European Residential Loan Securitisation 2016-1: 02 December 2016

A stand-alone issuance, where the Issuer will make payments on the notes from payments of principal and revenue on a portfolio comprising non-performing mortgage loans, re-performing loans and performing loans originated by Irish Nationwide Building Society and primarily secured over residential properties located in Ireland. There are a small number of mortgage loans in the portfolio that are secured over residential properties located outside of Ireland. There are a small number of mortgage loans in the portfolio where enforcement procedures have been completed in respect of such mortgage loans.

The seller, Shoreline Residential DAC, is incorporated in Ireland. It acquired the legal and beneficial title to the mortgage loans from Irish Bank Resolution Corporation Limited (in Special Liquidation) and the Special Liquidators to Irish Bank Resolution Corporation Limited (in Special Liquidation) pursuant to the loan sale deed dated 28 March 2014 between, amongst others, the Original Sellers and the Seller.

The Seller entered into a profit participating loan agreement with the Retention Holder on 29 May 2016 pursuant to which the Retention Holder agreed to make a loan available to the Seller which the Seller is permitted to use to invest in certain financial assets, subject to the terms of such PPL.

Each of the 2,860 mortgage loans in the mortgage portfolio was advanced by Irish Nationwide. The average mortgage loan balance is Eur196,226 and the largest is for Eur13.676mln. Overall there are seven loans of greater than Eur2.5mln in the portfolio accounting for 7.3% of current balances. Repayment terms (by current balances): Annuity 85.1%, Interest-only 14.9%. Apart from 3 loans, all are at standard variable rates of interest. Occupancy Type: Owner Occupied 85.4%, BTL 14.6%. Loan Status: current 30.1%, Legal 27.6%, Pre-Legal 18.7%, in possession 15.0% and Modification Pipeline 8.5%. Arrears Status (months in arrears): >3.00 to <=6.00 2.4%, >6.00 to <=9.00 1.5%, >9.00 58.9%. The WA indexed CLTV is 109.74% and the WA seasoning is 11.32 years. Geographical Distribution: Dublin 28.7%, Cork 12.6% and Kerry 6.1%.

Significant Investor: The Seller will, on the closing date, purchase 100% of the Class D Notes and 100% of the Class P Notes.

CRR 405: Lone Star International Finance DAC will, through its exposure to the Seller in the form of a profit participating loan, retain on an ongoing basis from the closing date until the final maturity date or the date on which the notes are redeemed in full a material net economic interest of at least 5% of the nominal value of the securitised exposures (representing downside risk and economic outlay). As at the closing date, such interest will be comprised of exposure by the Retention Holder of an interest in the first loss tranche, namely the Class D Notes.

Compare/contrast: Dilosk RMBS No. 1, Fastnet Securities 11