Aegon Levensverzekering N.V. is in the market with a €1.5 million Dutch RMBS from its Saecure securitization program.
Saecure 10 B.V will offer investors two Moody's Investors Service 'Aaa' rated tranches as part of its capital structure.
It also is structured with a Moody's-rated 'Aa2' tranche, 'A1' tranche, 'A3' tranche and a 'Baa2' piece. the deal is backed by Dutch prime mortgage loans originated by AEGON. The portfolio will be serviced by AEGON Leven.
According to Moody's, the deal required slightly higher credit enhancement at 7.6% when compared to other Dutch RMBS deals that closed in 2010 and 2011 because of the offering's lower weighted average loan-to-foreclosure-value (LTFV) of 88.1%, the proportion of interest-only loan parts (52.6%) and the weighted average seasoning of 4.4 years.
The securitized mortgages also contain a significant proportion of loans with long maturity dates — 19.5% of the pool has a maturity date after December 31, 2070, Moody's stated.
"These long maturities distinguish this pool from other prime pools in the Dutch market," analysts said. "We are concerned about higher default frequencies, because given the current life expectancy in the Netherlands the borrowers die before the maturity of the loan."