Delphinus 2023-I: 18 July 2023

After a gap of some 17 years, a new Delphinus transaction, where on this occasion the originator will be ASR Levensverzekering, and the Issuer will make payments on the Notes from, inter alia, payments of principal and interest received from a portfolio comprising mortgage loans originated by the Seller and secured over residential properties located in the Netherlands.

ASR Levensverzekering, part of ASR Nederland, has been licensed by the AFM since 2006 to provide mortgage loans. ASR Levensverzekering originates mortgages under its own licence and as such is responsible for operational mortgage origination under the name of ASR Levensverzekering.

On 27 October 2022, ASR Nederland announced the business combination with Aegon. The transaction settled on 4 July 2023. Pursuant to this business combination, AEGON Europe Holding BV sold and transferred all the issued and outstanding shares in the share capital of Aegon Nederland to ASR Nederland. The business combination includes all insurance activities (life, pensions and non-life), mortgage origination and servicing activities, the distribution and services entities and the banking business of Aegon Nederland, including KNAB.

At the cut-off date (1 June 2023) the receivables portfolio consists of 5,752 loan parts advanced to 2,334 borrowers and secured by owner-occupier properties located in the Netherlands. The average loan balance per loan is Eur225,499. On the cut-off date no amounts due and payable under any of the mortgage loans were overdue and unpaid. Mortgage redemption type (by current balances): annuity - 49.50%, interest-only - 35.86%, savings – 6.50%, extended annuity - 4.05% and others - 4.09%. Interest rate type (by current balances): fixed - 99.5%, floating - 0.5%. The WA CLTOMV is 70.86% and the WA CLTIFV is 65.29%. The WA seasoning is 4.61 years. Regional concentration: Zuid-Holland - 20.05%, Noord Brabant - 18.07%, Noord-Holland – 13.86%, Gelderland - 12.95%, and Utrecht - 11.29%.

EU & UK Risk Retention: The Seller, as originator within the meaning of Article 6 of the Securitisation Regulation, has undertaken to retain, on an ongoing basis, a material net economic interest of not less than 5% in the securitisation transaction in accordance with Article 6 of the Securitisation Regulation and in accordance with Article 6 of the UK Securitisation Regulation (as required for the purposes of Article 5(1)(d) of the UK Securitisation Regulation, as if it were applicable to it), but solely as such articles are interpreted and applied on the Closing Date.

US Risk Retention: Neither the Seller nor any other party intends to retain at least 5% of the credit risk of the securitised assets within the meaning of, and for purposes of compliance with, the US Risk Retention Rules, but rather intends to rely on an exemption provided for in section 20 of the US Risk Retention Rules regarding non-US transactions that meet certain requirements.

STS: The securitisation transaction is intended to qualify as a STS securitisation within the meaning of Article 18 of the Securitisation Regulation.

Compare/contrast: Delphinus 2006-I, Dutch Property Finance 2023-1 BV, Saecure 21 BV.