Candide Financing 2007 NHG B.V.

Transcription

1 Period: September 20, 2011 until December 20, 2011 Quarterly Information Report ATC Management B.V. Olympic Plaza, Fred. Roeskestraat 123, 1076 EE Amsterdam, Postal address: P.O. Box 75032, 1070 AA Amsterdam, T +31 (0) F +31 (0) E securitisation@atccapitalmarkets.com

2 Reporting period: September 20, 2011 until December 20, 2011 AMOUNTS ARE IN EURO Quarterly Notes interest period start date: June 20, 2011 Quarterly Notes interest period end date: September 20, 2011 Bond Report Class A Class B ISIN Code XS XS Common Code Fondscode Interest rate * % % Spread per annum * % % Original Balance 356,000,000 5,350,000 Balance before Payment 206,864,480 5,350,000 Principal Redemption 17,337,200 0 Balance after Payment 189,527,280 5,350,000 Bond Factor before Payment Bond Factor after Payment Interest Payment 875, , of Notes 7, Interest per Note * If on the First Optional Redemption Date, the relevant classes of Notes have not been redeemed in full, the applicable margins on the relevant Classes of Notes will reset.

3 Reporting period: September 20, 2011 until December 20, 2011 Quarterly Calculation Period: 01-Sep-11 until 01-Dec-11 Quarterly Calculation Date: 3 business day's prior to QPD Quarterly Payment Date: 20-Dec days Interest Determination Date: 2 business day's prior to QPD Loan Portfolio Amounts Sep-11 Oct-11 Nov-11 Outstanding principal 206,861, ,026, ,647,994 Scheduled Principal 62,318 62,035 61,149 Prepayments 285, ,613 94,675 Further advances Defaulted Loans - Loans repurchased by the seller 4,487,172 5,694,669 5,968,584 Replacements/substitution Total after substitution 202,026, ,647, ,523,586 Realised Losses (Net of Post-foreclosure proceeds) this quarter Please note that within a short notice a claim is going to be filed with the NHG guarantee fund ("Stichting WEW"), which shall cover the abovementioned loss. Construction deposits Amount of Construction Deposit Obligations Sep-11 Oct-11 Nov-11 Amount of construction deposit start of month: -2,980-2,991-3,001 Changes Total end of month: -2,991-3,001-3,011 Quarterly Cash Flows Notes Interest Available Amount: i) Interest on Mortgage Receivables (including interest penalties, excluding prepayment penalties) 2,115, ii) Interest on Issuer Collection Account and Reserve Account 29, iii) Net Proceeds on Mortgage Receivables (non-principal) - iv) Liquidity Facility drawings - v) Amounts drawn or released from the Reserve Account - vi) Swap receivable amount 1,526, vii) Repurchase Amounts (non-principal) - viii) Sales Amounts (non-principal) - ix) Post foreclosure proceeds on Mortgage Receivables 1, x) Other available amounts not relating to principal - xi) less Transfer or return amounts of Excess Swap collateral or Collateral amounts - xii) less an amount equal to 10% of the annual fee due and payable by the Issuer to - Directors minus CIT due and payable (1st Q in the year) Total NOTES INTEREST AVAILABLE AMOUNT 3,673, Interest Priority of Payments: a) Fees & Expenses Directors and Trustee ** - b) Fees & Expenses Administrator and MPT Provider ** 49, c) Fees & Expenses Third Parties incl Liquidity Facility amounts due and payable ** 3, d) Swap amounts due and payable ** 2,218, e) Interest due & unpaid Senior Class A Notes** 875, f) Making good Class A Pincipal Deficiency Ledger - g) Reserve Account Deposits & Replenishments - h) Interest due & unpaid subordinated Class B Notes ** 45, i) Liquidity Facility Subordinated Amounts due (if any) - j) Swap Subordinated Amounts due - k) Principal amounts due Class B Notes (only after full redemption of A notes) - l) Interest Subordinated Loan 9, m) Deferred Purchase Price 471, Total of Interest Amount Payments 3,673, ** Shortfall in these items can be met with Liquidity Facility drawings Notes Redemption Available Amount i) Repayments and Prepayment of Principal 1,031, ii) Net proceeds (principal related) - iii) Repurchases of MR (principal ) - iv) Amounts from Prepayments pursuant to Trust Deed 16,293, v) Principal Deficiency Ledger amounts credited - vi) Savings participation increase 10, vii) Any amounts received from the Construction account - retained amounts preceeding QPD 2, Total of Available Redemption Funds 17,338, Principal Priority of Payments: a) Class A due, until fully redeemed 17,337, d) Class B due, until fully redeemed - c) Redemption Subordinated Loan - Retained amounts due to rounding Total Principal Priority of Payments 17,338,145.93

4 Reporting period: September 20, 2011 until December 20, 2011 Additional Information TRANSACTION ACCOUNTS Issuer Collection Account Balance at the beginning of reporting period 2,910 Payments to bankaccount 12,154,920 Received interest 13,271 Payments from bankaccount during period 12,154,920 Balance at the end of reporting period 18,946 Reserve Account Target Balance 5,340,000 Rounding 10,000 Balance at the beginning of reporting period - Payments to Reserve Fund 5,350,000 Received interest 15,790 Payments from Reserve Fund 15,790 Balance at the end of reporting period 5,350,000 Construction Deposit Account Balance at the beginning of reporting period 2,950 Payments to bankaccount 52 Received interest 9 Payments from bankaccount during period Balance at the end of reporting period 3,011 Liquidity Facility (364 days) Available amount 2,653,382 Liquidity Facility drawn amount - Interest due on drawn amount - Interest payment on drawn amount - Repayment of drawn amount - Balance of the Liquidity Facility at end reporting period - Interest due after payment - Swap information Type of product Counterparty Notional amount Swap Margin Interest Rate Swap Bank of Scotland PAO of all Notes 49 base points Amortization of the Notes Class A of Notes 7,120 Outstanding Balance beginning of the period 206,864,480 Outstanding Balance end of the period 189,527,280 Interest rate % Rating Moody's Aa2 PDL Analysis Class A Previous Balance 0 PDL Additions 0 PDL Removals 0 Final Balance 0 Class B of Notes 107 Outstanding Balance beginning of the period 5,350,000 Outstanding Balance end of the period 5,350,000 Interest rate % Rating Moody's PDL Analysis Class B Previous Balance 0 PDL Additions 0 PDL Removals 0 Final Balance 0

5 Reporting period: September 20, 2011 until December 20, 2011 Trigger Events & Mortgage loans criteria (summary) Reserve Fund: Required Balance Calculation Closing Date Calculation Date Current Balance 5,350,000 Target Balance 5,340,000 Key Characteristics of the Mortgage Pool (summary) As per As per Closing of Loanparts 4,560 2,326 2,328 1,195 Min Coupon 3.05% 3.25% Max Coupon 6.20% 5.90% Weighted Average Coupon 4.08% 4.36% Weighted Average Seasoning (Months) Weighted Average Maturity (Months) Original Balance 379,244, ,024,267 Outstanding Principal Balance 357,614, ,523,586 Savings Participation 1,614,194 3,447,787 Principal Balance 356,000, ,523,586 Average Balance by Borrower 161, ,597 Maximum Loan Value 249, ,000 Current Loan-to-Value (Recorded Foreclosure Value) % % Current Loan-to-Value (Indexed Recorded Foreclosure Value) % 99.90% Current Loan-to-Value (Estimated Fair Market Value) 99.10% 95.84% Current Loan-to-Value (Indexed Estimated Fair Market Value) 90.14% 89.07% Notification Events Closing Date Calculation Date Events of Default relating to Issuer None None Events of Default relating to Originator and or Swap Counter Party None None Bank of Scotland as Liquidity Facility Provider Original Ratings Current Ratings Short-Term Rating of Counterparty (Moody's/Fitch) P-1/F1+ P-1/F-1+ Long-Term Rating of Counterparty (S&P) AA- A+ Rating Trigger (Moody's/Fitch/S&P) P-1/F1/A+ N.A. Bank of Scotland as Swap Counter Party Required Ratings Current Ratings Short-Term Rating Trigger (Moody's/Fitch/S&P) P-2/F1/A-1 P-1/F1+/A-1 Long-Term Rating Trigger (Moody's/Fitch/S&P) A2*/A/A* A1/AA-/A+ Current Rating of Swap Counter Party (Moody's/Fitch/S&P) A2*/A/A* A1/AA-/A

6 Quarterly Information Report Realized as of: 31 August 2011 TABLE A Principal Balance of Loan parts Year of origination 2000 Q2 126, % % Q3 33, % % Q4 336, % % Q1 139, % % Q2 346, % % Q3 73, % % Q4 218, % % Q1 341, % % Q2 511, % % Q3 348, % % Q1 1,057, % % Q2 828, % % Q3 1,518, % % Q4 2,001, % % Q1 4,371, % % Q2 27,934, % % Q3 14,607, % % Q4 3,476, % % Q1 3,392, % % Q2 4,596, % % Q3 16,869, % % Q4 27,142, % % Q1 10,803, % % Q2 4,450, % % Q3 3,491, % % Q4 21,991, % % Q1 17,659, % % Q2 13,551, % % Q3 7,304, % % WA/TOTAL: 189,523, % 2, % TABLE B of Loan parts Afloswijze Annuity 2,783, % % Interest only 79,879, % 1, % Investment 1,315, % % Life 931, % % Savings 3,431, % % Savings/Life 23,715, % % Unit Linked 77,465, % % WA/TOTAL: 189,523, % 2, % TABLE C of Loan parts Range of interest rates 2.5% <= r < 3.5% 5,819, % % % <= r < 4.5% 90,328, % % % <= r < 5.5% 91,392, % % % <= r < 6.5% 1,982, % % WA/TOTAL: 189,523, % 2, % TABLE D of Loan parts Range of Years ,865, % % ,521, % % ,624, % % ,476, % % <= interest reset date < 2 116,292, % 1, % <= interest reset date < 2 15,366, % % <= interest reset date < 2 8,298, % % <= interest reset date < 2 487, % % <= interest reset date < 2 3,590, % % WA/TOTAL: 189,523, % 2, %

7 Quarterly Information Report Realized as of: 31 August 2011 TABLE E of Loan parts Range of Years maturity < , % % <= maturity < , % % <= maturity < ,678, % % <= maturity < ,674, % % <= maturity < ,304, % % <= maturity < ,527, % 1, % WA/TOTAL: 189,523, % 2, % TABLE F Loan Size loan size < 50, , % % ,000 <= loan size < 100,000 9,153, % % ,000 <= loan size < 150,00 50,522, % % ,000 <= loan size < 200,00 76,629, % % ,000 <= loan size < 250,00 51,504, % % ,000 <= loan size < 300,00 1,556, % % TABLE G Provincie Unknown 1,220, % % Zeeland 2,327, % % Drenthe 5,551, % % Groningen 6,678, % % Friesland 6,907, % % Flevoland 7,120, % % Limburg 10,209, % % Overijssel 12,400, % % Utrecht 13,779, % % Gelderland 17,231, % % Noord-Brabant 19,957, % % Noord-Holland 29,992, % % Zuid-Holland 56,146, % % TABLE H Region of income Aggregate Outstanding Principal Amount income < 10, , % % ,000 <= income < 20,000 2,798, % % ,000 <= income < 30,000 30,616, % % ,000 <= income < 40,000 52,463, % % ,000 <= income < 50,000 57,382, % % ,000 <= income < 60,000 30,444, % % ,000 <= income < 70,000 11,351, % % ,000 <= income < 80,000 3,384, % % ,000 <= income < 100, , % % ,000 <= income < 150, , % %

8 Quarterly Information Report Realized as of: 31 August 2011 TABLE I Employment Status (early) retirement 333, % % Full time permanent employme 158,094, % % Full time temporary employme 18,960, % % Other 215, % % Part time permanent employm 5,839, % % Part time temporary employme 1,386, % % Self employed 4,693, % % WA/TOTAL: 189,523, % 1, % TABLE J Range of DTI Aggregate Outstanding Principal Amount No data 276, % % DTI <= 10% 757, % % % < DTI <= 15% 4,023, % % % < DTI <= 20% 15,611, % % % < DTI <= 25% 54,590, % % % < DTI <= 30% 76,404, % % % < DTI <= 35% 32,665, % % % < DTI <= 40% 3,883, % % % < DTI <= 50% 629, % % % < DTI <= 60% 680, % % TABLE K Property Types Condominium 52,763, % % Condominium with garage 269, % % Farm house 311, % % MVE/MGE property 170, % % Single family house 111,669, % % Single family house with garag 24,123, % % timber framed house 217, % % TABLE L Range of Loan-to-Value LTV < 25% 572, % % % <= LTV < 50% 4,560, % % % <= LTV < 60% 5,030, % % % <= LTV < 70% 4,283, % % % <= LTV < 80% 7,724, % % % <= LTV < 90% 10,730, % % % <= LTV < 100% 15,151, % % % <= LTV < 105% 8,978, % % % <= LTV < 110% 16,639, % % % <= LTV < 115% 22,489, % % % <= LTV < 120% 29,587, % % % <= LTV < 125% 41,476, % % % <= LTV < 130% 16,576, % % % <= LTV < 135% 4,343, % % % <= LTV < 140% 839, % % % <= LTV < 145% 238, % % % <= LTV < 150% 179, % % % <= LTV < 165% 121, % %

9 Quarterly Information Report Realized as of: 31 August 2011 TABLE M Range of Loan-to-Value Aggregate Outstanding Principal Amount LTV < 25% 623, % % % <= LTV < 50% 6,343, % % % <= LTV < 60% 4,718, % % % <= LTV < 70% 6,479, % % % <= LTV < 80% 10,226, % % % <= LTV < 90% 13,536, % % % <= LTV < 100% 28,766, % % % <= LTV < 105% 23,634, % % % <= LTV < 110% 31,965, % % % <= LTV < 115% 28,449, % % % <= LTV < 120% 15,641, % % % <= LTV < 125% 11,433, % % % <= LTV < 130% 5,244, % % % <= LTV < 135% 1,842, % % % <= LTV < 140% 258, % % % <= LTV < 145% 121, % % % <= LTV < 150% 238, % % TABLE N Range of Loan-to-Value Aggregate Outstanding Principal Amount LTV < 25% 802, % % % <= LTV < 50% 7,606, % % % <= LTV < 60% 5,215, % % % <= LTV < 70% 7,565, % % % <= LTV < 80% 11,848, % % % <= LTV < 90% 17,430, % % % <= LTV < 100% 32,251, % % % <= LTV < 105% 29,779, % % % <= LTV < 110% 37,090, % % % <= LTV < 115% 33,183, % % % <= LTV < 120% 4,937, % % % <= LTV < 125% 1,129, % % % <= LTV < 130% 382, % % % <= LTV < 135% 179, % % % <= LTV < 150% 121, % % TABLE O Range of Loan-to-Value Aggregate Outstanding Principal Amount LTV < 25% 999, % % % <= LTV < 50% 9,210, % % % <= LTV < 60% 6,569, % % % <= LTV < 70% 9,728, % % % <= LTV < 80% 15,615, % % % <= LTV < 90% 31,124, % % % <= LTV < 100% 66,341, % % % <= LTV < 105% 25,961, % % % <= LTV < 110% 12,276, % % % <= LTV < 115% 8,333, % % % <= LTV < 120% 2,449, % % % <= LTV < 125% 553, % % % <= LTV < 130% 121, % % % <= LTV < 135% 238, % %

10 Reporting period: September 20, 2011 until December 20, 2011 Delinquency Breakdown of Percentage of Principal Balance Percentage of Total Delinquency status Delinquent Loans of Delinquent Principal Outstand. Arrears Outstanding (1) Loans of the Loans (1) amount(1) <= 1 month delinquent % 5,669, % 16,981 1 <= 2 months delinquent % 565, % 3,000 2 <= 3 months delinquent % 444, % 4,541 3 <= 4 months delinquent % % - 4 <= 5 months delinquent % 342, % 5,624 5 <= 6 months delinquent % % - > 6 months delinquent % % - TOTAL % 7,022, % 30,146 Default Statistics CPR Statistics Percentage of Principal Balance Percentage of Realized Losses Post foreclosure Post foreclosure Defaulted during of Scheduled Balance during the proceeds proceeds as a % the Period Performing Loans Defaulted of Performing reporting period during the reporting of PAO Outstanding (2) during period Loans (2) on period on on Defaulted Defaulted Loans Defaulted Loans Loans (2) % % 0 1,550 N/A Percentage of Principal Balance Percentage of Realized Losses Post foreclosure Post foreclosure Defaulted since Defaulted Scheduled since Closing proceeds proceeds as a % Closing at Closing since Closing at Balance on Defaulted Loans since Closing of PAO Defaulted Date at Closing on Defaulted Loans on Defaulted Loans (3) % 1,193, % 361, , % Sep-11 Oct-11 Nov-11 Current month 24.44% 31.70% 31.47% Rolling average last 3 months 19.71% 24.69% 29.29% Rolling average last 12 Months 15.45% 17.44% 18.96% (1) at the end of the quarter (2) at the beginning of the quarter (3) since Closing Date

11 Transaction Parties Issuer Security Trustee Candide Financing 2007 NHG B.V. Stichting Security Trustee Candide Fred. Roeskestraat 123 Financing 2007 NHG 1076 EE Amsterdam Fred. Roeskestraat EE Amsterdam Listing Agent ABN AMRO Bank N.V. Company Administrator Gustav Mahlerlaan 10 ATC Financial Services 1082 PP Amsterdam Fred. Roeskestraat EE Amsterdam Seller Legal Adviser to the Managers Bank of Scotland, Amsterdam Branch NautaDutilh N.V. De Entrée 254 Strawinskylaan EE Amsterdam 1077 AV Amsterdam MPT Provider Bank of Scotland, Amsterdam Branch Allen & Overy LLP De Entrée 254 Apollolaan EE Amsterdam 1077 AB Amsterdam Legal Adviser to the Seller and the Issuer Paying Agent and Reference Agent Auditors Royal Bank of Scotland N.V. PricewaterhouseCoopers N.V. Kemelstede 2 P.O. Box ST Breda 1006 BJ Amsterdam Swap Counter Party Bank of Scotland, Amsterdam Branch Liquidity Facility Provider Bank of Scotland, Amsterdam Branch De Entrée 254 De Entrée EE Amsterdam 1101 EE Amsterdam