DELFT 2019 B.V.: 10 May 2019
A stand-alone transaction, where the Issuer will make payments on the Notes and Certificates from payments of any principal and interest received from a portfolio comprising mortgage loans originated by the Originators and secured over residential properties located in the Netherlands.
Essentially the deal is backed by collateral currently residing in EMF-NL 2008-2, the legacy Lehman non-conforming RMBS. This will be redeemed following the refinancing of the underlying pool.
The provisional pool (as at 31 December 2018) consists of 671 owner-occupied loans (in 733 loan parts), where the average principal balance per borrower is Eur210,797. Redemption Type (by principal balance): interest only 99.15%, others 0.85%. Interest Payment Type: floating 87.11%, fixed 12.89%. Months in Arrears: 1-3 mnths 9.51%, greater than 3mnths 7.30%. The WA CLTOMV is 90.54%, the WA CLTIMV is 84.47% and the WA seasoning is 10.70 years. Geographical Distribution: Zuid-Holland 21.66%, Noord-Holland 18.63%, Noord-Brabant 13.90% and Gelderland 8.46%.
EU Risk Retention: The Retention Holder, in its capacity as the “originator” for the purposes of Article 6 of the Securitisation Regulation, has undertaken that, for as long as the Notes are outstanding and on an ongoing basis, it will at all times retain an interest that qualifies as a material net economic interest in the securitisation transaction which, in any event, shall not be less than 5% in accordance with paragraph 3(a) of Article 6 of the Securitisation Regulation, by holding no less than 5% of the nominal value of each Class of Notes sold or transferred to investors.
US Risk Retention: In respect of the issue of the Notes and Certificates, the Retention Holder in its capacity as the “sponsor” within the meaning of the U.S. Risk Retention Requirements is subject to the requirement thereunder that the Retention Holder must retain, during the Risk Retention Period, at least 5% of the credit risk of the assets collateralising the asset-backed securities issued under a securitisation transaction. The Retention Holder intends to satisfy the U.S. Risk Retention Requirements by retaining an eligible vertical interest in each Class of Notes and Certificates issued by the Issuer in the required amount of not less than 5% of the nominal amount of each such Class of Notes and such Certificates.
Compare contrast: Delft 2017 BV, EMF-NL 2008-2