Obvion Structuring 39th STORM Dutch Home Mortgage Deal
Dutch mortgage lender Obvion N.V. is securitizing its fourth round of mortgage loan transactions for 2016.
Moody’s Investors Service has assigned provisional ratings to five classes of notes in STORM 2016-II B.V., a €1.15 billion pooling of 5,729 30-year home loans to consumers in The Netherlands. The sizes of the Euro-denominated notes are to be determined.
All the loans were originated and are serviced by Obvion, and represent the 39th securitization by the lender.
The senior Class A notes due 2063, which comprise of 93% of the collateral pool, are rated ‘Aaa’ by Moody’s and carry total credit enhancement of 8%. The notes carry a coupon of 60 basis points above the three-month Euribor benchmark, although there is a step-up provision boosting that rate after August 2021.
The mezzanine B and C notes are rated ‘Aa1’ and ‘Aa3’, respectively. A junior tranche of Class D bonds were assigned a provisional ‘A2’ while the subordinate Class E notes were assigned a ‘Ba1’.
The A, B, C and D notes are all supported by a non-amortizing reserve funds that will be fully funded at 1.02% of the pool at closing, and will be boosted up to 1.3% through the capture of available excess spread. The reserve fund’s replenishment will take precedent over the subordinate notes’ principal payments in the interest waterfall, according to Moody’s.
About one-third of the loan assets have a guarantee from the public Nationale Hypotheek Garantie (National Mortgage Guarantee), a government-backed fund which provides financial backing to qualified borrowers to maintain mortgage payments under certain hardship conditions such as divorce, a death in the family, etc.
Moody’s stated loans issued with NHG backing typically have lower-than-average loss severity than other residential mortgage-backed securities.
Nearly 94% of the loans are fixed rate, but the pool includes a higher proportion of interest-only loans (13.83% of the pool), a common feature in Dutch RMBS portfolios.
No loans in the pool were delinquent at the cut-off date for inclusion among the collateral, although 11.9% have previously been in arrears.
Rabobank was the arranger of the securitization, which it is co-managing with JPMorgan.
Obvion’s new deal is the fourth through its STORM series, including a Green STORM deal that was a securitization of home loans backed by residences with energy performance certification.