Monthly Investor Report 30 September Fastnet Securities 5 Limited

Size: px

Start display at page:

Download "Monthly Investor Report 30 September Fastnet Securities 5 Limited"

Madlyn Garrison
5 years ago
Views:

1 Monthly Investor Report 30 September 2018 Fastnet Securities 5 Limited Tranche Name Identifier Legal Maturity Date Original Tranche Balance Restructured Tranche Balance Original Rating Current Rating (S&P/Moodys) (S&P/Moodys) Class A1 XS September ,000, ,800, Redeemed Redeemed Class A2 XS September ,000, ,600, Redeemed Redeemed Class A3 XS September ,000, ,600, AAA/Aaa AA-/Aa1 Class B XS September ,000, ,000, N/R N/R Deal Information Report Outline Page Initial Issue Date: 20-Oct Note Summary 2 First Distribution Date: 10-Dec-08 Report Date: 10-Oct September Payment Date Information 3 Report Period: Sep-18 i. Available Revenue Funds Report Frequency: Monthly ii. Revenue Priority of Payments Payment Frequency: Monthly iii. Available Principle Funds iv. Principle Priority of Payments v. Transaction Account Balance Interest Period start date: 10-Aug-18 vi. Prepayments Ledger Interest Period end date: 10-Sep-18 vii. Trust Account Balance Number of Days in interest period: 31 viii. Retained Amounts 3. Credit Enhancement 3 i. Reserve Fund Determination Date 06-Sep-18 ii. Reserve Fund Reduction Triggers September Payment Date 10-Sep-18 iii. Performance Triggers October Payment Date 10-Oct Collateral Performance 4-8 i. Portfolio Characteristics Restructuring Date: 21-Oct-11 ii. Arrears Profile iii. Moratorium Profile iv. Moratorium Length v. Repayment Type Change vi. Repossessions vii. Term Extensions viii. Capitalised Interest ix. Mortgage Portfolio Analysis 5. October Payment Date Information 9 i. Available Revenue Funds Contact Information ii. Revenue Payments iii. Reserve Funds iv. Available Principle Funds v. Principle Payments Contact: Fiona Walsh vi. Amounts Credited to Ledgers Address: Permanent TSB 6. Deal Participant Information 10 56/59 St Stephens Green Dublin 2 Ireland 7. Definitions 11 i. Constant Redemption Rate Phone: (0) ii. Constant Default Rate Fax: (0) iii. Excess Spread iv. Mortgage Conversion PTSBSecuritisations@permanenttsb.ie v. Bank Accounts Web: vi. Restructuring Note Page 1

2 1. Note Summary Tranche Name Identifier Legal Maturity Date Restructured Tranche Balance Restructured Closing Balance 31-Nov 11 Opening Tranche Balance 01-September 18 Opening Pool Factor Principal Distribution 10-September 18 Cumulative Principal Distribution Post Restructure Closing Tranche Balance 30-September 18 Closing Pool Factor Principle Deficiency Ledger Opening Balance 01- Septmber 18 Lossess Allocated Cumulative Losses Allocated Total Paid Cumulative Paid Class A1 XS September ,800, ,800, Class A2 XS September ,600, ,650, Class A3 XS September ,600, ,650, ,567, ,880, ,687, ,687, Class B XS September ,000, ,655, ,655, ,655, ,655, , , , Note: On the 21st October 2011 the principal amount on the notes was restructured 1,700,000, ,468,755, ,223, ,880, ,343, ,343, , , , Closing Balance 30 - September 18 Tranche Name Fixed Coupon Interest Calculation Days Accrued Interest Accrued Interest Distributed 10 September 18 Unpaid Interest Cumulative Unpaid Interest Class A % Actual / Class A % Actual / Class A % Actual / , , Class B % Actual / , , Note: Following the restructure the note interest changed from a floating to a 176, , Page 2

3 2. September Payment Date Information 10 Sep 18 (i) Available Revenue Funds (iii) Available Principal Funds (vi) Prepayments Ledger Revenue Funds 1,220, Principal Repayments 4,425, Prepayments received ERC's Principal Redemptions 504, Payments to Permanent tsb Release from Reserve Fund 0.00 Principal Amount of Loans Repurchased 0.00 Interest receivable on bank accounts - 8, Principal Amount of Loans Substituted 0.00 Prepayment ledger balance 0.00 PDL Credits 0.00 Total Revenue Funds 1,212, Stage Payments - 50, Note: Prepayments relate to additional payments received upon the prepayment / early redemption of fixed rate mortgages Total Principal Funds 4,880, (ii) Revenue Priority of Payments (iv) Principal Priority of Payments (vii) Trust Account Balance - Amounts due with respect to the Trustee 0.00 Amounts due with respect to Third Parties 26, Amounts due with respect to Paying Agent 0.00 A1 Note Redemption 0.00 Opening Balance 977, Amounts due with respect to Mortgage Manager 94, A2 Note Redemption 2.71 Closing Balance 1,671, Annual Issuer Fee 0.00 A3 Note Redemption 4,880, A1 Note Interest 0.00 B Note Redemption 0.00 A2 Note Interest 0.00 A3 Note Interest 138, Total Principal Distributed 4,880, Amounts due with respect to Reserve Fund 0.00 B Note Interest 37, PDL 0.00 (v) Transaction Account Balance - (viii) Retained Amounts - Amounts due with respect to Subordinated Loan Facility 915, Total Revenue Distributed 1,212, Opening Balance 5,687, Undrawn Amounts 29,875, Cash In 5,354, Cash Out - 6,092, Closing Balance 4,948, Credit Enhancement (i) Reserve Fund (ii) Reserve Fund Reduction Triggers Condition Met Limit Initial Reserve Fund 17,000, Reserve Fund >= 1.00% of PAO Y 1.00% 2.24% % of Original Note Balance 1.00% Nil Balance on PDL Y Reserve Fund = Required Amount Y 17,000, ,000, Reserve Fund Floor (1.50%) 17,000, Reserve Fund Required Amount 17,000, Beginning Reserve Amount 17,000, (iii) Performance Triggers Additions to this period 0.00 Releases from this period 0.00 Condition Met Limit Reserve Fund Drawing this period 0.00 Conversion Test - Arrears > 90 days Y 4.00% 2.09% Ending Reserve Amount 17,000, Substitution Test - Arrears > 90 days Y 4.00% 2.09% % of Current Note Balance 2.24% Note: As a result of the breeching 4% Arrears >90days, Converted Mortgages are no longer allowed and will be substituted out of the pool Page 3

4 4. Collateral Performance (i) Portfolio Characteristics Last Period Issue Date Collateral Reporting Period Start Date: 01 August September October 2008 Collateral Reporting Period End Date: 31 August September 2018 n/a Pool Balance (inc. prefunding): 757,343, ,463, ,699,920, Number of Loans: 5,941 5,915 10,330 Last Period Since Issuance Number of Loans Balance Number of Loans Balance Number of Loans Balance Opening Balance 5, ,223, , ,343, ,306 1,699,920, Repayments - 4,425, ,548, ,129, Redemptions , ,376, , ,018, Loans Repurchased , ,550, Loans Substituted Stage Payments 0 50, ,000 98,241, Closing Balance 5, ,343, , ,463, , ,463, ** - Redemptions information is only available from September Since we have not been reporting in this format since the start of the pool, we have no reasonable method of splitting redemptions and repayments since issuance before Sepust Note: Closing no of loans is calculated as; Opening balance - Redemptions - Loans repurchased + Loans substituted Last Period At Issuance Constant Redemption Rate (CRR %) 0.80% 2.17% Period Redemption Rate (%) 0.07% 0.18% Constant Default Rate (CDR %) 0.00% 0.00% Period Default Rate (%) 0.00% 0.00% Excess Spread (%) 0.12% 0.12% Excess Spread (Amount) 915, , Annualised Excess Spread (%) 1.45% 1.43% Borrower's Weighted Average LTV (%) 47.03% 46.93% 56.46% % Fixed Rate 0.26% 0.28% 29.10% Weighted Average Current Seasoning (mths) Weighted Average Remaining Term to Maturity (mths) Weighted Average Reversion Margin (%) 0.01% 0.01% ** Minimum Interest Rate (%) 0.00% 0.00% 3.00% Maximum Interest Rate (%) 8.75% 8.75% 8.00% Weighted Average Mortgage Interest Rate (%) (a) % % % Euribor (b) % % 4.86% Z Servicing & Cash Management Fee (c) % % 0.20% WA Note Margin/Coupon (d) % % 0.59% Reserve Fund Release (e) % % n/a PDL (f) % % n/a WA Net Margin (a-b-c-d+e-f) % % % * Redemptions information is only available from September 2009 from the system. Therefore, these cannot be calcualted accurately. ** This is left blank as the system does not produce an accurate reversion rate 'since issuance', as it was not designed to report the same at the inception of the deal. Page 4

5 4. Collateral Performance (continued) (ii) Arrears Profile No. of Loans B/F Balance B/F % of Balance B/F No. of Loans IN Balance IN No. of Loans OUT Balance OUT No. of Redemptions Balance of Redemptions No. of Loans C/F Balance C/F % of Balance C/F Current 5, ,752, % 9 1,120, ,548, ,376, , ,421, % Days 35 5,032, % 9 1,533, ,888, ,657, % Days 11 2,002, % 7 1,235, , ,907, % Days 12 1,862, % 2 223, ,359, , % Days 4 553, % 7 1,159, , ,281, % Days 2 129, % 3 431, , , % Days 5 505, % 1 63, , , % 360+ Days 56 12,775, % 2 142, , ,788, % In Repossession 29 3,729, % ,756, % Total 5, ,343, % 40 5,910, ,910, ,376, , ,463, % (iii) Moratorium Profile (iv) Moratorium Length (v) Repayment Type Change Last Period No. of Loans Balance % of Balance No. of Loans Balance % of Balance No. of Loans Balance % of Balance No. of Loans Balance % of Balance Current 16 2,154, % 17 3,023, % 1 to 3 months 12 2,239, % P&I to IO 1 119, % Days 1 202, % 1 202, % 4 to 6 months 13 2,858, % IO to P&I 1 961, % Days 2 871, % 1 717, % 7 to 9 months % Total 2 1,081, % Days 1 148, % 1 155, % 10 to 12 months 3 269, % ***Note: The above table relates to product type changes in the period Days % 2 422, % 13 to 18 months % Days % % 19 to 24 months % Days % 1 138, % Over 24 months 2 425, % 360+ Days 6 935, % 7 1,133, % Total 30 5,792, % In Repossession % % ***Note: Moratoriums include Capital Payment Hols Total 26 4,311, % 30 5,792, % ***Note: Length relates to moratorium term provided and not remaining moratorium term ***Note: Days relate to Arrears status not length of moratorium ***Note: Moratoriums include Capital Payment Hols (vi) Repossessed Properties (vii) Term Extensions Last Period Last Period Since Issuance No. of Loans Balance % of Balance No. of Loans Balance % of Balance 1-2 Months 23 3,066, % 31 4,213, % Brought Forward Months 10 1,175, % 12 1,383, % Repossessed Months 7 951, % 5 819, % Sold Months 3 248, % 4 139, % Linked to repurchased loans Months 2 315, % 2 315, % Carried Forward Months 7 867, % 7 865, % 1-2 Years 14 1,347, % 14 1,338, % Balance of Sold Repossessions ,129, Years 18 1,671, % 18 1,663, % Total Principal Lossess Years 23 2,879, % 22 2,589, % WA Loss Severity 0.00% 0.00% 0.00% 4-5 Years 36 4,070, % 37 4,336, % Over 5 Years ,070, % ,956, % Principal Recoveries ,959, Total ,663, % ,620, % Total Net Lossess as % of Original Pool Balance 0.00% 0.00% 0.00% (viii) Capitalised Interest Last Period To Date No of Loans Loan Balance Interest Capitalised No of Loans Loan Balance Interest Capitalised No of Loans Interest Capitalised Total 5 576, , , , ,324, ***Note: Capitalised Interest information is only available from September 2011 Page 5

6 4. Collateral Performance (continued) (ix) Mortgage Portfolio Analysis Regional Distributions At Issuance No. of Loans % of Number Balance % of Balance No. of Loans % of Number Balance % of Balance Dublin 1, % 178,529, % 1, % 427,814, % Rest of Leinster 1, % 246,612, % 3, % 580,484, % Munster 1, % 192,732, % 2, % 418,779, % Connaught % 75,641, % 1, % 157,409, % Ulster % 58,946, % % 115,432, % Property Type Apartment % 26,489, % % 55,116, % Bungalow 1, % 111,758, % 1, % 245,935, % Detached House 2, % 343,246, % 4, % 732,660, % Semi-Detached 1, % 159,824, % 2, % 385,744, % Terraced % 79,893, % 1, % 193,084, % Other % 31,249, % % 87,379, % Repayment Type Principal and Interest 5, % 677,792, % 9, % 1,527,225, % Interest Only (Non Endowment) % 74,671, % % 172,694, % Endowment Interest Only Loan Purpose Purchase 3, % 422,980, % 6, % 921,617, % Refinance 2, % 329,482, % 4, % 778,303, % Occupancy Status Home Loan 5, % 752,463, % 10, % 1,699,920, % Residential Investment Property % % % % Page 6

7 4. Collateral Performance (continued) (ix) Mortgage Portfolio Analysis (continued) At Issuance No. of Loans % of Number Balance % of Balance No. of Loans % of Number Balance % of Balance Current LTV Ratio Up to 10% % 13,602, % % 12,408, % Over 10% - 20% % 45,563, % 1, % 62,822, % Over 20% - 30% % 92,401, % 1, % 128,040, % Over 30% - 40% 1, % 133,767, % 1, % 177,987, % Over 40% - 50% % 147,919, % 1, % 229,643, % Over 50% - 60% % 157,622, % 1, % 284,749, % Over 60% - 70% % 101,859, % 1, % 281,208, % Over 70% - 80% % 35,084, % 1, % 322,210, % Over 80% - 90% % 10,376, % % 200,847, % Over 90% - 95% % 1,841, % % % Greater than 95% % 12,423, % % % Loan Seasoning in Months % % 5, % 1,011,856, % % % % 149,039, % % % % 80,103, % % % % 79,951, % % % % 44,322, % % % % 32,628, % % % 1, % 168,271, % % % % 35,483, % 55+ 5, % 752,463, % 1, % 98,262, % Mortgage Size at Origination 0 to 50, % 3,179, % % 19,697, % 50, to 100, % 28,246, % 1, % 105,277, % 100, to 200, , % 246,624, % 4, % 560,537, % 200, to 300, , % 271,758, % 2, % 565,517, % 300, to 400, % 95,161, % % 213,420, % 400, to 500, % 37,144, % % 87,498, % 500, to 600, % 15,259, % % 35,118, % 600, to 700, % 9,358, % % 21,933, % 700, to 800, % 10,217, % % 20,917, % 800, to 900, % 4,748, % % 10,267, % 900, % 30,763, % % 59,734, % Page 7

8 4. Collateral Performance (continued) (ix) Mortgage Portfolio Analysis (continued) At Issuance No. of Loans % of Number Balance % of Balance No. of Loans % of Number Balance % of Balance Borrower Status Self Employed 1, % 159,956, % 1, % 375,556, % PAYE/Director 4, % 591,892, % 8, % 1,316,355, % Not Employed % 613, % % 8,008, % Primary Borrower Profile at Origination Self Certification % 199, % % 1,096, % CCJs/Previous Bankruptcy % % % % Current Rate Type Original Rate Type Interest Payment Type No. of Loans % of Number Balance % of Balance WA Interest Rate No. of Loans % of Number Balance % of Balance WA Interest Rate Fixed % 2,119, % 4.72% 3, % 494,614, % 5.05% ECB Tracker 4, % 637,040, % 1.48% 5, % 1,040,139, % 5.04% SVR 1, % 113,303, % 4.19% 1, % 165,166, % 5.89% Page 8

9 5. October Payment Date Information 10 Oct 18 (i) Available Revenue Funds (iv) Available Principal Funds Revenue Funds 1,174, Principal Repayments 3,548, ERC's 0.00 Principal Redemptions 1,376, Release from Reserve Fund 0.00 Principal Amount of Loans Repurchased 0.00 Interest receivable on bank accounts - 12, Principal Amount of Loans Substituted 0.00 PDL Credits 0.00 Total Revenue Funds 1,162, Stage Payments - 45, (ii) Revenue Payments Total Principal Funds 4,880, (v) Principal Payment Amounts due with respect to the Trustee 0.00 Amounts due with respect to Third Parties 4, Class Opening Balance Available Funds Principal Payment Closing Balance Pool Factor PDL Balance Amounts due with respect to Paying Agent 0.00 Amounts due with respect to Mortgage Manager 94, A1 Note Annual Issuer Fee 0.00 A2 Note A1 Note Interest 0.00 A3 Note 316,687, ,880, ,880, ,807, A2 Note Interest 0.00 B Note 440,655, ,655, A3 Note Interest 131, Amounts due with respect to Reserve Fund 0.00 Total 757,343, ,880, ,880, ,462, B Note Interest 36, PDL 0.00 Amounts due with respect to Subordinated Loan Facility 895, (vi) Amounts Credited to Ledgers Total Revenue Distributed 1,162, (iii) Reserve Funds Reserve Ledger 0.00 Total 0.00 Reserve Fund Required Amount 17,000, Reserve Fund Current Amount 17,000, Page 9

10 6. Deal Participant Information Administrator Permanent tsb plc Primary Servicer Permanent tsb plc Address: 56/59 St. Stephens Green Address: 56/59 St. Stephens Green Dublin 2 Dublin 2 Ireland Ireland Rating: (S&P/Moodys) B+/Ba2 Rating: (S&P/Moodys) B+/Ba2 Web: Web: Trustee BNP Paribas Trust Corporation UK Ltd Paying Agent BNP Paribas Securities Services, Luxembourg Branch Address: 55 Moorgate Address: 33 Rue de Gasperich London Howald-Hesperange EC2R 6PA L-2085 United Kingdom Luxembourg Rating: (S&P/Moodys) A+/A2 Rating: (S&P/Moodys) A+/A2 Web: Web: Lead Manager BNP Paribas, London Branch Corporate Services Provider Deutsche International Corporate Services (Ireland) Ltd Address: 10 Harewood Avenue Address: 5 Harbourmaster Place London International Financial Services Centre NW1 6AA Dublin 1 United Kingdom Ireland Rating: (S&P/Moodys) A+/A2 Rating: (S&P/Moodys) A+/A2 Web: Web: Bankers BNP Paribas Securities Services Back-up Servicer Homeloan Management Ltd Address: 55 Moorgate Address: Gateway House London Skipton North Yorkshire EC2R 6PA BD23 2HL United Kingdom United Kingdom Rating: (S&P/Moodys) A+/A2 Rating: (Moodys/Fitch) Ba1/BBB- Web: Web: Page 10

11 7. Definitions (i) Constant Redemption Rate The percentage of outstanding mortgage loan principal that redeems in one year, based on the annualisation of the Period Redemption Rate, which reflects the outstanding mortgage loan principal that redeems in one month. CRR = 1 - [(Closing Pool Balance - Stage Payments) / (Closing Pool Balance - Further Advances + Redemptions)]^n* PRR = 1 - [(Closing Pool Balance - Stage Payments) / (Closing Pool Balance - Further Advances + Redemptions)] (ii) Constant Default Rate The percentage of outstanding mortgage loan principal that defaults in one year. CDR = 1 - [(1 - Repossessions In) / (Opening Pool Balance - Balance in Repossessions)]^n* PDR = 1 - [(1 - Repossessions In) / (Opening Pool Balance - Balance in Repossessions)] (iii) Excess Spread Total interest revenue remaining after the distribution of priority payments up to and including payment of the lowest rated note class principal defiency ledger amounts. Excess Spread Amount = Available Revenue Funds - Revenue Distributed Excess Spread (%) = Available Revenue Funds - Revenue Distributed / Closing Pool Balance Annualised Excess Spread (%) = (Available Revenue Funds - Revenue Distributed / Closing Pool Balance)^n* * 'n' represents number of reporting periods in a year i.e. 12 for monthly reporting and 4 for quarterly reporting (iv) Mortgage Conversion The Mortgage Manager on behalf of the Issuer may agree, subject to the conditions set out in the prospectus, to a request by a Borrower to convert his Mortgage (or, in the case of a default by a Borrower, may itself elect to convert such Borrower's Mortgage) (subject to satisfaction of the conditions outlined in the prospectus) into a Mortgage with a different type of interest rate term or repayment term (a Converted Mortgage ). A Converted Mortgage may comprise (following the conversion): (a) (b) (c) (d) (e) a Fixed Rate Mortgage; a Variable Rate Mortgage; a Tracker Mortgage; an Interest Only Mortgage; or if any type of Mortgage offered by Irish Life & Permanent other than a Mortgage which is subject to a rate of interest set by reference or a flexible repayment or current account mortgage provided, in any case the rating agencies have been notified of such action. (v) Bank Accounts The Bank Accounts represent the Trust Accounts, the Transaction Account and the Reserve Account. The Issuer s Accounts represent the Transaction Account and the Reserve Account. Each Issuer Account shall at all times be maintained with an Authorised Institution which (i) has a long term rating of at least A by Standard & Poor s, (ii) a short term rating of at least A-1 by Standard & Poor s and (iii) a short term rating of at least P1 by Moody s or (iv) whose obligations in respect of such Issuer Account are guaranteed either by an entity with a long term rating of at least A by Standard & Poor s and a short term rating of at least A-1 by Standard & Poor s and a short term rating of at least P1 by Moody s. (vi) Restructuring Note On the 21st October 2011 Fastnet 5 was restructured. The restructuring involved a change to the principal amount of the notes, the removal of the contingency and liquidity reserves, a change in the payment frequency to monthly, and a change to the note interest from a floating to a fixed basis. Additionally, as part of the restructure, there is no longer a swap and BNP Paribas Securities Services has been appointed as issuer account bank. HML Ltd were appointed as back-up servicer. The below table highilghts the restructuring of the Notes Pre Restructure Tranche Name Index Rate Margin Original Tranche Balance Cumulative Principal Distribution Closing Tranche Balance 31-Oct 11 Post Restructure Tranche Name Fixed Coupon Restructured Original Tranche Balance Restructured Closing Balance 31- Oct 11 Class A1 3M Euribor % 510,000, ,244, ,755, Class A % 396,800, ,800, Class A2 3M Euribor % 510,000, ,000, Class A % 396,600, ,650, Class A3 3M Euribor % 527,000, ,000, Class A % 396,600, ,650, Class B 3M Euribor % 153,000, ,000, Class B % 510,000, ,655, ,700,000, ,244, ,468,755, ,700,000, ,468,755, Page 11

Leeds Building Society Covered Bonds - Investor Report

Leeds Building Society Covered Bonds - Investor Report Investors (or other appropriate third parties) can register at www.bankofengland.co.uk/markets to download further disclosures in accordance with