European Residential Loan Securitisation 2017-1: 03 April 2017

Another stand-alone issuance, and a follow-up of the earlier ERLS deal which was launched in December 2016. On this occasion the Issuer will make payments on the notes from payments of principal and revenue on a portfolio comprising mortgage loans originated by Bank of Scotland (Ireland) Limited, Start Mortgages DAC and Nua Mortgages Limited and secured over residential properties located in Ireland. The Initial Portfolio will be purchased by the Issuer from the sellers on the closing date and a further portfolio may be purchased by the issuer from either or both of the sellers on a further portfolio sale date.

LSF IX Java Investments DAC (the Java Seller) is incorporated in Ireland. It acquired the legal and beneficial title to the Mortgage Loans from Investec Bank plc and Nua Mortgages Limited (the Original Sellers), and the Java Seller entered into a profit participating loan agreement with the Retention Holder, pursuant to which the Retention Holder agreed to make a loan available to the Java Seller which the Java Seller is permitted to use to invest in certain financial assets, subject to the terms of such PPL. Pursuant to the terms of the PPL, all available amounts received by the Java Seller in relation to the Mortgage Assets (including the proceeds of any sale of the Mortgage Assets) are passed by the Java Seller to the Retention Holder.

LSF IX Paris Investments DAC (the Paris Seller) is incorporated in Ireland. It acquired the legal and beneficial title to the Mortgage Loans from Bank of Scotland (Ireland) Limited (the Original Seller). The Paris Seller entered into a profit participating loan agreement with the Retention Holder, pursuant to which the Retention Holder agreed to make a loan available to the Paris Seller which the Paris Seller is permitted to use to invest in certain financial assets, subject to the terms of such PPL. Pursuant to the terms of the PPL, all available amounts received by the Paris Seller in relation to the Mortgage Assets (including the proceeds of any sale of the Mortgage Assets) and all available amounts received by the Paris Seller in respect of the Class Z Notes and any other Notes held by it are passed by the Paris Seller to the Retention Holder.

The portfolio consists of 2,591 mortgage loans, (Bank of Scotland 1,526 loans – 66.9% of current balances; Start 939 – 29.0%; Nua 126 – 4.1%) where the average mortgage loan balance is Eur243,397 and the largest is for Eur2.563mln. Overall there are 45 loans of greater than Eur1mln in the portfolio accounting for 10.6% of current balances. Repayment terms (by current balances): Annuity 50.9%, Interest-only 48.8%, part & part 0.3%. Interest Rate Index: tracker 66.9%, variable 27.7%, fixed 5.5%. Occupancy Type: Owner Occupied 95.3%, BTL 4.7%. Arrears Status (months in arrears): >2.00 to <=3.00, 3.4% of current balances. The WA indexed CLTV is 89.42% (original LTV was 72.29%) and the WA seasoning is 10.35 years. Geographical Distribution: Dublin 40.0%, Kildare 6.9% and Meath 6.4%.

Significant Investor: The Paris Seller will, on the Closing Date, purchase 100 per cent of the Class Z Notes and 100 per cent of the Class X Notes.

CRR 405: Lone Star International Finance DAC (the Retention Holder) will, through its exposure to the Paris Seller in the form of a profit participating loan (the Paris PPL), retain on an ongoing basis from the Closing Date until the Final Maturity Date or the date on which the Notes (other than the Class X 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) in accordance with Article 405 (1) of Regulation (EU) 575/2013, Article 51 of Commission Delegated Regulation (EU) No 231/2013 and Article 254 of Commission Delegated Regulation (EU) 2015/35. 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 Z Notes, directly held by the Paris Seller.

The Retention Holder intends to rely on an exemption provided for in Section __.20 of the U.S. Risk Retention Rules regarding non-U.S. transactions that meet certain requirements.

Compare/contrast: European Residential Loan Securitization 2016-1, Phoenix Funding 6 plc