Another Non-Comforming Dutch RMBS Enters Market

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A second Dutch residential mortgages securitization is being offered this week, this one backed by loans originated by specialty lender ELQ Portefeuille.

The deal, dubbed DELFT 2017 B.V., will issue five classes of Euro-denominated notes, all but one of which (the Class A notes totaling 63.5% of the tranche issuance) will be deferred. The size of the tranches is to be determined. Standard and Poor’s has issued preliminary ‘AAA’ ratings for the Class A tranche, which will include 37.23% available credit enhancement. This consists of excess spread, principal receipts and 2% reserve fund.

The notes will be backed by €157.73 million in non-conforming, first-lien home loan with an average remaining balance of €180,554, with an average seasoning of 109 months and 20 years remaining on their terms.

The pool includes a small portion of delinquent loans (€6.2 million) which S&P has excluded from its analysis of the collateral pool on the assumption the default and loss-recovery period will be realized within 18 months.

Of the pool, 25.27% comprise self-certified (self-employed or stated income) loans, and 39.41% are remortgage loans.

ELQ originated the loans, but they have been acquired by Morgan Stanley Principal Funding, which is selling the assets into the trust. Adaxio will be the servicer of the loans.

The transaction is being arranged by Morgan Stanley.

Earlier this week, mortgage lender Obvion packaged €1.19 billion in Dutch prime residential loans.

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