a STS securitisation for the purposes of the EU Securitisation Regulation or the UK Securitisation Regulation.

Compare/contrast: Merrion Square Residential 2023-1, Summerhill Residential 2024-1