European Residential Loan Securitisation 2017-1 NP: 02 May 2017

This will be the third transaction under the European Residential Loan Securitization label, and follows on from the first transaction (issued Dec 2016) and the more recent ERSL 2017-1 (issued March 2017).

Once again a stand-alone issuance and, in this instance, the Issuer will make payments on the notes from payments of principal and revenue on a portfolio comprising non-performing mortgage loans originated by Bank of Scotland (Ireland) Limited and secured over residential properties located in 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 mortgage assets in the portfolio will be purchased by the Issuer on the Closing Date.

The seller, LSF IX Paris Investments DAC, 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 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 Seller which the 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 Seller in relation to the Mortgage Assets (including the proceeds of any sale of the Mortgage Assets) are passed by the Seller to the Retention Holder.

At the cut-off date (28 February 2017) the portfolio consists of 1,228 mortgage loans, where the average mortgage loan balance is Eur341,870 and the largest is for Eur4.248mln. Overall there are 53 loans of greater than Eur1mln in the portfolio accounting for 21.7% of current balances. Repayment terms (by current balances): Annuity 56.2%, Interest-only 43.3%, part & part 0.5%. Interest Rate Index: tracker 97.9%, fixed 2.2%. Occupancy Type: Owner Occupied 97.48%, BTL 2.52%. Arrears Status (3M+ in arrears): 97.24% of current balances. The WA indexed CLTV is 93.43% (original LTV was 75.96%) and the WA seasoning is 11.00 years. Geographical Distribution: Dublin 33.1%, Galway 10.0%, Cork 8.4% and Kildare 7.2%.

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 (the Retention Holder) 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) 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 D Notes, directly held by the 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 2017-1, Grand Canal Securities 1