SRF 2017-1: 16 April 2017

The second issuance in the SRF series (the first transaction closed in October 2016. Prospectus available on www.euroabs.com).

As previously, this transaction will feature mortgage loans which were originally originated by Catalunya Banc S.A., Caixa d’Estalvis de Catalunya, Caixa d’Estalvis de Tarragona and Caixa d’Estalvis de Manresa. Subsequently the loans were sold funds managed by Blackstone in April 2015. In this instance, the portfolio consists largely of seasoned re-performing loans.

The portfolio consists of 5,197 mortgage loans, where the current outstanding average balance is Eur77,560 and the largest current loan is for Eur684,582. The top 10 obligors account for 1.46% of current balances. Distribution by credit/loan (by current balances): multi-credit agreement 51.93%, mortgage loans 48.07%. Amortisation type: French 91.98%, Geometric 8.02%. Restructured Loans: Yes 79.16%, No 20.84%. The WA LTV is 55.27% (original LTV was 70.96%) and the WA seasoning is 111.00 months. Regional distribution: Barcelona 58.34%, Tarragona 10.16% and Madrid 6.09%.

CRR 405: The Retention Holder will retain a material net economic interest of not less than 5% in the securitisation by holding an interest in the first loss tranche represented in this case by the Class E Notes.

Compare/contrast: SRF 2016-1