TPMF 2016 - Granite1 Plc: 22 April 2016

This is basically a re-issuance of the Granite transactions, where the Issuer will make payments on the Notes from payments of principal and revenue received from a portfolio comprising Loans the equitable or beneficial interest in which will be sold by Cerberus European Residential Holdings BV, which were purchased by the Seller from NRAM plc (formerly known as Northern Rock plc and latterly as Northern Rock (Asset Management) plc) and secured over residential properties located in England, Wales and Scotland.

Cerberus European Residential Holdings BV (CERH) is a private company with limited liability under Dutch law. CERH is indirectly owned by Cerberus Capital Management LP. CERH is the holding company of Capital Home Loans Limited and it completed the acquisition of Capital Homes Loans Limited on 31 July 2015. Capital Home Loans Limited holds a mortgage portfolio of £2.3 billion, some of which has been securitised. CERH also holds certain other mortgage assets as part of Cerberus’ European residential mortgage business. In February 2016, CERH completed the acquisition from GE Capital of a £925 million portfolio of loans. Following Completion 2, CERH will be the indirect holding company of NRAM.

As at 29 Feb 2016, the Provisional Portfolio consisted of 80,599 Sub-Accounts (62,281 actual loans) secured over properties located in England, Wales or Scotland. The average current loan size is £76,824. Repayment type (by current balances): Interest only loans – 51.71%, Repayment – 48.06%, part & part 0.23%. Interest rate type: Floating - 97.77%, Fixed (to floating) - 2.24%. Of note, CCJs account for 14.78% of the pool and IVAs for 5.51%. At close, some 3.76% of the pool was in arrears of 90+ days. The current WA indexed LTV is 68.32% (original LTV was 83.96%) and the WA seasoning is 120 months. Regional concentration (by current balances): South East - 22.64%, North West - 13.20%, Yorkshire & Humberside - 9.47% and Scotland - 9.03%.


CRR 405: On the Closing Date, Cerberus European Residential Holdings BV will, as an originator for the purposes of the CRR … and the Solvency II Regulation, retain a material net economic interest of not less than 5% in the securitisation in accordance with the text of each of Article 405(1)(a) …. Article 254(2)(a)… and Article 51(1)(a). As at the closing date, the Retention will comprise the Retention Holder holding no less than 5% of the nominal value of each Class of Notes and Certificates sold or transferred to investors on the Closing Date, as required by the text of each of the Articles.

Compare/contrast: Granite Master Issuer plc (Mortgage Note Prog), Auburn 9