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Fewer guaranteed loans in Obvion's next Dutch RMBS

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Obvion is marketing a third offering of the year of Dutch residential mortgage bonds.

The collateral for new transaction, STORM 2018-2 B.V., will revolve over a five-year period. The deal will initially be backed by €1.08 billion of primarily fixed-rate mortgages to 5,482 prime borrowers that Obvion both originated and services. A large section of the loans (39%) were originated since 2017, although the pool includes contracts dating to 2002.

The deal is the 47th sponsored by Obvion, a wholly owned subsidiary of Rabobank.

Five classes of notes will be issued. Moody’s Investors Service, Fitch Ratings and S&P Global Ratings each expect to assign a triple-A rating to the Class A notes, which are supported by 7% credit enhancement. The presale reports did not indicate the size of individual tranches, although the Class A notes are expected to make up 94% of the finalized capital stack.

Moody’s expects losses over the life of the deal to be 0.7% of the initial collateral; that's slightly higher than the 0.65% for Obvion's first mortgage securitization of the year issued in January. Moody’s cites the lower percentage (9.6% of the pool) of loans guaranteed by the Dutch NHG program, or Nationale Hypotheek Garantie, in comparison to the earlier deal (22.9%).

NHG s a guarantee provided by WEW, a Dutch government-sponsored institution, to cover losses incurred on mortgage loans after the foreclosure or sale of a property. NHG loans have represented a smaller share of collateral for each of the last five STORM deals dating to January 2017.

While NHG loans usually have low losses because of the guarantee backing them, Moody’s noted the guarantees are “highly dependent” on a lender’s compliance with NHG criteria at the time or origination.

The collateral for the latest deal includes a variety of mortgage types, the majority of which (54.5%) are interest only until the loan's maturity, according to Moody’s. The deal’s weighted average interest rate is 3.1%.

Obvion is a monoline originator of Dutch mortgages, with a market share of 3.3% and total managed assets of €29.4 billion as of June 30 of this year. The current transaction covers 1.4% of Obvion’s total assets.

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RMBS Europe The Netherlands