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Rabobank affiliate packaging €1.2B in loans for Dutch mortgage RMBS

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Dutch home-loan lender Obvion is adding more seasoned accounts to its 44th securitization of prime mortgages originated by the Rabobank affiliate.

STORM 2018-1 B.V. is a five-year revolving cash securitization of more than €1.2 billion in home loans issued to 6,403 borrowers in the Netherlands.

Both Moody’s Investors Service and Fitch Ratings have assigned triple-A ratings to the Class A notes that will be supported by 7.47% credit enhancement and will comprise 93.5% of the total notes issuance (a final size is to be determined).

The 30-year loans have an average seasoning of 7.22 years, compared with a range of 3.6 to 6.9 years in three of the past four STORM platform issuances by Obvion. A slight majority of the loans were originated between 2015 and 2017, but the other 49% were underwritten before 2009.

The 22.5% share of mortgages carrying a government guarantee from The Netherlands (nationale hypotheek garantie, or NHG) is among the lowest of recent STORM issuances, however. The NHG will cover full losses to a lender in the event of a borrower default.

The weighted average interest rate (3.41%) is among the lowest of recent Obvion securitizations through STORM. Obvion, which has securitized mortgages since 2003, has issued 43 deals so far, 39 of them on the STORM platform and is embarking on its 10th under a revolving pool structure.

But Dutch prime mortgage securitizations have had historically low default and delinquency performance, with Moody’s assigning an expected loss of just 0.65% on the pool despite the length revolving period during which new assets can be added to the pool. (Loss mitigation is supported by the inclusion of a 0.5% excess spread that is derived from an interest-rate swap agreement, according to Moody’s.)

Obvion has assets of $31.1 billion, and a 3.2% market share in the Dutch mortgage market.

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RMBS Mortgages Fitch Moody's Europe The Netherlands