Torres Residential DAC: 13 September 2025

A stand-alone transaction, where the Issuer will make payments on the Notes from payments of principal and revenue received under FT Cerezo Bonds, which are unitranche Spanish law-governed bonds issued by FT Cerezo, and backed by payments of principal and revenue received from a portfolio comprising mortgage participations and mortgage transfer certificates issued by Santander Consumer Finance SA, which represent the economic rights under certain loan agreements which are secured by a mortgage, predominantly over residential properties, and granted to individuals and corporates located in Spain.

The Mortgage Loans in the Portfolio underlying the Mortgage Certificates were originated by Santander Consumer Finance SA, formerly denominated Hispamer Banco Financiero SA and HBF Banco Financiero.

As at the Provisional Portfolio Cut-Off Date (30 June 2025) the Provisional Portfolio comprised 16,477 Mortgage Certificates in respect of 16,477 Mortgage Loans with an aggregate Current Balance at the Provisional Portfolio Cut-Off Date of €692,720,297. Repayment Method: Annuity – 99.89%, Temporary Interest Only – 0.11%, other – 1.33%. The WA current LTV is 79.50% (original LTV was 44.84%) and the WA seasoning is 18.98 years. Additional stats: MIA>3 – 6.00%; Ever Restructured – 19.88%. Geographical Distribution: Andalucia – 38.45%, Madrid – 13.28 and Valencia – 11.38%.

EU & UK Risk Retention: Morgan Stanley Principal Funding Inc (the Retention Holder) will retain, as originator, on an ongoing basis, a material net economic interest of not less than 5% in the securitisation. As at the Closing Date, the Risk Retention Requirements will be satisfied by the Retention Holder subscribing for and thereafter holding an economic interest in not less than 5% of the outstanding nominal value of each Class of Notes on the Closing Date sold or transferred to investors.

US Risk Retention: This securitisation transaction will be subject to the credit risk retention requirements of Section 15G of the Exchange Act, and is expected to be retained by Morgan Stanley Principal Funding Inc (the Retaining Sponsor) in the form of an "eligible vertical interest" of 5% of the aggregate principal balance of all ABS interests issued by the Issuer as of the Closing Date.

Compare/contrast: Jeronimo Funding DAC, PRPM Fundido 2025-1 DAC