Permanent TSB Group Holdings PLC · EURONEXT:PTSB
Permanent TSB — Auburn Securities 5 — Debt Investor Presentation (August 2005)
56 slides from Permanent TSB's debt investor presentation, August 2005
Slide 1: Auburn Securities 5 PLC £450 million Prime Buy-to-Let Securitisation
Auburn Securities 5 PLC £[450] million Prime Buy-to-Let UK Residential Mortgage Securitisation Investor Presentation August 2005
Slide 2: Table of Contents
Investor Presentation Presentation to Auburn Securities 5 PLC Table of Contents 1. Executive Summary 1 2. Company Overviews 2 3. Capital Home Loans - Mortgage Business 7 4. Transaction Structure 22 5. Portfolio Overview 30 6. Summary 35 7. Appendices A. The UK Buy-to-Let Market 36 B. Auburn Performa
Slide 3: 1. Executive Summary
CHL 1. Executive Summary wor & BNP PARIBAS Fall OS Merrill Lynch PE eerrr—“(;‘(‘NSC((SG
Slide 4: Executive Summary
Executive Summary Auburn Securities 5 PLC will be the fifth prime UK residential mortgage backed securitisation from the Auburn Securities programme established by Irish Life & Permanent plc and Capital Home Loans Limited in November 1998 £[450] million of rated notes being offered to investors 100%
Slide 5: 2. Company Overviews
2. Company Overviews Irish Life & Permanent plc Capital Home Loans Limited
Slide 6: Irish Life & Permanent – Company Overview
Irish Life & Permanent – Company Overview Overview Highlights & Strengths Created by the merger of Irish Permanent plc and Irish Largest life company and mortgage lender in the Irish Life plc in April 1999 financial services market with total assets of EUR47.7billion(1) (as at 31st December 2004) Ac
Slide 7: Capital Home Loans Limited - Company Overview
Capital Home Loans Limited - Company Overview Overview Highlights & Strengths CHL is a UK subsidiary of ILP, wholly owned by ILP since October 1996 One of only two lenders to win the Financial Times “Financial Adviser Five Star Award” six consecutive Centralised lender based in Fleet, Hampshire time
Slide 8: Company Overview – Key Performance Data
Capital Home Loans Limited - Company Overview Key Performance Data Profit Growth (pre tax)(1) Cost Income Ratio(1) % £m 20.0 70 65 17.7 60 54 14.5 15.0 48 12.8 50 11.6 40 32 32 10.0 9.0 31 31 30 30 4.9 5.0 20 2.8 1.8 10 0.0 0 1997 1998 1999 2000 2001 2002 2003 2004 1997 1998 1999 2000 2001 2002 2003
Slide 9: Company Overview – Organization Structure
Capital Home Loans Limited - Company Overview Organization Structure *Gerry Hickey *Bob Young Chief Operating Officer & MLRO Managing Director Assistant to Chief Operating *Mike Healy *Trevor Child *Ludwig Krause Officer (1) Compliance Office & Deputy Head of Sales Senior Manager Head of Finance MLR
Slide 10: Company Overview – Competition
Capital Home Loans Limited - Company Overview Competition Rankings of Buy-to-Let Competitors by Balances Outstanding(1) Ranking By Gross Advances for H1 2005 By Book Size as at H1 2005 1 Birmingham Midshires Mortgage Express 2 Mortgage Express Birmingham Midshires 3 Northern Rock Paragon group 4 Par
Slide 11: 3. Capital Home Loans - Mortgage Business
3. Capital Home Loans - Mortgage Business
Slide 12: Mortgage Business – Product Types
Capital Home Loans – Mortgage Business Product Types(1) CHL specialises in Buy-to-Let mortgages and home loans to the following customer groups: Buy–to-Let: to individuals (79% of book value as of 31st of December) and to limited companies (21% of book value as of 31st of December) Home Loans: to em
Slide 13: Buy-to-Let – Repayment Types
Capital Home Loans – Mortgage Business Buy-to-Let – Repayment Types CHL offers both repayment (capital and interest) and interest only loans to Buy-to-Let borrowers The percentage of interest only loans on CHL’s mortgage book has increased over time due to the tax advantages offered to the borrowers
Slide 14: Whole Book Arrears Profile
Capital Home Loans – Mortgage Business Whole Book Arrears Profile Historical Arrears by Balance for CHL’s Mortgage Book(1) Percentage CHL’s arrears record reflects: 1.8 Their robust & consistent application of 1.6 credit criteria 1.4 Prompt contacts & proven methodology 1.2 Disciplined arrears proce
Slide 15: Buy-to-Let Mortgage Arrears
Capital Home Loans – Mortgage Business Buy-to-Let Mortgage Arrears Historical Arrears for CHL’s(1) Mortgage Book compared to CML(2) Market Statistics Percentage 0.80% CML/CHL Comparison Buy to let arrears by case number 3+ months (including repossessions) 0.70% As % of total buy to let cases 0.60% 0
Slide 16: Sales & Marketing
Capital Home Loans – Mortgage Business Sales & Marketing(1) Experienced sales force 12 sales people covering England, Wales and Northern Ireland Intermediary communication Centrally managed Database of 13,500 active intermediaries No exclusive products Network and Mortgage Club Relationships In gene
Slide 17: New Business - Distribution Channels
Capital Home Loans – Mortgage Business New Business - Distribution Channels (1) As at 30th June 2005, 98% of the business was sourced via intermediaries and 2% as a result of direct enquiries by existing customers (CHL has no branches) CHL seeks to differentiate itself through the quality of its ser
Slide 18: New Business - Loan Underwriting Process
Capital Home Loans – Mortgage Business New Business - Loan Underwriting Process All properties must be able to be resold as single- New application received dwelling owner-occupied residences Underwriting of ALL loans is carried out by CHL at its Loaded on Alpha system head office in Fleet, Hampshir
Slide 19: Credit Risk Approach
Capital Home Loans – Mortgage Business Credit Risk Approach (1) Credit risk at CHL is approved and arranged in accordance with a set of clearly defined policy statements and limits which have been approved by the ILP Board The Group credit policy statement provides for tiered levels of discretion wi
Slide 20: Quality Control
Capital Home Loans Limited – Mortgage Business Quality Control CHL management has established a quality assurance program for the new business operation. Under this process, there are a number of methods of management overview of the process currently carried out: Ten completed loans are randomly se
Slide 21: Mortgage Administration
Capital Home Loans – Mortgage Business Mortgage Administration Arrears Procedures CHL considers that its excellent arrears performance Around 1st of each month Direct Debit due reflects a consistent application of its prudent credit criteria, and the benefits of a specialist arrears team Around 4th
Slide 22: Buy-to-Let Product
Capital Home Loans – Mortgage Business Buy-to-Let Product Buy-to-Let Product Availability Existing mortgaged applicants (employed or self-employed) or Limited Companies / Property Developers / Commercial Landlords Home or investment property mortgage holders for at least 12 months or to have held a
Slide 23: Buy-to-Let Product (cont'd)
Capital Home Loans – Mortgage Business Buy-to-Let Product Buy-to-Let Product (cont’d) Minimum Life Cover 100% of loan size recommended although not compulsory as CHL treats the lending essentially as asset based Age Restriction 21 years To max age 75 (max age at application is 60 at next birthday) R
Slide 24: Buy-to-Let Product (cont'd)
Capital Home Loans – Mortgage Business Buy-to-Let Product Buy-to-Let Product (cont’d) Pre March 2005 Post March 2005 General criteria Income: Applicants (including directors of limited companies) need to have a permanent income. Lending <£2 million treated as self certified for the self employed Len
Slide 25: Buy-to-Let Product (cont'd)
Capital Home Loans – Mortgage Business Buy-to-Let Product Buy-to-Let Product (cont’d) Tax Affairs Before March 2005, suitably qualified accountant was required to provide written confirmation. Where no accountant is employed, receipted Inland Revenue documentation is acceptable. Residence Resident a
Slide 26: Future Plans
Capital Home Loans – Mortgage Business Future Plans Increase profitability via combination of improved margins and reduction of costs Increase market share of Buy-to-Let & Self Certification Without jeopardizing credit quality of portfolio Whilst maintaining margins Achieve this by: Product competit
Slide 27: 4. Transaction Structure
CHL 4. Transaction Structure wor & BNP PARIBAS Fall OS Merrill Lynch PE eerrr—“(;‘(‘NSC((SG
Slide 28: Auburn 5 – Indicative Capital Structure
Transaction Structure Auburn 5 – Indicative Capital Structure S&P/Moody's Currency and Weighted (1) Class Ratings Size Coupon Type Average Life Legal Maturity Step-up Date Index Class A1 [AAA/Aaa] £[130,500,000] GBP Floater [0.83] years [Dec 2041] [Nov 2010] 1 Mth GBP Libor Class A2 [AAA/Aaa] £[255,
Slide 29: Auburn 5 – Structure Diagram
Transaction Structure Auburn 5 – Structure Diagram Capital Home Loans Limited (CHL) Purchase Sale of Mortgage & FRM Swap Subordinated Irish Life & Standby Agreement Servicer Price for Mortgage Cash/Bond Loan Permanent PLC Mortgage Portfolio Administration and VRM Portfolio Agreements Swap (IL&P) Agr
Slide 30: Key Terms and Conditions
Transaction Structure Key Terms and Conditions Issue Amount: [450] million Interest Coupon Dates: Monthly on the first business day of each month The first payment date on all the Notes is 1 [November] 2005 Step-Up Coupons: The coupon of notes outstanding after the step-up date in 2010 will be incre
Slide 31: Structural Features
Transaction Structure Structural Features Reserve Fund £[2,250,000] (i.e. [0.50]% of the initial note balance), funded by a subordinated loan from CHL on the closing date Further funded to £[6,075,000] (i.e. [1.35]% of the initial note balance) through the trapping of excess spread Step down to main
Slide 32: Priority of Payments
Transaction Structure Priority of Payments Priority of Payments Test If B, C, D, E Test satisfied or no more senior If B, C, D, E Test not satisfied and more notes outstanding senior notes outstanding A particular test (B – E) is satisfied if the Principal Senior Fee Items Deficiency Ledger (“PDL”)
Slide 33: Credit Enhancement Structure
Transaction Structure Credit Enhancement Structure Auburn 5 note tranches are supported by a credit structure incorporating: Auburn 5 Note subordination Class A1 (AAA) [£130,500,000] Class A2 (AAA) [£255,600,000] Reserve Fund – Expected to be £[2.25] mm (i.e. [85.80]% [0.50]% of initial note balance
Slide 34: Strengths, Concerns and Mitigating Factors
Transaction Structure Strengths, Concerns and Mitigating Factors Strengths Strong protection through subordination, excess spread and cash reserves Fully performing mortgage pool as at cut-off date Static pool Conservative underwriting policies with highly rated parent CHL’s fifth securitisation to
Slide 35: Provision of Ongoing Information
Transaction Structure Provision of Ongoing Information Irish Life & Permanent plc and Capital Home Loans Limited recognise the value to investors of timely information being made available on an ongoing basis Regular reports are produced for Auburn 1, Auburn 2, Auburn 3 and Auburn 4 ABS Net will pro
Slide 36: 5. Portfolio Overview
CHL 5. Portfolio Overview wor & BNP PARIBAS Fall OS Merrill Lynch PE eerrr—“(;‘(‘NSC((SG
Slide 37: The Provisional Portfolio – Key Data Summary
The Provisional Portfolio (as at 30 June 2005) Key Data Summary Number of Mortgage Loans: 3,872 Current Balance: £462,640,632 (100% buy-to-let) Average Current Balance: £119,484 Weighted Average LTV: 75.74% Flexible (% of Current Balance): 81.1% Weighted Average Margin (WAM): 140bp over Note LIBOR a
Slide 38: Auburn 5: Stratification Tables
The Provisional Portfolio (as 30 June 2005) Auburn 5: Stratification Tables LTV Distribution (%)(1) Range of Current Balance(1) % of Pool by % of Current Current Balance Balance 40.0% 30.0% 30.0% 20.0% 20.0% 10.0% 10.0% 0.0% 0.0% 0 - 50 50 - 100 100 - 150 150 - 200 200 - 250 250 - 300 300 - 350 350
Slide 39: Auburn 5: Stratification Tables (cont'd)
The Provisional Portfolio (as at 30 June 2005) Auburn 5: Stratification Tables (cont’d) Type of Loan(1) Loan Product(1) Fixed Non flexible Discounted 19.2% 14.4% 22.2% 80.8% 63.4% Flexible Standard Variable Type of Loan by current balance: 80.8% are flexible Mortgage Loan Product by current balance:
Slide 40: Auburn 5: Stratification Tables
The Provisional Portfolio (as at 30 June 2005) Auburn 5: Stratification Tables Type of Loan(1) Date of Loan Origination(1) % of Current Balance 40.00% Remortgage 30.00% 35.79% 20.00% 64.21% 10.00% Purchase 0.00% 1999 or before 2000 2001 2002 2003 2004 2005 This reflects the nature of the Buy-to-Let
Slide 41: Comparisons with Recent UK Buy-to-Let Transactions
The Provisional Portfolio Comparisons with Recent UK Buy-to-Let Transactions(1) Auburn 5 Auburn 4 AVM 2005-1 AVM 2004-1 First Flex 6 Paragon 9 Paragon 8 Paragon 7 Date of Issue Sep-2005 Oct-2004 April-2005 Sep-2004 Jan-2004 July-2005 Oct-2004 May-2004 Originator/Seller CHL CHL Paragon B&B/Mortgage E
Slide 42: 6. Summary
OAL 6. Summary wor & BNP PARIBAS Fall (Ss Merrill Lynch FP —“(t;‘CtsSQ
Slide 43: Summary
Summary Buy-to-Let RMBS Portfolio of higher credit enhancement versus comparable owner-occupied RMBS Low credit losses to date (and no realised losses on any securitised assets to date) Excellent track record of CHL Specialist originator in the Buy-to-Let and Self-Employed mortgage markets competing
Slide 44: 7. Appendices
OAL 7. Appendices wor & BNP PARIBAS Fall (Ss Merrill Lynch FP —“(t;‘CtsSQ
Slide 45: The UK Buy-to-Let Market
OAL The UK Buy-to-Let Market wor & BNP PARIBAS Fall OS Merrill Lynch PE eerrr—“(;‘(‘NSC((SG
Slide 46: Profile of Buy-to-Let Investors
The UK Housing and Buy-to-Let Market Profile of Buy-to-Let Investors Buy-to-Let Investors remain optimistic: Most investors (89%)(1) do not intend to sell their investment, even if house prices should fall A majority (57%)(1) expect to acquire more property in 2005 BTL investors in the UK take a lon
Slide 47: UK Buy-to-Let Market: Overview
The UK Housing and Buy-to-Let Market UK Buy-to-Let Market: Overview The UK Buy-to-Let market developed around 1996 with steps by the Association of Residential Letting Agents ("ARLA") to provide private landlords more affordable lending and promote higher quality rental property The development of a
Slide 48: Buy-to-Let Opportunities
The UK Housing and Buy-to-Let Market Buy-to-Let Opportunities 230,000(1) new households p.a. 190,000(1) new dwellings p.a. 40,000(1) new dwellings shortfall p.a. 1.2m(1) short fall in households / homes Lending Statistics New Lending 2004 - £21.8bn(2) CHL 2004 - £957m (4.39%(3) market share) 2004 ma
Slide 49: Auburn Performance History
OAL Auburn Performance History wor & BNP PARIBAS Fall OS Merrill Lynch PE eerrr—“(;‘(‘NSC((SG
Slide 50: Auburn Performance History
Auburn Performance History Auburn Performance History - Auburn 1 – 4 Arrears History (% by current balance) 1 - 3 Months in Arrears (1) 3 – 6 Months in Arrears (1) 1.40 0.60 1.20 0.50 1.00 0.40 0.80 0.30 0.60 0.20 0.40 0.20 0.10 0.00 0.00 Aug-00 Jul-01 Jun-02 Jun-03 May-04 May-05 Aug-00 Jul-01 Jun-0
Slide 51: CHL Arrears Procedure
OAL CHL Arrears Procedure wor & BNP PARIBAS Fall OS Merrill Lynch PE eerrr—“(;‘(‘NSC((SG
Slide 52: CHL Arrears Procedure
CHL Arrears Procedure It is a condition of CHL mortgages that each monthly payment will be made by direct debit (DD) on the first working day of each month Notification of unpaid DD’s are received by internet BACS listing on the first and second working days thereafter These listings are processed t
Slide 53: CHL Arrears Procedure – Arrangements to Pay
CHL Arrears Procedure – Arrangements to Pay If a borrower has requested time to consider their options he or she will be contacted by phone after 3 days to agree payment proposals CHL will allow borrowers to clear their arrears, in addition to making standard monthly payments by way of payment arran
Slide 54: CHL Arrears Procedure
CHL Arrears Procedure Litigation - If payment is still not received following application of the arrears procedures previously described, CHL will apply to the court for an order for possession. A hearing date is obtained (normally within 2-3 months of application) Initial court action may result in
Slide 55: CHL Arrears Procedure
CHL Arrears Procedure Repossessions - Spicerhaarts will arrange for 2 independent valuations of each repossessed property to be conducted and arrange for cleaning and clearance if necessary. If there is a shortfall and if any collateral policies have been assigned, they may be surrendered under powe
Slide 56: Disclaimers
Disclaimers This investor presentation has been prepared by Irish Life & Permanent plc (“ILP”) and Capital Home Loans Limited (“CHL”) on behalf of Auburn Securities 5 PLC (the “Issuer”) and is distributed by Merrill Lynch International (“MLI”) and BNP Paribas (BNPP”) (together, the “Joint Lead Manag
Auburn Securities 5 — Debt Investor Presentation (August 2005) on 6ix