Dilosk RMBS NO.5 DAC

DILOSK RMBS NO.5 DAC

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Issuer and Key Parties

Issuer Information

Name: Dilosk RMBS No.5 DAC
Country: Ireland
Registered Number: 703411
Registered Office: Block A, George's Quay Plaza, George's Quay, Dublin 2, Ireland

Underwriter, Arranger, and Manager Information

Arranger: Natixis
Address: 30, avenue Pierre Mends, 75013 Paris, France
Joint Lead Managers:
1. Natixis
2. BNP Paribas
- Address: 16 boulevard des Italiens, 75009 Paris, France
Document under which appointed: Subscription Agreement
Further Information: See the section entitled \"Subscription and Sale\" for more details.

Trustee and Collateral Administrator Information

Trustee: Deutsche Trustee Company Limited
Address: Winchester House, 1 Great Winchester Street, London EC2N 2DB
Documents: Trust Deed, Irish Deed of Charge, and English Deed of Charge
Further Information: See the section entitled \"Terms and Conditions of the Notes\" for more details.

Name	Role	Country
Fergal McGrath	CEO and Executive Director	Ireland
Ray McMahon	CCO and Executive Director	Ireland
Dr. Oran McGrath	Executive Director	Ireland
Kevin Cooney	Non-Executive Director	Ireland
Tony McPoland	Non-Executive Director	Ireland

Name	Role	Country
Dilosk RMBS No.5 DAC	Issuer	Ireland
Dilosk DAC	Originator/Seller/Retention Holder	Ireland
Dilosk DAC	Servicer	Ireland
BCMGlobal, trading as Link Asset Services	Delegate Servicer	Ireland
Vistra Alternative Investments (Ireland) Limited	Back Up Servicer Facilitator	Ireland
Deutsche Bank AG, London Branch	Cash Manager	UK
Deutsche Trustee Company Limited	Trustee	UK
Deutsche Bank AG, London Branch	Principal Paying Agent	UK
Deutsche Bank AG, London Branch	Agent Bank	UK
Deutsche Bank Luxembourg S.A.	Registrar	Luxembourg
BNP Paribas, Dublin Branch	Account Bank	Ireland
BNP Paribas, Dublin Branch	Collection Account Bank	Ireland
Vistra Alternative Investments (Ireland) Limited	Corporate Services Provider	Ireland
Natixis	Arranger	France
Natixis	Joint Lead Manager	France
BNP Paribas	Joint Lead Manager	France
BNP Paribas	Swap Counterparty	France
Natixis S.A.	Share Trustee	France
KPMG	Auditors of the Issuer	Ireland
A&L Listing Limited	Irish Listing Agent	Ireland

Note Class Details and Payment Information

Attribute	Class A Notes	Class B Notes	Class C Notes	Class D Notes	Class E Notes	Class F Notes	Class X1 Notes	Class X2 Notes	Class Z1 Notes	Class Z2 Notes	Class R Notes
Issue Price	100.538%	100.000%	100.000%	100.000%	97.697%	99.739%	100.000%	100.000%	100.000%	100.000%	N/A
Interest Reference Rate on Floating Rate Notes	3 Month EURIBOR	3 Month EURIBOR	3 Month EURIBOR	3 Month EURIBOR	3 Month EURIBOR	3 Month EURIBOR	3 Month EURIBOR	3 Month EURIBOR	N/A	N/A	N/A
Relevant Margin prior to Step Up Date	0.700%	0.920%	1.150%	1.600%	2.650%	3.750%	3.250%	3.250%	N/A	N/A	N/A
Relevant Margin on and following Step Up Date	1.050%	1.380%	1.725%	2.400%	3.650%	4.750%	N/A	N/A	N/A	N/A	N/A
Rate of Interest for Fixed Rate Notes prior to Step Up Date	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Interest Accrual Method	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Interest Payment Dates	Interest will be payable in respect of the Notes quarterly in arrears on 20 March, June, September and December in each year or, if such day is not a Business Day, the next following Business Day subject to the Business Day Convention.	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Business Day Convention	Modified Following	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
First Interest Payment Date	Interest Payment Date falling in March 2025	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Pre Enforcement Redemption Profile	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Post Enforcement Redemption Profile	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Clean Up Call	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Portfolio Option	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Other Early Redemption	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A

Payment Cadence for Interest and Principal

Interest Payment Schedule

Frequency: Quarterly in arrears
Payment Dates: 20 March, 20 June, 20 September, 20 December each year
Adjustment: If a payment date falls on a non-Business Day, the payment will be made on the next following Business Day.
First Interest Payment Date: 21 March 2022

Principal Payment Structure

Redemption Type: Sequential pass-through redemption
Redemption on First Interest Payment Date:
Class A Notes, Class B Notes, Class C Notes, Class D Notes, Class E Notes, Class F Notes, Class Z1 Notes: Partially redeemed on a pro-rata basis from the Pre Funding Principal Reserve.
Class X1 Notes: Partially redeemed from the Pre Funding Revenue Reserve.
Class Z2 Notes: Partially redeemed from the General Reserve Excess Amount, subject to the extent not applied to purchase Additional Mortgage Loans.

Dates and Timelines

Date Type	Date
Closing Date	18 October 2021
First Optional Redemption Date	18 October 2024
Final Maturity Date	18 October 2031
First Interest Payment Date	21 March 2022
Interest Payment Dates	Quarterly on 20 March, 20 June, 20 September, and 20 December each year (adjusted for weekdays).

Cash Flow Waterfall and Payment Model

Principal Priority of Payments Model (Principal Payment Waterfall Model)

Class A Notes: Payments of principal on the Class A Notes will always rank in priority to payments of principal on the Class B Notes.
Class B Notes: Payments of principal on the Class B Notes will always rank in priority to payments of principal on the Class C Notes.
Class C Notes: Payments of principal on the Class C Notes will always rank in priority to payments of principal on the Class D Notes.
Class D Notes: Payments of principal on the Class D Notes will always rank in priority to payments of principal on the Class E Notes.
Class E Notes: Payments of principal on the Class E Notes will always rank in priority to payments of principal on the Class F Notes.
Class F Notes: Payments of principal on the Class F Notes will always rank in priority to payments of principal on the Class Z1 Notes.
Class Z1 Notes: Payments of principal on the Class Z1 Notes will always rank in priority to payments of principal on the Class Z2 Notes.

Interest Priority of Payments Model (Interest Payment Waterfall Model)

Class A Notes: Payments of interest on the Class A Notes will always rank in priority to payments of interest on the Class B Notes.
Class B Notes: Payments of interest on the Class B Notes will always rank in priority to payments of interest on the Class C Notes.
Class C Notes: Payments of interest on the Class C Notes will always rank in priority to payments of interest on the Class D Notes.
Class D Notes: Payments of interest on the Class D Notes will always rank in priority to payments of interest on the Class E Notes.
Class E Notes: Payments of interest on the Class E Notes will always rank in priority to payments of interest (and principal) on the Class F Notes.
Class F Notes: Payments of interest (and principal) on the Class F Notes will always rank in priority to payments of interest on the Class X1 Notes.
Class X1 Notes: Payments of interest (and principal) on the Class X1 Notes will always rank in priority to payments of interest on the Class X2 Notes.
Class X2 Notes: Payments of interest (and principal) on the Class X2 Notes will always rank in priority to payments of interest on the Class Z1 Notes.
Class Z1 Notes: Payments of interest on the Class Z1 Notes will always rank in priority to payments of interest on the Class Z2 Notes.
Class Z2 Notes: Payments of interest on the Class Z2 Notes will always rank in priority to payments of interest (and principal) on the Class R Notes.

Payment Priority	Description
1. Fees and Expenses	Payments for fees, expenses, and costs of the Trustee Appointee and other related parties.
2. Issuer Profit Amount	Payments for the Issuer Profit Amount, including fees, costs, and expenses of the Account Agents, Bank, Cash Manager, Collection Account Bank, Rate Determination Agent, and Corporate Services Provider.
3. Senior Servicing Fee	Payments for the Senior Servicing Fee and fees, costs, and expenses of the Back Up Servicer, the Facilitator, and Collection Account Bank.
4. Remaining Revenue Shortfall	Payments to meet any Remaining Revenue Shortfall.
5. Class A Notes	Payments of principal to redeem the Class A Notes until they are redeemed in full.
6. Class B Notes	Payments of principal to redeem the Class B Notes until they are redeemed in full.
7. Class C Notes	Payments of principal to redeem the Class C Notes until they are redeemed in full.
8. Class D Notes	Payments of principal to redeem the Class D Notes until they are redeemed in full.
9. Class E Notes	Payments of principal to redeem the Class E Notes until they are redeemed in full.
10. Class F Notes	Payments of principal to redeem the Class F Notes until they are redeemed in full.
11. Class Z1 Notes	Payments of principal to redeem the Class Z1 Notes until they are redeemed in full.
12. Class Z2 Notes	Payments of principal to redeem the Class Z2 Notes until they are redeemed in full.
13. Remaining Amounts	Any remaining amounts to constitute Available Revenue Receipts and to be applied in accordance with the Pre-Enforcement Revenue Priority of Payments.

Payment Priority	Description
1. Trustee and Receiver Fees	Payments for any fees, costs, charges, liabilities, expenses, indemnity payments, and all other amounts due to the Trustee, any Receiver, or Appointee of the Trustee.
2. Agent Fees	Payments for the fees, costs, and expenses of the Agents, Account Bank, Cash Manager, Collection Account Bank, Rate Determination Agent, and Corporate Services Provider.
3. Servicer Fees	Payments for the fees, costs, and expenses of the Servicer (including the Senior Servicing Fee but excluding the Junior Servicing Fee) and the Back Up Servicer Facilitator.
4. Third Party Costs	Payments for costs, expenses, and fees of any third parties, including tax advisor costs, legal fees, auditors' fees, and anticipated winding up and liquidation costs.
5. Swap Counterparty Payments	Payments to the Swap Counterparty in respect of the Swap Agreement.
6. Class A Notes	Payments of interest due and payable on the Class A Notes.
7. Class A Principal	Payments of principal due and payable on the Class A Notes.
8. Class B Notes	Payments of interest due and payable on the Class B Notes.
9. Class B Principal	Payments of principal due and payable on the Class B Notes.
10. Class C Notes	Payments of interest due and payable on the Class C Notes.
11. Class C Principal	Payments of principal due and payable on the Class C Notes.
12. Class D Notes	Payments of interest due and payable on the Class D Notes.
13. Class D Principal	Payments of principal due and payable on the Class D Notes.
14. Class E Notes	Payments of interest due and payable on the Class E Notes.
15. Class E Principal	Payments of principal due and payable on the Class E Notes.
16. Class F Notes	Payments of interest due and payable on the Class F Notes.
17. Class F Principal	Payments of principal due and payable on the Class F Notes.
18. Issuer Profit Amount	Any remaining amounts constitute the Issuer Profit Amount.

Model Name	Description
Ramp-Up Waterfall Model	Initial phase where cash flows are allocated to support acquisition costs and setup fees.
Wind-Down Waterfall Model	Payment priorities when nearing the end of the securitization, prioritizing outstanding fees and principal.
Acceleration Waterfall Model	Triggered by enforcement actions, prioritizing fees and interest payments to higher-ranking notes.

Event	Description
Enforcement Notice	Triggers transition to Post-Enforcement Priority of Payments.
Potential Event of Default	May prompt preparation for enforcement actions.
Cash Flow Shortfalls	Necessitates a shift in payment priorities to cover operational costs.
Maturity of Underlying Assets	Initiates wind-down phase affecting cash flow distribution.
Changes in Market Conditions	May lead to reassessment of risk and payment priorities.

Trigger	Description
Non-Payment	Failure to pay principal or interest on time.
Breach of Other Obligations	Default in performance of obligations under Transaction Documents.
Insolvency Event	Issuer unable to pay debts or enters liquidation.
Unlawfulness of Performance	Performance becomes unlawful under Transaction Documents.
Delivery of Enforcement Notice	Causes all notes to become immediately due and payable.

Fee Type	Amount	Priority in Cashflow	Frequency
Senior Servicing Fee	0.25% p.a.	Ahead of all outstanding Notes	Quarterly
Junior Servicing Fee	0.235% p.a.	Behind Class A, B, C, D, E, and F Notes	Quarterly
Back Up Servicer Facilitator Fees	£250 - £500/hour	Ahead of all outstanding Notes	Quarterly
Other Fees and Expenses	£135,000/year	Ahead of all outstanding Notes	Quarterly
Admission to Trading Expenses	£13,891.20	N/A (funded by Class X1 Notes)	On Closing Date

Impact of Fees and Expenses on Cash Flow

Cash Flow Allocation: Fees and expenses must be paid before distributions to noteholders, affecting available cash for interest and principal payments.
Operational Costs: Ongoing servicing fees reduce cash flow available for distributions, especially in lower revenue periods.
Risk to Noteholders: Insufficient cash flows may lead to delays or reductions in payments to lower-ranking notes.
Financial Health Indicator: High fees relative to cash flows may signal potential issues in meeting obligations to noteholders.

Underlying Assets, Security, and Redemption Provisions

Underlying Assets

Mortgage Loans: The Issuer's interest in the Mortgage Loans and the Related Security.
Insurance Policies: Includes Buildings Policies and life policies related to the Mortgage Loans.

Security Type	Description
First Fixed Charge	Over the Issuer's interest in the Mortgage Loans and Related Security, Transaction Account, Swap Collateral Account, and other bank accounts (excluding Issuer Profit Ledger).
Assignment by way of security	Of the Issuer's interests in Buildings Policies and life policies related to the Mortgage Loans, and the benefit under each relevant Transaction Document (excluding Trust Documents and Corporate Services Agreement).
First Floating Charge	Over the whole of the Issuer's undertaking and all its property, assets, rights, and revenues (excluding Excluded Assets).

Redemption Event Type	Description
Mandatory Redemption Events	1. Final Maturity Date: Notes redeemed in whole on the Final Maturity Date. \n2. Partial Redemption on Interest Payment Dates: Notes may be redeemed in part on any Interest Payment Date prior to the delivery of an Enforcement Notice, subject to Available Principal Receipts. \n3. First Interest Payment Date: Mandatory redemption of Class A, B, C, D, E, F, and Z1 Notes on a pro rata basis if funds in Pre Funding Principal Reserve are not fully applied. \n4. Exercise Notice from Portfolio Option Holder: All Notes mandatorily redeemed upon receipt of an Exercise Notice from the Portfolio Option Holder. \n5. Notice from Seller: All Notes mandatorily redeemed upon receipt of notice from the Seller when Principal Amount Outstanding is equal to or less than 10% of aggregate Principal Amount Outstanding.
Optional Redemption Event	The Issuer may redeem all Notes at their Principal Amount Outstanding on any Interest Payment Date for tax or other reasons.

Redemption Event Type

Description

Mandatory Redemption Events

1. Final Maturity Date: Notes redeemed in whole on the Final Maturity Date. \n2. Partial Redemption on Interest Payment Dates: Notes may be redeemed in part on any Interest Payment Date prior to the delivery of an Enforcement Notice, subject to Available Principal Receipts. \n3. First Interest Payment Date: Mandatory redemption of Class A, B, C, D, E, F, and Z1 Notes on a pro rata basis if funds in Pre Funding Principal Reserve are not fully applied. \n4. Exercise Notice from Portfolio Option Holder: All Notes mandatorily redeemed upon receipt of an Exercise Notice from the Portfolio Option Holder. \n5. Notice from Seller: All Notes mandatorily redeemed upon receipt of notice from the Seller when Principal Amount Outstanding is equal to or less than 10% of aggregate Principal Amount Outstanding.

Optional Redemption Event

The Issuer may redeem all Notes at their Principal Amount Outstanding on any Interest Payment Date for tax or other reasons.

Post-Enforcement Interest Rates

The content does not specify the post-enforcement interest rates applicable to the Notes.

Fund Reserve

General Reserve Fund

Establishment: A fund called the General Reserve Fund will be established by the Issuer on the Closing Date.
Funding Source: It will be funded by the proceeds of the Class Z2 Notes.
Initial Amount: The General Reserve Fund will be credited to the Transaction Account and recorded in the General Reserve Ledger.

Condition	Required Amount
On Closing Date or any Interest Payment Date prior to redemption in full of the Principal Backed Rated Notes	1.25% of the aggregate Principal Amount Outstanding of the Principal Backed Notes as at the Closing Date, less the Liquidity Reserve Fund Required Amount
On and following the first Interest Payment Date	The General Reserve Excess Amount
On the Interest Payment Date when the Principal Backed Rated Notes are to be redeemed in full	zero

Replenishment

The General Reserve Fund will be replenished from Available Revenue Receipts on each Interest Payment Date up to the General Reserve Fund Required Amount.
Moneys in the General Reserve Fund will be applied as Available Revenue Receipts on each Interest Payment Date.

Post-Redemption

Upon full redemption of the Principal Backed Rated Notes, the Issuer is no longer required to maintain the General Reserve Fund, and the General Reserve Fund Required Amount will be zero.
Amounts in the General Reserve Fund will then be used as Available Revenue Receipts.

Final Redemption Date

On the Final Redemption Date, all amounts in the General Reserve Fund will be used as Available Principal Receipts after applying any amounts released from the Liquidity Reserve Fund to meet any Revenue Shortfall.

Pre Funding Principal Reserve

Pre Funding Revenue Reserve

Summary of Key Features

Risk Retention and Credit Enhancements

Risk Retention in the UK

Legal Requirements: Retain a minimum of 5% of nominal value (UK Securitisation Regulation).
Type of Modality: Statutory obligation.
Contractual Undertakings: Voluntary commitments by the Retention Holder (Dilosk DAC).

Risk Retention in the U.S.

Legal Requirements: Retain at least 5% of credit risk (U.S. Risk Retention Rules, effective December 24, 2016).
Type of Modality: Statutory obligation.
Contractual Undertakings: Conditional exemptions based on compliance with specific criteria for non-U.S. transactions.

Risk Retention in the EU

Legal Requirements: Retain a minimum of 5% of nominal value (EU Securitisation Regulation).
Type of Modality: Statutory obligation.
Contractual Undertakings: Voluntary commitments by the Retention Holder.

Region	Legal Requirements	Type of Modality	Contractual Undertakings
UK	5% of nominal value	Statutory obligation	Voluntary commitments by Dilosk DAC
U.S.	5% of credit risk	Statutory obligation	Conditional exemptions for non-U.S. transactions
EU	5% of nominal value	Statutory obligation	Voluntary commitments by Retention Holder

Types and Details of Credit Enhancements

\n1. Overcollateralization - Definition: Securing notes with collateral exceeding the value of notes issued. - Application: Applied to Class B, C, D, E, F, and Z1 Notes. \n2. Reserve Funds - General Reserve Fund: Covers revenue shortfalls. - Liquidity Reserve Fund: Ensures liquidity for timely payments. \n3. Excess Revenue Receipts - Definition: Revenue collected exceeding expected amounts. - Application: Applied according to the Post Enforcement Priority of Payments. \n4. Subordination - Definition: Ranking of notes where junior notes are subordinated to senior notes. - Application: Ensures senior classes are paid before junior classes. \n5. Accumulated Overcollateralization - Definition: Overcollateralization accumulated from prior periods. - Application: Used to cover revenue shortfalls.

Type	Description	Application
Overcollateralization	Securing notes with excess collateral	Applied to multiple classes of notes
Reserve Funds	Funds to cover shortfalls and ensure liquidity	General Reserve Fund and Liquidity Reserve Fund
Excess Revenue Receipts	Revenue exceeding expected amounts	Utilized for payment priority
Subordination	Payment hierarchy among notes	Protects senior noteholders by prioritizing their payments
Accumulated Overcollateralization	Additional support for cash flows during revenue shortfalls	Covers shortfalls and enhances credit quality
\nThese mechanisms collectively enhance the credit quality and cash flow stability of the securitized assets.

Legal, Regulatory and Tax Implications

Factor	Description
Governing Law	Cash Management Agreement governed by English law.
U.S. Risk Retention Rules	No retention of 5% credit risk; relies on exemption under Section 20.
Volcker Rule	Issuer not a \"covered fund\" under Bank Holding Company Act; exempt under Section 3(c)(5)(C).
EU Securitisation Regulation	Issuer responsible for disclosure under Article 7(2); non-compliance may lead to fines.
Transparency Requirements	Must comply with ESMA Disclosure Templates and Delegated Regulation (EU) No 2015/3.
Risk Factors	Includes regulatory and legal risks affecting cash flows.

Compliance Requirement	Impact
EU Securitisation Regulation Compliance	Uncertainty may affect investor confidence and cash flows.
EU Retention Requirement	Non-compliance may require additional capital set-aside, affecting liquidity.
EU Transparency Requirements	Ongoing reporting incurs costs; non-compliance may lead to penalties.
Ongoing Reporting Obligations	Timely disclosure of Inside Information is crucial for market stability.
Regulatory Changes	Changes may require capital adjustments, impacting cash flow management.

Tax Consideration	Description
Capital Gains Tax	33% on gains for Irish tax residents; impacts cash available for mortgage repayment.
Principal Private Residence Exemption	Exemption does not apply to Buy to Let Mortgages; CGT due on disposals.
Encashment Tax	25% withholding tax on interest collected in Ireland; reduces cash flows.
Dividend Withholding Tax	Distributions exceeding reasonable return may be taxed; affects cash flows.
FATCA Compliance	Potential withholding on U.S. source payments; future changes may impact cash flows.
Stamp Duty Exemption	No stamp duty on Notes if Issuer qualifies under Section 110 of the TCA; positively impacts cash flows.

Jurisdiction	Tax Implication
Irish Taxation	25% encashment tax; dividend withholding tax on excessive distributions; no stamp duty under Section 110.
U.S. Taxation	FATCA compliance may lead to withholding; tax treaties may reduce withholding rates.
EU Member States	Varying tax treatments; compliance with EU directives may eliminate withholding taxes.
Double Tax Treaties	Ireland's treaties mitigate double taxation; applicability varies by investor residency.

Secondary Market Information

Liquidity and Trading Overview

Liquidity Status: Uncertain; no assurance of an active market.
Investor Preparedness: Hold Notes indefinitely or until Final Maturity Date.
Potential Selling Price: May be at a discount to original purchase price.

Condition Type	Description
Historical Disruptions	Significant disruptions due to reduced investor demand; limited liquidity affecting market value.
Central Bank Liquidity Schemes	Eligibility criteria may negatively impact liquidity; no guarantee of qualification for any Class.

Impact Factor	Description
Economic Conditions	Negative impact from global credit market conditions and reduced growth expectations for OECD economies.
Irish Economic Environment	Current challenges and austerity discussions add uncertainty to liquidity of the Notes.

Metric	Description
Expected Trading Volumes	Not explicitly detailed; potential lack of active trading.
Bid-Ask Spreads	Implied to be wider than typical due to limited liquidity; indicates higher transaction costs.

Conclusion

Investor Awareness: Limited liquidity and associated risks should be considered, especially in light of historical disruptions and current economic uncertainties.

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