Dutch Mortgage Portfolio Loans VI B.V. Quarterly Information Report Report period: 28 April July 2015

Transcription

1 Quarterly Information Report Report period: 28 April July 2015 AMOUNTS ARE IN EURO This report is in compliance with the European Securitisation Forum RMBS Issuer Principles for Transparency and Disclosure, Version 1.0 december 2008 Intertrust Management B.V. Prins Bernhardplein 200, 1097 JB Amsterdam, The Netherlands T +31 (0) F +31 (0) E securitisation@intertrustgroup.com W cm.intertrustgroup.com 1 of 25

2 Bond Report (1) Tranche Class Name Class A General information ISIN Code NL Common code NL Security code Stock Exchange Listing(s) Irish Stock Exch. Currency EUR Number of Notes Interest Payment Date 27/Jul/2015 Principal Payment Date 27/Jul/2015 Class M Class B NL NL NL NL Irish Stock Exch. Irish Stock Exch. EUR EUR /Jul/ /Jul/ /Jul/ /Jul/2015 Principal information Original Principal Balance 653,100, ,000, ,000, Balance before Payment (BBP) 475,846, ,000, Principal Payments 9,391, Balance after Payment 466,455, ,000, Bal. before Payment (BBP) Per Note 36, , Previous Factor Principal Payments Per Note Balance after Payment Per Note 35, , Current Factor Interest information Accrual Start Date 28/Apr/2015 Accrual End/Report/Record Date 27/Jul/2015 Accrual Period 90 Fixing Date Reference Rate 23/Apr/2015 Reference Rate Euribor_3M Coupon Reference Rate (in %) Relevant Margin * (in bps) 126 Current Coupon (in bps) Convention act/360 Interest Payments 1,496, Interest Payments Per Note /Apr/ /Apr/ /Jul/ /Jul/ /Apr/ /Apr/2015 Euribor_3M Euribor_3M act/360 act/360 47, Other information Expected / Scheduled Maturity Original Life Principal + Interest Payments 10,888, Scheduled Interest Payment 1,496, Current Interest Shortfall 0.00 Cumulative Interest Shortfall 0.00 Original Rating(s) (S&P/Moody's/Fitch/DBRS) AAA (sf) / Aaa (sf) / n.r. (sf) / n.r. (sf) Current Rating(s) (S&P/Moody's/Fitch/DBRS) AAA (sf) / Aaa (sf) / n.r. (sf) / n.r. (sf) PDL Balance Previous Payment Date 0.00 PDL Balance Current Payment Date 0.00 Principal Shortfall 0.00 Cumulative Principal Shortfalls 0.00 Legal Maturity 26/Oct/ /Jan/ /Oct/ /Oct/ , , n.r. (sf) / n.r. (sf) / n.r. n.r. (sf) / n.r. (sf) / n.r. (sf) / n.r. (sf) (sf) / n.r. (sf) n.r. (sf) / n.r. (sf) / n.r. n.r. (sf) / n.r. (sf) / n.r. (sf) / n.r. (sf) (sf) / n.r. (sf) /Jan/ /Jan/2041 * up to FORD: 26/Oct/ of 25

3 The Mortgage Portfolio Overview Quarterly Payment Date Quarterly Calculation Date: the 6th business day prior to the Quarterly Payment Date Mortgage Calculation Period: period starting the 1th day up to and including the last day of the same month Quarterly Calculation Period: three successive Mortgage Calculation Periods immediately preceding Quarterly Calculation Date; Number of Loans Number of Loans at the beginning of the period Changes number of Loans -36 Number of Loans at the end of the period Loan Amounts Outstanding Net Mortgage Loans at the beginning of the period 513,879, Net Scheduled Prepayments ,40 Net Unscheduled Prepayments ,06 Further Advances 0,00 Outstanding net Loans at the end of the period before Substitution 504,490, Replacements/ Substitutions 0,00 Outstanding net Loans at the end of the period after Substitution ,90 Subparticipation Outstanding net Loans after Substitution Including Subparticipation ,90 Outstanding Subparticipations at the end of the period after Substitution ,93 Outstanding net Loans after Substitution excluding Subparticipation ,83 Cumulated Losses amount of losses at the beginning of the period 1,646, amount of Losses this period (net of recoveries and Post-Foreclosure Proceeds)) 50, amount of losses at the end of the period 1,697, of 25

4 Interest Waterfall Notes Interest Available Amount (i) as interest on the Mortgage Receivable 5,937, (ii) as interest received on the Transaction Accounts 0.00 (iii) as prepayment and interest penalties under the Mortgage Receivables 194, (iv) as Net Proceeds on any Mortgage Receivables 0.00 (v) as amounts to be drawn from the Liquidity Fund Account 0.00 (vi) as amounts to be drawn from the Reserve Account 0.00 (vii) as amounts to be received from the Interest Swap Counterparty 1,574, (viii) as amounts received in connection with a repurchase of Mortgage Receivables 0.00 (ix) as amounts received in connection with a sale of Mortgage Receivables 0.00 (x) as amounts received as post-foreclosure proceeds on the Mortgage Receivables 0.00 (xi) any (remaining) amounts standing to the credit of the Master Collection Account on the final QPD 0.00 (xii) less; on first QPD of the year an amount for tax purposes 0.00 Notes Interest Available Amount 7,706, Notes Interest Priority of Payments a) Fees or other remuneration due and payable to the Directors 0,00 b) Fees and expenses due and payable to the Issuer Administrator and the Pool Servicer 29, c) Amounts due and payable to third parties under obligations incurred in the Issuer s business 49, d) Amounts required to replenish the Liquidity Fund Account upto the Required Amount 0,00 e) Amounts due to Swap Counterparty 5,638, f) Interest due and payable Senior Class A Notes 1,496, g) Making good of Shortfall in Senior Class A PDL 0,00 h) Sums required to replenish the Reserve Account 0,00 i) Interest due and payable Junior Class M Notes 47, j) Making good of Shortfall in Junior Class M PDL 50, k) Interest due and payable Subordinated Class B Notes 0,00 l) Principal due and payable Subordinated Class B Notes 0,00 m) Swap Counterparty Default Payments 0,00 n) Interest due under the Liquidity Loan Agreement 8, o) Principal due under the Liquidity Loan Agreement 384, interest payment 7,706, of 25

5 Principal Waterfall Notes Principal Available Amount i. Re- and Prepayments Mortgage Receivables 8,897, ii. Net proceeds from Mortgage Receivables (principal) 0.00 iii. Repurchase of Mortgage Receivables pursuant to the MRPA 0.00 iv. Sales of Mortgage Receivables pursuant to Trust Deed 0.00 v. Amounts credited to the PDL's 50, vi. Participation (monthly) Increase pursuant to the Sub Participation Agreement 440, vii. Partial prepayments viii. Any principal excess amounts from Closing 0.00 xi. Any principal amount previously unapplied 4, Notes Principal Available Amount 9,393, Notes Principal Priority of Payments a) Senior Class A Notes principal amounts available 9,391, Further Redemption Ledger 1, Principal Payments 9,393, of 25

6 Additional Information Collection Account Collection Account starting balance 143, Received on bank account ,93 Paid from bank account ,45 Collection Account ending balance ,18 Reserve Account Reserve Account starting balance ,00 Replenishment on Reserve Account 0.00 Received interest 0.00 Drawing from Reserve Account 0,00 Payments from Reserve Account 0,00 Reserve Account ending balance 6,913, Target Reserve Account Balance at end of reporting period 6,913, Liquidity Fund Account Liquidity Fund starting balance ,00 Replenishment Liquidity Fund Account 0.00 Received interest 0.00 Drawing from Liquidity Fund Account 0,00 Payments from Liquidity Fund Account 0,00 Liquidity Fund Account ending balance ,00 Liquidity Fund Required Amount ,00 Liquidity Fund Loan Liquidity Fund Loan, starting balance 3,953, Liquidity Fund Loan, redemption 384, Liquidity Fund Loan, ending balance 3,569, Unpaid interest Liquidity Fund Loan 0 Excess Spread Margin Calculated Excess Spread Margin; plus 444, Interest Reserve Account; plus 0.00 Interest Liquidity Fund Account; plus 0.00 Release Reserve Account; plus 0,00 Recoveries or Post-Foreclosure Proceeds in period; plus 0.00 Change in arrears (interest); less 0.00 Replenishment Liquidity Fund; less 0.00 Realised Losses; less 50,944,72 Interest Class B Notes; less 0.00 Redemption Class B Notes; less 0.00 Interest Liquidity Fund Loan (paid); less 8,875,97 Repayment principal Liquidity Fund Loan; less 384,828,26 Amount 1st QPd year (Tax); less 0.00 Corrections to DPP; less 0,00 Installment DPP 0,00 Excess Spread Margin Percentage (%) 0,0891 Swap information Type of product: - Interest Rate Swap Counterparty: - The Royal Bank of Scotland plc. 6 of 25

7 Notional Amount 513,846,838 Swap Margin (bps) 35 7 of 25

8 Default Statistics Default Statistics current period Number of Loans Defaulted during the Period 1 Percentage of Number of Performing Loans Outstanding (%) 0,04 Principal Balance of Loans Defaulted during the period ,00 Percentage of Scheduled Balance of Performing Loans at the beginning of the period (%) 0,04 Losses on Defaulted Loans 50, Recoveries or Post-foreclosure Proceeds (PfP) on Defaulted Loans 0.00 Recoveries or PfP's as balance Defaulted Loans 0.00 Losses minus Recoveries (Net Losses) 50, Default Statistics since Closing Number of Loans Defaulted since Closing 25 Percentage of Number of Loans at Closing (%) 0.88 Principal Balance of Loans Defaulted since Closing at Defaulted Date 5,121, Percentage of Scheduled Balance at Closing (%) 0.39 amount of Losses since Closing at Defaulted Date 1,697, amount of Recoveries and PfP's since Closing at Defaulted Date 0,00 Recoveries or PfP's since Closing as balance Defaulted Loans (1) 0,00 Losses minus Recoveries (Net Losses) since Closing 1,697, Loss Severity (Cumulative Net Loss divided by Principal Amount of Cumulative Defaults) Definition Defaults: Mortgage loans of which the foreclosure is completed (mortgage property is publicly or privately sold) 1) As a percentage of outstanding balance of all defaulted loans at the defaulted date 8 of 25

9 Constant Prepayment Rate Statistics Life CPR Life CPR, this quarter (%) 5,60 Life CPR, previous quarter (%) 5.55 Rolling 3M CPR (last 3 month's) Rolling 3M CPR, this quarter (%) 6,72 Rolling 3M CPR, previous quarter (%) 7.48 Rolling 12M CPR (last 12 month's) Rolling 12M CPR, this quarter (%) 7,65 Rolling 12M CPR, previous quarter (%) of 25

10 Delinquencies Months 0 0 =< 1 1 =< 2 2 =< 3 3 =< 4 4 =< 5 5 =< 6 > 6 # loans Arrears Amount Mortgage amount # loans Mortgage Amount 2, ,843, % 97.23% 34 26, ,478, % 1.25% 10 8, ,071, % 0.40% 4 3, , % 0.15% 4 7, , % 0.13% 2 4, , % 0.11% % 0.00% , ,879, % 0.75% 2, , ,268, % % Definition Delinquencies: All amounts in Arrear (scheduled principal; scheduled interest; arrears penalties on scheduled amounts in arrear). 10 of 25

11 Triggers And Key Characteristics Notification Events None Mortgage Payment Frequency 1 Information previous period Realised as per Previous Paydate Realised as per 30/6/2015 * Balance by Borrower (EUR) 201, , * Coupon, Maximum * Coupon, Minimum * Coupon, * LTFV, Maximum * LTFV, Minimum * LTFV, * Maximum Loan Value (EUR) 780, ,000 * Number of Loanparts 5,184 5,115 * Number of Loans 2,627 2,591 Triggers Realised as per Closing Date Realised as per 30/6/2015 Reserve Account Balance(Target: ) 33,000, ,913, Counterparty Ratings Moody's (ST/LT) Fitch (ST/LT) S&P (ST/LT) DBRS (ST/LT) Role Floating Rate GIC Provider Interest Rate Swap Counterparty Party N.V. Bank Nederlandse Gemeenten The Royal Bank of Scotland plc (UK) Rating trigger Current rating Rating trigger Current rating Rating trigger Current rating Rating trigger Current rating P1 / P1 / / / A-1 / A A-1+ / AA+ / / P1 / A2 P2 / A3 / / A-1 / A-2 / / / 11 of 25

12 Stratification 1. Key characteristics Principal amount 520,268, Value of savings deposits 15,777, Outstanding principal balance 504,490, Building deposits Outstanding principal balance excl. building and saving deposits 504,490, Number loans 2,591 Number loanparts 5,115 principal balance (borrower) 200, average current interest rate 4.66% average maturity (in years) 8.12 average seasoning (in years) 8.69 average LTFV * 92.41% average LTFV (indexed) * (1) % (*) WAM based on weighted interest period (1) The average loan to indexed foreclosure value is %, whereby LTiFV of guaranteed mortgages is stated at nil percent. 12 of 25

13 2. Redemption Type Description Aflossingsvrije Hypotheek Aggregate Outstanding Not. Amount Nr of Loanparts Coupon Maturity Alternative Savings Annuitaire Hypotheek Annuity 11,592, % % 4.50% Automatische Continuatie Bank Savings Beschermd Vermogen Hypotheek Beurs Hypotheek Bridge Loan Bridge loan Debt Agreement Fixed Mortgage Type Hybrid Hybride Interest only 313,858, % 2, % 4.60% Investment 27,086, % % 4.48% Leven Hypotheek Life 6,125, % % 4.34% Life (external policy) Lineair 635, % % 3.85% Lineaire Hypotheek Linear Mixed Annuity Nationale Nederlanden Opmaat Hypotheek Other Other Royal Bridge Royal Future Hypotheek Savings Savings/ Life 52,127, % % 5.10% Spaar Hypotheek Spaar Hypotheek Avéro STAR Aflossingsvrij Switch Unit Linked 108,844, % 1, % 4.72% Universal Life Unknown Vermogens Hypotheek Vrij Vermogen Hypotheek 520,268, % 5, % (*) WAM based on weighted interest period 13 of 25

14 3. Interest Reset Dates From ( > ) Until ( <= ) Aggregate Outstanding Not. Amount Nr of Loanparts Coupon Maturity < ,320, % % 3.30% ,343, % % 4.60% ,540, % % 5.03% ,735, % % 5.00% ,027, % % 3.98% ,636, % % 4.17% ,821, % % 4.80% ,786, % % 5.19% ,282, % % 5.37% ,713, % % 3.99% ,102, % % 3.85% ,069, % % 4.79% ,425, % % 5.17% ,624, % % 5.34% ,166, % % 5.16% ,052, % % 4.79% ,542, % % 4.96% ,105, % % 5.25% , % % 5.34% , % % 5.63% , % % 4.64% ,421, % % 4.89% ,372, % % 5.09% ,401, % % 5.33% > Unknown 520,268, % 5, % 4.66% (*) WAM based on weighted interest period 14 of 25

15 4. Geographical Distribution Province Unspecified Aggregate Outstanding Not. Amount Nr of Loans Coupon Maturity Drenthe 15,096, % % 4.69% Utrecht 49,533, % % 4.69% Zeeland 12,414, % % 4.63% Zuid-Holland 110,797, % % 4.74% Flevoland 14,960, % % 4.64% Friesland 15,799, % % 4.58% Gelderland 61,383, % % 4.67% Groningen 13,404, % % 4.61% Limburg 21,217, % % 4.79% Noord-Brabant 83,029, % % 4.66% Noord-Holland 84,255, % % 4.61% Overijssel 38,376, % % 4.54% ,268, % 2, % (*) WAM based on weighted interest period 15 of 25

16 5. Loan To Original Foreclosure Value ( based on notional / collateral value From ( > ) Until ( <= ) Aggregate Outstanding Not. Amount NHG Garantie 1,102, % % 3.76% < 10% 139, % % 5.02% % 20% 899, % % 4.76% % 30% 3,374, % % 4.78% % 40% 6,322, % % 4.57% % 50% 20,809, % % 4.48% % 60% 33,007, % % 4.65% % 70% 50,410, % % 4.68% % 80% 34,377, % % 4.66% % 90% 81,582, % % 4.60% % 100% 77,012, % % 4.56% % 110% 44,950, % % 4.65% % 120% 105,612, % % 4.76% % 130% 53,688, % % 4.87% % 140% 1,497, % % 4.04% % 150% 2,239, % % 4.09% % > 3,242, % % 4.72% Nr of Loans Coupon Maturity 520,268, % 2, % (*) WAM based on weighted interest period 16 of 25

17 6. Loan To Indexed Foreclosure Value ( based on notional / collateral value From ( > ) Until ( <= ) Aggregate Outstanding Not. Amount NHG Garantie 1,102, % % 3.76% < 10% 63, % % 4.80% % 20% 646, % % 4.76% % 30% 3,240, % % 4.61% % 40% 5,471, % % 4.72% % 50% 11,792, % % 4.47% % 60% 25,141, % % 4.55% % 70% 32,236, % % 4.62% % 80% 41,414, % % 4.69% % 90% 39,024, % % 4.55% % 100% 61,054, % % 4.54% % 110% 61,348, % % 4.58% % 120% 47,430, % % 4.63% % 130% 48,134, % % 4.76% % 140% 79,569, % % 4.78% % 150% 57,965, % % 4.88% % > 4,631, % % 4.59% Nr of Loans Coupon Maturity 520,268, % 2, % (*) WAM based on weighted interest period 17 of 25

18 7. Mortgage Loan Size From ( > ) Until ( <= ) Aggregate Outstanding Not. Amount < , % % 4.79% , % % 4.50% ,990, % % 4.70% ,444, % % 4.51% ,217, % % 4.70% ,675, % % 4.71% ,340, % % 4.66% ,795, % % 4.68% ,839, % % 4.66% ,211, % % 4.66% ,840, % % 4.69% ,719, % % 4.40% > 14,177, % % 4.44% Unknown Nr of Loans Coupon Maturity 520,268, % 2, % (*) WAM based on weighted interest period 18 of 25

19 8. Interest Rate Group From ( > ) < Until ( <= ) 0,5% Aggregate Outstanding Not. Amount Nr of Loanparts Coupon Maturity 0,5% 1,0% 274, % % 0.92% ,0% 1,5% 1,5% 2,0% 2,0% 2,5% 1,022, % % 2.41% ,5% 3,0% 28,795, % % 2.78% ,0% 3,5% 35,967, % % 3.25% ,5% 4,0% 19,547, % % 3.78% ,0% 4,5% 66,771, % % 4.34% ,5% 5,0% 180,872, % 1, % 4.81% ,0% 5,5% 156,806, % 1, % 5.23% ,5% 6,0% 26,832, % % 5.66% ,0% 6,5% 2,623, % % 6.23% ,5% 7,0% 466, % % 6.80% ,0% > 288, % % 7.68% Unknown 520,268, % 5, % (*) WAM based on weighted interest period 19 of 25

20 9. Origination Date From ( >= ) < Until ( < ) 1995 Aggregate Outstanding Not. Amount Nr of Loanparts Coupon Maturity , % % 4.94% , % % 3.57% , % % 3.63% ,927, % % 4.39% ,967, % % 4.14% ,340, % % 4.32% ,804, % % 4.19% ,179, % % 4.47% ,128, % % 4.03% ,418, % % 4.11% ,124, % 1, % 4.47% ,638, % 2, % 4.85% ,295, % % 5.04% > Unknown 520,268, % 5, % (*) WAM based on weighted interest period 20 of 25

21 10. Underlying Property Property Caravan Aggregate Outstanding Not. Amount Nr of Loans Coupon Maturity Condominium Condominium with garage Conversion Farm house Flat/appartment Flat/appartment with garage Garage House/Practice Houseboat MVE / MGE property NRF Property Office space Other property / unknown Recreational home Residential / business property Residential farm Retail property Rural estate Shop / House Shop/private house Single family house Single family house with garage Single garage for flat/appartment Single garage for house Unknown 520,268, % 2, % Unspecified Utility building 520,268, % 2, % (*) WAM based on weighted interest period 21 of 25

22 11. Loan To Income From ( > ) < Until ( <= ) 0,5 Aggregate Outstanding Not. Amount Nr of Borrowers Coupon Maturity 0,5 1,0 1,0 1,5 1,5 2,0 2,0 2,5 2,5 3,0 3,0 3,5 3,5 4,0 4,0 4,5 4,5 5,0 5,0 5,5 5,5 6,0 6,0 6,5 6,5 7,0 7,0 > Unknown 520,268, % 2, % 520,268, % 2, % (*) WAM based on weighted interest period 22 of 25

23 12. Status Main Borrower Description Full-time permanent employment Without occupation Aggregate Outstanding Not. Amount Unknown 520,268, % 2, % Flexiworker ZZP Housewife Full-time employed abroad Part-time temporary employment without notification of employer Full-time temporary employment without notification of employer Part-time permanent employment Geen inkomensbescheiden Full-time temporary employment Part-time temporary employment Independent (Early) retirement Disability Insurance Unemployment benefit Student (*) WAM based on weighted interest period Nr of Loans Coupon Maturity 520,268, % 2, % 23 of 25

24 13. Seasoning From ( >= ) < Until ( < ) 1 Aggregate Outstanding Not. Amount Nr of Loanparts Coupon Maturity ,746, % % 5.21% ,884, % 1, % 4.96% ,109, % 1, % 4.57% ,181, % % 4.29% ,849, % % 3.86% ,154, % % 4.26% ,016, % % 4.29% ,302, % % 4.49% ,902, % % 3.88% ,933, % % 4.50% ,208, % % 4.09% , % % 3.74% , % % 2.55% , % % 4.94% > Unknown 520,268, % 5, % 24 of 25

25 Contact Information Company Administrator Intertrust Administrative Services B.V. Floating Rate GIC Provider N.V. Bank Nederlandse Gemeenten Prins Bernhardplein 200 Koninginnegracht JB Amsterdam 2514 AA The Hague The Netherlands The Netherlands Interest Rate Swap Counterparty The Royal Bank of Scotland plc (UK) Issuer Dutch Mortgage Portfolio Loans VI B.V. 135 Bishopsgate Prins Bernhardplein 200 EC2M 3UR London United Kingdom 1097 JB Amsterdam The Netherlands Legal Advisor to the Arranger Clifford Chance LLP Legal Advisor to the Seller and the Issuer NautaDutilh N.V. Droogbak 1A Strawinksylaan GE Amsterdam 1077 XV Amsterdam The Netherlands The Netherlands Liquidity Loan Provider Achmea Bank N.V. Paying Agent ABN AMRO Bank N.V. (Breda) Lange Houtstraat 8 Kemelstede CW The Hague 4817 ST Breda The Netherlands The Netherlands Pool Servicer Achmea Bank N.V. Reference Agent ABN AMRO Bank N.V. (Breda) Lange Houtstraat 8 Kemelstede CW The Hague 4817 ST Breda The Netherlands The Netherlands Security Trustee Stichting Security Trustee DMPL VI Tax Advisor KPMG Accountants N.V. Prins Bernhardplein 200 Laan van Langerhuize JB Amsterdam 1186 DS Amstelveen The Netherlands The Netherlands 25 of 25