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Orange Lion XVI RMBS: 27 January 2018

A balance sheet transaction, where the issuer will make payments on the notes from, among other things, payments of principal and interest received from a portfolio solely comprising mortgage loans originated by the seller and secured over residential properties located in The Netherlands, legal title to which will be assigned to the issuer on the closing date.

The mortgage loan to which a mortgage receivable relates is either an interest-only mortgage loan, an annuity mortgage loan, a linear mortgage loan, an investment mortgage loan, a life mortgage loan, a savings mortgage loan, a bank savings mortgage loan or a revolving credit mortgage loan, or any combination of the foregoing. Some mortgage loans have the benefit of an NHG Guarantee.

As at the cut-off date (31 October 2017) the provisional pool consists of 47,714 loans (in 96,321 loan parts), where the average principal balance per borrower is Eur244,093. Redemption type (by current balances): annuity – 44.36%, interest-only 41.86%, bank savings – 5.82% and life insurance – 3.45%. Interest payment type: fixed – 94.56%, floating – 5.44%. The WA CLTOMV is 87.20%, the WA CLTIFV is 99.25% and the WA seasoning is 4.13 years. Regional concentration: Noord-Holland – 23.66%, Zuid-Holland 22.46%, Nord-Brabant – 12.28%, and Gelderland – 11.73%.

Significant Investor: The Notes Purchaser has agreed to subscribe or procure subscription on the closing date, subject to certain conditions precedent being satisfied, for the Class A Notes. The seller will, subject to certain conditions precedent being satisfied, on the Closing Date purchase the Retained Notes.

CRR 405: The Seller has undertaken to retain on an ongoing basis a material net economic interest of not less than 5% of the nominal value in the securitised exposures relating to the securitisation transaction in accordance with (i) Article 405 of the CRR, (ii) Article 51 of the AIFMR and (iii) Article 254 of the Solvency II Regulation. As at the Closing Date, such material net economic interest will be held by the Seller in accordance with the Retention Regulations by holding the Class B Notes and the Class C Notes.

Compare/contrast: Orange Lion XV RMBS, Green Apple 2017-1 NHG