Green Storm 2018 BV: 02 June 2018
Another static cash securitisation of residential mortgage loans extended to borrowers located in the Netherlands from originator Obvion, and the third to carry the “green” label.
Green Eligibility Criterion - Each of the Mortgage Loans will meet the following criterion: the Mortgaged Asset on which the relevant Mortgage Loan is secured is assigned either: (i) a Definitive Energy Performance Certificate A; or (ii) a Provisional Energy Performance Certificate A and has a construction year of 2002 or later; or (iii) has an Energy Performance Certificate B and has a construction year of 2002 or later; or (iv) has a Definitive Energy Performance Certificate C or a Definitive Energy Performance Certificate B and has realised a calculated improvement of an Energy Performance Certificate (energielabel) as issued by the RVO by at least two notches. However, Obvion does not differentiate their mortgage terms based on energy efficiency, so in practical terms the portfolio is no different to previous Storm transactions.
At the cut-off date (1 May 2018) the portfolio consisted of 2,403 loans (in 5,432 loan parts) secured by mortgages on owner-occupied residential properties located in the Netherlands. The average principal balance (per borrower) is Eur249,003. Guarantee type: NHG 16.31%, non-NHG 83.69%. Redemption type (by current balances): Interest only 46.11%, Annuity 37.30%, Bank savings 7.18%, Linear 3.07%, others 6.34%. Interest payment type: fixed 95.67%, floating 4.33%. The weighted average CLTIMV is 73.25%, the WA CLTOFV is 86.80% and the WA seasoning is 5.00 years. Geographical distribution: Zuid-Holland 17.88% Noord-Brabant 16.72%, Noord-Holland 14.85% and Gelderland 13.38%.
CRR 405: The Seller, as originator, has undertaken that, for as long as the notes are outstanding, it will at all times retain a material net economic interest of not less than 5% in the securitisation transaction in accordance with each of Article 405 of the CRR, Article 51 of the AIFMR and Article 254 of the Solvency II Regulation. As at the Closing Date, such interest will be comprised of an interest in the first loss tranche, in this case the Class E Notes and, if necessary, other tranches having the same or a more severe risk profile than those sold to investors.
The Volcker Rule: The Issuer is structured so as not to constitute a "covered fund" for the purposes of the regulations adopted to implement Section 619 of the Dodd-Frank Act (such statutory provision together with such implementing regulations, the Volcker Rule).
Compare/contrast: Green Storm 2017, FORDless STORM 2018 BV, Lowland Mortgage Backed Securities 5 BV