Issuer Quarterly Report

Transcription

1 Bass Master Issuer N.V.S.A. te Collection Period October 2017 December 2017 Reference date 31 December 2017 te Calculation Date 5 January 2018 Next te Payment Date 15 January 2018 I. General Information as at Reference Date Mortgage Loans Outstanding Principal Balance Mortgage Receivables 27,619,370, Accounts/Ledger Balances Collection Account Balance 557,476, Revenue Ledger 176,785, Principal Ledger 380,629, Capital Ledger 62, Other Ledger Loan Loss Reserve 49,048, Reserve Account Balance 301,455, Reserve Account Target Amount 301,048, II. Flows during the Mortgage Collection Period a) Terminated and denounced Mortgage Loans Number of loans terminated 52 Outstanding Principal Amount of loans terminated 2,754, Net Proceeds at time of termination 1,823, Net Proceeds related to Principal 1,710, Net Proceeds not related to Principal 112, Net Losses 1,511, Number of loans denounced 26 Outstanding Principal Amount of loans denounced 2,092, b) Principal Payments Repayments 170,121, Prepayments 202,359, Net Proceeds related to Principal 1,862, c) Interest Payments Interest Payments 58,499, Accrued interest on notes Fees and Penalties 1,428, Post Foreclosure Proceeds Net Proceeds not related to Principal 129, III. Delinquencies at Reference Date Number of loans Amounts in Arrears Outstanding Principal Balance Current 461,288 27,204,427, in Arrears <= 30 days 2,095 1,907, ,397, in Arrears days , ,279, in Arrears days , ,132, in Arrears days , ,448, In Arrears days , ,766, In Arrears days , ,866, in Arrears > 180 days 296 1,931, ,477, Loans Denounced 1,912 90,196, ,575, Total 5,883 96,998, ,942,896.94

2 Bass Master Issuer N.V.S.A. te Collection Period October 2017 December 2017 IV. Interest Swap Fixed Leg 1 (to be paid to Swap Counterparty, flows during last te Collection Period) Relevant Proportion of all interest received on Mortgage Receivables 45,160, Relevant Proportion of all prepayment penalties and penalty interest received on Mortgage Receivables Relevant Proportion of the interest accrued on the Issuer Accounts less: Relevant Proportion of excess credit spread (0.2 per cent. per annum ACT/360) 3,587, less: Relevant Proportion of the expenses (a) to (c ) of Interest Priority of Payments 1,066, Tot Fixed Leg 1 40,506, Fixed Leg 2 (to be paid to Issuer) Relevant Proportion of the interests on tes (net of Principal Shortfalls and accrued interest) Net Amount payable (+)/receivable () to/from swap counterparty Relevant Proportion 7,184, ,322, % Relevant Proportion means, in relation to any te Payment Date, the average of the proportions of the Outstanding Principal Amount of Resettable Mortgage Receivables compared to the aggregate Outstanding Principal Amount of all Mortgage Receivables on the first day of each Mortgage Collection Period falling within the te Collection Period preceding such te Payment Date, as calculated by the Administrator V. Issuer Interests Priority of Payments 1) Issuer Interest Available Amounts (i) interest, including any prepayment penalties and penalty interest 179,633, (ii) interest credited to the Issuer Accounts and as revenue on any Eligible Investments (iii) Net Proceeds, not related to principal 505, (iv) amounts to be received from the Interest Swap Counterparty amounts to be received from the Currency Swap Counterparty (v) (vi) amounts received in connection with repurchases or any other amount, not related to principal amounts received in connection with a sale of Mortgage Receivables, not related to principal (vii) amounts received as Post Foreclosure Proceeds on Mortgage Receivables (viii) amounts to be drawn/released from the Reserve Account 407, (ix) on the last te Payment Date, remaining balance to the credit of the Issuer Accounts (x) any amount exceeding the Principal Amount Outstanding of the relevant tes in relation to an issuance of Such tes on the 2 previous Monthly Payment Dates and on the next Monthly Payment Date, in case the issue price of such tes is higher than 100%. TOTAL 180,545, ) Interest Priority of Payments Amounts due Amounts paid (a) fees payable to the Directors and any costs and expenses incurred by the Security Agent (b) fees payable to the Administrator and the Pool Servicer 3,908, ,908, (c) Issuer third party fees, including tax, Rating Agencie fees, advisory fees 344, , (d) amounts payable to the Interest Swap Counterparty 33,322, ,322, amounts payable to the Currency Swap Counterparty (e) interest in respect of the Class A tes 19,476, ,476, (f) making good any shortfall reflected in the Class A Principal Deficiency Ledger (g) interest in respect of the Class B tes 942, , (h) making good any shortfall reflected in the Class B Principal Deficiency Ledger (i) interest in respect of the Class C tes 1,465, ,465, (j) making good any shortfall reflected in the Class C Principal Deficiency Ledger (k) interest in respect of the Class D tes 3,630, ,630, (l) making good any shortfall reflected in the Class D Principal Deficiency Ledger 3,005, ,005, (m) interest in respect of the Class E tes 3,141, ,141, (n) Replenishment Reserve Account (o) Interest Swap Counterparty Default Payment Currency Swap Counterparty Default Payment (p) Deferred Purchase Price Installment to the Seller 111,309, ,309, TOTAL 180,545, ,545, VI. Principal Available Amounts Principal Payments (repayments, prepayments, net proceeds, principal unused from previous period) PDL Payments Repurchases and other amounts received related to Principal Sales of Mortgage Receivables Net Proceeds from issuance of tes (other than Class E tes) Total Principal Available Amounts at this Monthly Payment Date 379,117, ,005, ,407, ,530,777.59

3 Bass Master Issuer N.V.S.A. te Collection Period October 2017 December 2017 VII. through Payable Amount, Purchase Available Amount, New Mortgage Receivables Principal Available Amounts Through Percentage Through Payable Amounts PT % * Principal collections PT% * Principal Payment Rate * Loss Rate (if > 5% Cash after application of PPoP) PT payable amount Purchase Available Amounts 420,530, % 420,530, New Mortgage Receivables substituted this Period Part of Principal Available Amounts not used this Period 133,469, ,061, VIII. Principal Priority of Payments Amounts due Amounts paid (i) Payments to the Construction Account (ii) Payments to the Currency Swap Counterparty (related to principal) (iii) Principal due under the Class A tes (iii) Principal due under the Class B tes (iv) Principal due under the Class C tes (v) Principal due under the Class D tes (vii) Payment of (part of) the Initial Purchase Price in respect of New Mortgage Receivables 133,469, ,469, IX. tes Overview S02008I Class A Class B Class C Class D Class E ISIN Outstanding Principal Balance as of last te Payment Date New Issues on last 2 Monthly Payment Dates Outstanding Principal Balance as of last Monthly Payment Date New Issues to be made on next te Payment Date Principal Deficiency Ledger as of last te Payment Date Principal Deficiency Ledger as of last Monthly Payment Date Repayment Type of the tes: PT, SB (Through, Soft Bullets) First Optional Redemption Date (if SB) Base Rate (if floating rate tes) Annual Coupon Rate (for fixed rate tes)/spread in bps above Base Rate (for floating rate tes) BE ,200,000, ,200,000, SB Apr18 Fixed 31bps BE ,000, ,000, SB Apr18 Fixed 45bps BE ,000, ,000, SB Apr18 Fixed 70bps BE ,120,000, ,120,000, SB Apr18 Fixed 130bps BE ,000, ,000, SB Apr18 Fixed 500bps For the purposes of compliance with article 122a of Directives 2006/48/EC and 2006/49/EC, as amended by Directive 2009/111/EC, as the same may be amended from time to time (the "Capital Requirements Directive"), BNP Paribas Fortis NV/SA (or any other entity from the BNP Paribas group) has a net economic interest of 100% in each tranche (i.e. Class) of notes issued under the Bass Master Issuer Programme. X. Through Percentage Outstanding Principal Balance as of Reference Date of the tes (net of Principal Shortfall) that will be Through tes on next te Payment Date (excluding E tes) Outstanding Principal Balance as of Reference Date of the tes (net of Principal Shortfall) that will be SoftBullet tes on next Monthly Payment Date (excluding E tes) Outstanding Principal Balance as of Reference Date of the tes (net of Principal Shortfall) that will be called/repaid on next Monthly Payment Date (excluding E tes) Through Percentage 28,000,000, %

4 Bass Master Issuer N.V.S.A. te Collection Period October 2017 December 2017 XI. Class A to D PT tes Redemption Available Amount Through Payable Amounts Through Principal Available Amounts Principal Amount Outstanding of all PT tes on next te Payment Date (excluding new issuances and repayments on that te Payment Date) ProRata Conditions: PDL Arrears over 90 days <= 2.5% Balance Reserve Account >= Class D Required Sub Amount ProRate Condition is Mortgage Collection Period ed ed ed ed Class A Class B Class C Class D Principal Amount Outstanding of all corresponding Class PT tes on next te Payment Date (excluding new issuances and repayments on that te Payment Date) % corresponding Class Class A PT tes Redemption Available Amount XII. Class E tes Repayment Principal Amount Outstanding on Class E tes to be repaid on next te Payment Date Principal Amount Outstanding of all Class E tes on next te Payment Date Reserve Account (after new Class E tes issuances and after any other drawings to be made on next te Payment Date) 252,000, ,048,054.43

5 Bass Master Issuer N.V.S.A. te Collection Period October 2017 December 2017 XIII. Purchase Conditions a) Maximum (or minimum) Level Current Level /Fail b) no Assignment tification Event has occurred and is continuing; c) there has been no failure by the Seller to repurchase any Mortgage Receivable which it is required to repurchase pursuant to the Mortgage Receivables Purchase Agreement; d) the Purchase Available Amount is sufficient to pay (the relevant part of) the Initial Purchase Price for the New Mortgage Receivables; no downgrading of the tes by the Rating Agencies below the Minimum Ratings of the tes or, if the then current ratings of the tes are below the Minimum Ratings, no e) downgrading of the tes by Rating Agencies will occur as a result of such purchase; f) the weighted average LTV Ratio does not exceed 75 per cent.; 75.00% 64.17% g) the weighted average Mortgage Coverage Ratio is at least 100 per cent.; >100% % h) the balance on the Reserve Account was at least equal to the Class D Required Subordinated Amount; except in the case of any purchase of New Mortgage Receivables by the Issuer either (x) in relation to a new issue of tes (other than an issue under an existing Series and Class, or Subclass thereof) to the extent that the aggregate Outstanding Principal Amount of the New Mortgage Receivables to be purchased on the relevant Mortgage Purchase Date does not exceed the issue proceeds of such tes (other than the Class E tes) or (y) where S&P and Fitch have confirmed that such purchase will not result in a change to the rating of the tes below the Minimum Ratings of the tes, or, if the then current ratings assigned to the tes are below the Minimum Ratings, will not adversely affect the then current rating i) assigned to the tes, (i) the aggregate Outstanding Principal Amount of the New Mortgage Receivables to be purchased on the relevant Monthly Payment Date or any earlier Monthly Payment Date falling after the immediately preceding te Payment Date does not exceed 20 per cent. of the aggregate Outstanding Principal Amount of all Mortgage Loans on such Monthly Payment Date and (ii) the aggregate Outstanding Principal Amount of the New Mortgage Receivables to be purchased on the relevant Monthly Payment Date or any earlier Monthly Payment Date falling after the te Payment Date falling one year before the relevant Monthly Payment Date does not exceed 50 per cent. of the aggregate Outstanding Principal Amount of all Mortgage Loans on such relevant Monthly Payment Date; 20% per Quarter and 50% per Year 3.46% 20.72% j) if, in respect of a Series and Class or, if applicable, Subclass of tes, other than the Class E tes, a Stepup Date has occurred, all tes to which such Stepup Date relates are redeemed in full subject to Condition 9(b) prior to or on the te Payment Date falling one (1) year after such Stepup Date; 15 April January 2018 k) no more than 5 per cent. of the aggregate of the Outstanding Principal Amount of Mortgage Receivables shall have a Construction Amount in excess of EUR 7,000; 5.00% N/A l) no more than 1 per cent. of the aggregate of the Outstanding Principal Amount of Mortgage Receivables shall relate to Reconstitution Loans; 1.00% 0.20% m) n) the Seller will represent and warrant to the Issuer and the Security Agent (i) the matters set out in the clauses providing for the representations and warranties relating to the Relevant Mortgage Loans and the Relevant Mortgage Receivables with respect to the New Mortgage Receivables and the Related security relating thereto sold by it on such date and (ii) those relating to the Seller; no more than 5 per cent. of the aggregate of the Outstanding Principal Amount of Mortgage Receivables shall relate to loans the Borrowers of which are employees of the Seller; the aggregate of the Outstanding Principal Amount of nsecuritised Advances does not exceed 3 per cent. of the aggregate Outstanding Principal Amount of Mortgage Receivables; 5.00% 1.21% 3.00% 1.94% o) at least 65% of the aggregate Outstanding Principal Amount of all Mortgage Receivables has a Mortgage Coverage Ratio of at least 100%; >65% 69.12% p) no more than 20% of the aggregate Outstanding Principal Amount of all Mortgage Receivables has a Mortgage Coverage Ratio of less than 50%; 20.00% 12.20% q) no more than 5% of the aggregate Outstanding Principal Amount of all Mortgage Receivables has a Mortgage Coverage Ratio of 0%; 5.00% 0.00% r) no more than 35% of the aggregate Outstanding Principal Amount of all Mortgage Receivables has a Mortgage Coverage Ratio less than 70%; 35.00% 25.00% s) no more than 5% of the aggregate Outstanding Principal Amount of all Mortgage Receivables relate to an Interest Only Loan that is not a Reconstitution Loan. 5.00% 0.85% XIV. Portfolio Review Events Maximum Level Current Level a) a half calendar year has passed since (i) the previous Portfolio Review Event occurred, or (ii) if no Portfolio Review Event has occurred, the Programme Closing Date; 6 months 4 months b) the Outstanding Principal Amount of all Mortgage Loans on any date has increased by 10 per cent. or more since the date of the last Portfolio Review Event; or 10% 0.17% c) any date on which more than 4 per cent. of the aggregate Outstanding Principal Amount of the Mortgage Loans is in arrear for more than 90 days; or 4% 0.23% e) if a new Series and Class or Subclass of tes is issued in order to fund the purchase of New Mortgage Receivalbles; or if new types of mortgage products are included in the pool, which have not been described herein or in any supplemental prospectus hereto or if a new Seller accedes to the f) Programme; or g) if a Seller materially changes its underwriting/lending criteria; or h) any time a rating agency requests to review the pool of Mortgage Loans. Ptf Review Required

6 Bass Master Issuer N.V.S.A. te Collection Period October 2017 December 2017 XV. Additional Counterparty Information Counterparty Minimum Rating M / F Current Rating (of counterparty or of guaranteing party) Status Interest Swap Counterparty BNP Paribas Fortis SA/NV ST: P1/F1 LT: A2/A ST: P1/F1 LT: A2/A+ OK GIC Provider Seller Collection Account Provider BNP Paribas Fortis SA/NV ST: P1/F1 ST: P1/F1 OK BNP Paribas Fortis SA/NV ST: P1/F1 ST: P1/F1 OK