New Issue: Shamrock Residential 2022-2 DAC

S&P Global Ratings has assigned ratings to Shamrock Residential 2022-2 DAC's (Shamrock 2022-2) class A to G-Dfrd Irish RMBS notes. At closing, the transaction also issued unrated class RFN, Z1, Z2, X, and Y notes. Shamrock 2022-2 is a static RMBS transaction that securitizes a portfolio of €513.76 million loans (of which €3.40 million are subject to potential write-off), which consist of owner-occupied and buy-to-let (BTL) primarily reperforming mortgage loans secured over residential properties in Ireland. The securitization comprises four purchased portfolios, Bass (26.4% of the pool), Prodigal (22.6%), Peacock (13.2%), and Cannes (37.8%). The loans in the Bass portfolio were originated by Permanent TSB PLC and the loans in the Prodigal subpool were originated by GE Capital Woodchester Home

...Expected closing date Oct. 27, 2022 Note payment frequency Monthly Collateral Reperforming first-lien Irish owner-occupied mortgage loans and BTL mortgages Sources of credit enhancement Initial subordination, non-liquidity reserve fund ledger, and any unutilized yield supplement overcollateralization Outstanding principal of the provisional pool 513.76 (of which 3.40 million is subject to potential write-off) Subpools Cannes (37.58%), Bass (26.4%), Prodigal (22.6%), and Peacock (13.2%) Country of origination Ireland Concentration Dublin: 29.8% Property occupancy 82.0% owner-occupied, 18.0% BTL Deferral Class B to Z notes Coupon (on the class B-Dfrd to G-Dfrd notes) Minimum of stated coupon and net WAC Weighted-average original LTV ratio (%)º 76.2 Weighted-average current LTV ratio (%)º 80.0 Weighted-average seasoning 192 months Arrears greater than or equal to one monthº 19.9% (22.7% applying S&P Global Ratings' methodology) Restructured loans (%) 69.0 Loans that were previously subject...

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