Loan Invest N.V., SME Loan Invest 2017

Transcription

1 KBC Bank NV Administrator Havenlaan Brussels Belgium t: f: Loan Invest N.V., SME Loan Invest 2017 euro 3,920,000,000 floating rate SME Loan Backed Notes due 2052 Investor Report Reporting period: March 2018 Page 1 of 9

2 MONTHLY CALCULATION REPORT Floating Rate Interest Period : 28/02/ /03/2018 Monthly Total The Loan Portfolio Loans Beginning of Period 47,484 47,484 Matured Prepaid Loans Repurchased Loans 0 Defaulted Loans during period 8 8 Defaulted Loans reopend to normal 0 0 End of month 46,492 46,492 Delinquent Receivables at the end of the Monthly Calculation Period Principal Amount of SME Beginning of Period 4,669,776, ,669,776, Scheduled Principal collected 66,820, ,820, Full Prepayments 11,069, ,069, Partial Prepayments 15, , Principal of repurchased Principal of Defaulted Loans during the period 1,643, ,643, Full Prepayment difference (principal) 0.00 Reopening of defaulted (default becomes normal again) Interest capitalisation (interest becomes principal) End of Period 4,590,228, ,590,228, Principal of Delinquent Loans at the end of the Calculation Period 3,774, ,774, Net Principal Balance of Defaulted Loans at the end of the Calculation period (net after recovery) 11,060, ,060, Write-off defaulted -3, , Net Principle Proceeds on 76, Balance of Non Defaulted Loans 4,590,228, ,590,228, Balance of Non Delinquent Loans 4,586,453, ,586,453, Balance of reopened Loans 0.00 Page 2 of 9

3 Cash Flows Floating Rate Interest Period : 28/02/ /03/2018 Monthly Total Monthly Cash Flows Principal Available Amount: Previously Principal Available Amount 7, , Principal Receipts Repayment of principal 66,820, ,820, Prepayment in full of principal 11,069, ,069, Partial prepayment of principal 15, , Repurchase by the seller Receipts Principal from sale of Issuer assets Net principle proceeds on 76, , Amounts to be used as indemnity for losses of scheduled principal as a result of Conmingling Risk and/or Set-Off Risk Amounts to be credited to the Principal Deficiency Ledger 1,643, ,643, Principal Available Amount 79,632, ,632, Notes Interest Available Amount Revenue Receipts Interest, including penalty interest, on SME Receivables 11,288, ,288, Interest accrued on the Transaction Account 0.00 Prepayment Penalties under the SME Loans 0.00 Net Proceeds on any SME Loans 3, , Amounts to be drawn from the Reserve Account on MPD 0.00 Amounts to be received from the Swap on MPD 1,100, ,100, Amounts received in connection to a repurchase pursuant MRPA 0.00 Amounts received in connection with a sale of SME receivables pursuant Plegde Agreement 0.00 Amounts received as post-foreclosure proceeds 0.00 Any interest amount standing to the credit of the Issuer Collection Account 0.00 Amounts used as indemnity for losses of scheduled interest on SME Receivables (as a result of Liquidity Shortfall Risk and/or Conmingling Total Note Interest Available Amount 12,392, Page 3 of 9

4 Floating Rate Interest Period : 28/02/ /03/2018 Monthly Total Swap Calculation with A Loan Invest Pays: (A-B)*C 6,605, the sum of the aggregate amount of interests received during the preceding Monthly Calculation Period 11,288, the interest accrued on the transaction accounts 0.00 the amounts received in respect of Prepayment penalties 0.00 the amounts received in connection with a repurchase of SME Receivables 0.00 the amounts received in connection to a sale of SME Receivables 0.00 Total A 11,288, B less 0,25% Excess Margin on a monthly basis applied to the aggregate outstanding amount of SME receivables (ex defaulted and delinquent) 972, the operating expenses set out in items (i) to (iv) in the Interest Priority of Payments 201, Total B 1,174, C multiplied by the ratio of: the princpal outstanding amount of the Notes 3,267,801, minus the of the Notes Principal Deficiency Ledger 0.00 divided by the result of the Principal Amount of the Notes minus the of the Notes Princpal Deficiency Ledger 3,267,801, plus the outstanding amount of the Subordinated Loan 1,736,000, minus the outstanding amount on the Subordinated Loan Principal Deficiency Ledger 0.00 Total C Loan Invest Receives: (D*E) 1,100, with D 1 month Euribor (Actual/360) % plus spread 0.750% Total D 0.379% E multiplied by the Principal Amount of the Notes 3,267,801, minus the of the Notes Principal Deficiency Ledger 0.00 Total E 3,267,801, Swap Payment Date 16/04/ /04/2018 Swap Collateral Amount Collateral Amount Collateral at the end of the month Collateral Type securities/cash Page 4 of 9

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6 Floating Rate Interest Period : 28/02/ /03/2018 Monthly Total Monthly Cash Flow Allocation Principal Principal Available Amount 79,632, ,632, Following Amortisation or Optional redemption Notes Subordinated Loan Expenses on Subordinated Loan Interest Total Funds Available 12,392, Issuers Directors Administrator Security Agent Other Issuer fees NBB FSMA Servicing 201, , Legal advisor Auditor PWC administration fee Paying Agent corporate admin fee Calculation Agent CBF-annual fee Other Issuer Costs and Expenses Bank Charges Rating Agency Rent: Accesso Social security / Taxes Pari-passu Class A notes interest due and payable 1,100, ,100, Swap Counterparty payments 6,605, ,605, Principal Deficiency - Notes Payment to Reserve Fund for replenishment Interest on Subordinated Loan 813, , Principal Defeciency - Subordinated loan 1,643, ,643, Payment to Risk Mitigation Deposit for replenishment Swap Counterparty Default Payment Interest and Principal on Expense Subordinated Loan Dividends to Shareholders DPP 2,027, ,027, Page 6 of 9

7 Floating Rate Interest Period : 28/02/ /03/2018 Monthly Total Capital structure Notes Notes 15, at the beginning of the month 3,267,801, at the end of the month 3,212,057, Bond - Factor at the beginning of the month Bond - Factor at the end of the month Annual interest rate for the period % Interest payable for the mon16/04/2018 1,100, Rating (Moody's) Aaa(sf) Rating (Fitch) AAAsf Subordinated Loan at the beginning of the month 1,455,824, at the end of the month 1,431,945, Lening - Factor at the beginning of the month 0.84 Lening - Factor at the end of the month 0.82 Annual interest rate for the period % Interest payable for the mon16/04/ , Reserve Fund Balance at the beginning of the month 56,000, Payment from the Reserve Fund at the end of the month 0.00 Payment to the Reserve Fund at the end of the month 0.00 Balance at the end of the month 56,000, Expense Subordinated Loan Balance at the beginning of the month Amount Repaid Balance at the end of the month Risk Mitigation deposit Balance at the beginning of the month 0.00 Increase or decrease 0.00 Balance at the end of the month 0.00 Page 7 of 9

8 Floating Rate Interest Period : 28/02/ /03/2018 Monthly Total Balance Sheet Assets principal amount of SME Loans (end of period) 4,590,228, ,590,228, Reserve Fund (end of period) 56,000, ,000, Cash on account after roll over 9, , Total 4,646,237, ,646,237, Liabilities Notes outstanding at the end of period 3,212,057, ,212,057, Subordinated Loan outstanding at the end of the period 1,431,945, ,431,945, Expenses Subordinated Loan oustanding at the end of period Total 4,644,003, ,644,003, Performance data Defaults and delinquencies Cumulative Gross Defaults at the beginning of the period 11,748, Principal of Defaulted Loans during the period 1,643, Cumulative Gross Defaults at the end of the period 13,392, ,392, Cumulative Gross Defaults as % of original loan (%) % % Cumulative Gross Defaults as % of current loan (%) % % Aggregate amount of Delinquent Loans 3,774, ,774, Current Delinquencies as % of initial loan (%) % % Current Delinquencies as % of current loan (%) % % Principal Deficiency Ledger (PDL) PDL at the beginning of the period 0.00 Amounts to be credited to the Principal Deficiency Ledger -1,643, Interest waterfall payment to the PDL 1,643, Balance of the PDL at the end of the period 0.00 Subordinated Loan PDL 0.00 Notes PDL 0.00 Page 8 of 9

9 Floating Rate Interest Period : 28/02/ /03/2018 Monthly Total Default Statistics Loans Defaulted during the Monthly Calculation Period Current Balance of Loans Defaulted during period Percentage of Balance of the Loans (% of total amount) 8 1,643, % Recovery Statistics Recoveries on Defaulted since closing Recoveries as a percentage of Principal on Defaulted Loans (%) 54, % Prepayments as a % of current for reference period Annualised % % % Counterparty Rating KBC Bank as the Seller, Servicer, Subordinated Loan Provider, Administrator, Paying Agent, Domiciliary Agent, Listing Agent, Reference Agent and Swap Counterparty DBRS Fitch Long term rating A A Short term rating R-1L F1 DBRS Fitch Long term rating Aaa(sf) AAA(sf) The Notes issued by Loan Invest NV/SA, institutionele VBS naar Belgisch recht/sic institutionnelle de droit belge, acting through its Compartment SME Loan Invest 2017 (the "Notes") are only offered, directly or indirectly, to and may only be acquired, by direct subscription or otherwise, and may only be held by holders ( Eligible Holders ) who qualify both as (i) an institutional or professional investor within the meaning of Article 5, 3 of the Belgian Act of 20 July 2004 on certain forms of collective management of investment portfolios (wet betreffende bepaalde vormen van collectief beheer van beleggingsportefeuilles / loi relative à certaines formes de gestion collective de portefeuilles d investissement), acting for their own account, and (ii) a holder of an exempt securities account (X-account) with the Clearing System operated by the National Bank of Belgium or with a participant in such system. Any acquisition of a Note by or transfer of a Note to a person who is not an Eligible Holder shall be void and not binding on the Issuer and the Security Agent. If a Noteholder ceases to be an Eligible Holder, it is obliged to report this to the Issuer and it will promptly transfer the Notes it holds to a person that qualifies as an Eligible Holder. Each payment of interest on Notes of which the Issuer becomes aware that they are held by a holder that does not qualify as an Eligible Holder will be suspended. Upon issuance of the Notes, the denomination of the Notes is EUR 250,000. The Notes are not being offered in the United States or to, or for the account of, U.S. persons (as defined in Regulation S under the United States Securities Act of 1933). Notes having a maturity of more than one year will be issued in compliance with U.S. Treasury Regulation Section (c)(2)(i)(C) (the C Rules ) Page 9 of 9

10 Intertrust Capital Markets Amstel Building Prins Bernhardplein JB Amsterdam The Netherlands Tel. +31(0) Fax +31(0) Website: Loan Invest N.V., Compartment SME Loan Invest 2017 euro 3,920,000,000 floating rate SME Loan Backed Notes due 2052 Portfolio Composition Reporting period: March 2018

11 Summary Average outstanding Date debtors / borrower 31/03/ ,544 46,492 4,590,228, ,650.75

12 Origination date Origination date % % ,285, % % ,557, % % ,372, % 1, % ,740, % 1, % ,106, % 1, % ,582, % 2, % ,281, % 2, % ,272, % 2, % ,558, % 3, % ,715, % 3, % ,662, % 2, % ,415, % 5, % ,823, % 8, % ,054,033, % 10, % ,819, % 1, % Initial maturity (months) Initial maturity % % 0 < initial maturity <= ,297, % 21, % 60 < initial maturity <= 120 1,102,294, % 11, % 120 < initial maturity <= 180 1,633,802, % 8, % 180 < initial maturity <= 240 1,099,047, % 4, % 240 < initial maturity <= ,594, % % 300 < initial maturity <= 360 6,125, % % 360 < initial maturity <= , % % Seasoning (months) Seasoning % % 0 < seasoning <= 60 3,375,761, % 35, % 60 < seasoning <= ,915, % 8, % 120 < seasoning <= ,084, % 2, % 180 < seasoning <= , % % Final maturity date Maturity date % % 2015 < maturity date <= ,433, % 20, % 2020 < maturity date <= ,391,475, % 14, % 2025 < maturity date <= ,559,311, % 7, % 2030 < maturity date <= ,338, % 3, % 2035 < maturity date <= ,176, % % 2040 < maturity date <= ,572, % % 2045 < maturity date <= , % %

13 Principal payment frequency Principal payment frequency % % Monthly 3,879,324, % 42, % Quaterly 318,479, % % Semi annualy 67,931, % % Annual 256,920, % 2, % Bullet 67,571, % % Principal payment type Principal payment type % % Linear 1,543,183, % 14, % French 2,920,760, % 31, % Bullet 126,283, % %

14 Interest rate Interest rate % % 0 < interest rate <= 0.5 4,157, % % 0.5 < interest rate <= 1 140,539, % % 1 < interest rate <= ,066, % 3, % 1.5 < interest rate <= 2 1,285,617, % 13, % 2 < interest rate <= ,292, % 8, % 2.5 < interest rate <= 3 404,508, % 5, % 3 < interest rate <= ,114, % 3, % 3.5 < interest rate <= 4 303,372, % 3, % 4 < interest rate <= ,775, % 2, % 4.5 < interest rate <= 5 334,805, % 3, % 5 < interest rate <= ,833, % 2, % 5.5 < interest rate <= 6 119,091, % 1, % 6 < interest rate <= ,450, % % 6.5 < interest rate <= 7 4,231, % % 7 < interest rate <= , % % 7.5 < interest rate <= 8 1,087, % % 8 < interest rate <= , % % 8.5 < interest rate <= 9 23, % % Interest rate review code Interest reset period % % Annual 377,261, % 2, % Not apply 2,589,697, % 32, % Other 1,623,268, % 10, % Interest payment frequency Interest payment frequency % % Monthly 3,862,263, % 42, % Quaterly 395,608, % 1, % Semi annualy 76,537, % % Annual 255,819, % 2, % Bullet % %

15 Current Current % % 0 < current <= ,049,547, % 42, % < current <= ,168, % 2, % < current <= ,291, % % < current <= ,557, % % < current <= ,053, % % < current <= ,387, % % < current <= ,300, % % < current <= ,213, % % < current <= ,280, % % < current <= ,430, % % < current <= ,972, % % < current <= ,318, % % < current <= ,334, % % < current <= ,152, % % < current <= ,986, % % < current <= ,648, % % < current <= ,756, % % < current <= ,538, % % < current <= ,004, % % < current <= ,553, % % < current <= ,339, % % < current <= ,620, % % < current <= ,000, % % < current <= ,375, % % < current <= ,571, % % < current <= ,634, % % < current <= ,220, % % < current <= ,257, % % < current <= ,600, % % < current <= ,000, % % < current <= ,368, % % < current <= ,250, % % < current <= ,000, % % < current <= ,494, % %

16 Loan purpose Loan purpose % % ND 2,209, % % Purchase 3,277,497, % 35, % Re-mortgage 459,342, % 2, % Renovation 271,623, % 4, % Construction Real Estate 42,488, % % Construction Other 333, % % Debt consolidation 51,398, % % Re-mortgage on Different Terms 8,502, % % Investment Mortgage 222,732, % 1, % Working Capital 228,982, % 2, % Other 25,116, % % Region Region % % Flanders 4,006,365, % 42, % Wallonië 224,206, % 2, % Brussels 359,656, % 2, % Borrower PD class PD % % ,444, % 3, % ,850, % 9, % ,707, % 6, % 04 1,061,169, % 9, % ,270, % 6, % ,685, % 4, % ,708, % 3, % ,214, % 1, % ,814, % 1, % 10 26,160, % % 11 11,931, % % , % % Borrower segment Segment % % BDR 653,649, % 1, % PLN 3,936,578, % 45, % Industry Industry % % Services 1,220,788, % 11, % Real estate 701,727, % 3, % Distibution 689,606, % 7, % Agriculture, farming, fishing 644,774, % 9, % Building & construction 302,930, % 5, % Horeca 216,539, % 2, % Finance and insurance 203,419, % 1, % Automotive 113,363, % 1, % Food producers 94,362, % % Metals 66,081, % % Shipping 59,124, % %

17 Authorities 37,098, % % Electricity 35,962, % % Traders 35,333, % % Timber & wooden furniture 31,745, % % Chemicals 23,235, % % Textile & apparel 16,547, % % Sector unknown 16,543, % % Electrotechnics 15,594, % % Machinery & heavy equipment 15,504, % % Media 14,612, % % IT 13,130, % % Beverages 7,996, % % Consumer products 5,358, % % Water 3,884, % % Paper & pulp 3,052, % % Telecom 1,112, % % Aviation 781, % % Oil, gas & other fuels 14, % %

18 Exposure to 20 biggest borrowers Borrower % % JU;U[2L<T&EBUNV+)M](` 21,494, % % AL>#.+&:^=_9=-V^Q*< 18,634, % % PCW[[7M&9^'97]O$_0)#R 18,566, % % N1^"+L2$,.HQC9DS?C;/& 18,000, % % I'!?)91$01%^FHN)Y;W'O, 16,250, % % JLYKK7T.&3\64I0!6K[IQ( 13,000, % % I(ZD1#NF8H`U&4#\UK7[ 11,368, % % FUJD%H020B"V)=AW<,!= 11,000, % % HSW%S)(^#S3H/I*7_];F 11,000, % % P5I?AR8P3NK>?[7"@PB0> 10,257, % % F+CF>M>H/@31;BS*JU$ 10,228, % % OD"LZ!M_)8.Y;>>/ZG*F^ 10,220, % % B)Y)NGK:-;^\<@%QNM;X 9,681, % % P,=8CRS9C*?E!1\$_B,'1! 9,435, % % NJ%%VC=37Z0A:OJ8"X= 9,019, % % K:AFB\'42OS7^-7*4T=_P, 8,887, % % C:$95(99T#62SS^5[48S% 8,122, % % NRFHKET5[-J^((1;(PS)N% 7,283, % % I[(0:5,;P,RZ<BN+!;S]Y, 6,804, % % Others 4,360,974, % 46, %