Introduction AeAM Dutch Mortgage Fund 2 Frequently asked questions version: 5 February 2018
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1 Introduction AeAM Dutch Mortgage Fund 2 Frequently asked questions version: 5 February 2018 Note: in this document the AeAM Dutch Mortgage Fund 2 is abbreviated to DMF 2. The AeAM Dutch Mortgage Fund is abbreviated to DMF. 1. As of when will DMF 2 be marketed? DMF 2 will be actively marketed as of December When is the first mortgage allocation to DMF 2 expected? For subscriptions to DMF 2 made in December 2017 we currently expect the first cash call by the end of Q Please note that this is a best estimate at this time, which is based on the current queue of mortgages ordered (among others for DMF and other Aegon entities) and estimates of future mortgage production levels. The variables determining the expected cash calls, as mentioned above, can change. Please contact your sales or account management representative for the latest expectations. 3. What are the investment guidelines for DMF 2? The investment guidelines for DMF 2 are mostly the same to those of DMF. The most important differences are: - DMF 2 does not have a restriction on the percentage of Nationale Hypotheek Garantie (NHG) guaranteed mortgages in the fund. DMF has a restriction of a minimum 50% of NHG guaranteed mortgages; - In DMF 2 bridge loans ( overbruggingskrediet ) are part of the investment universe. In DMF bridge loans are not eligible. For further details on the investment guidelines we kindly refer you to the fund s brochure and Information Memorandum. 4. Why are the investment guidelines for DMF 2 changed compared to DMF? The reasons for the three differences in the investment guidelines are the following: - NHG restriction: the current percentage of newly originated mortgages with a NHG guarantee is below 50%, which is why we had to change this restriction. At the start of DMF in 2013 this percentage was far above 50%; - Bridge loans: at the start of DMF in 2013 the percentage of newly originated mortgages with a bridge loan part was very limited, which is why it was decided for operational reasons not to include them in the investment guidelines of DMF. Currently the percentage is around 25% of total production, which makes it a lot more relevant part of total mortgage production. 5. What are the consequences of the amended investment guidelines of DMF 2, compared to DMF, on the spread level of the fund? Our current expectation is that the percentage of NHG guaranteed mortgages in DMF 2 will be around 20-25% and the percentage of mortgages with a bridge loan part will also be around 25%. Important to note is that the LTV for mortgages with a bridge loan part will be relatively low since the bridge loan part is not taken into account in the LTV calculation. With the lower NHG % the expected spread of DMF 2 will increase, compared to that of DMF. However, the addition of mortgages with a bridge loan that will have a lower LTV, will lead to a decrease of the spread level of DMF 2 compared to DMF. Taking all factors into account we expect the spread of DMF 2 to be slightly higher than that of DMF (approximately 5-6 bps). Page 1 of 5
2 6. What is the impact of abandoning the 50% NHG restriction on the risk profile of the fund? Abandoning the restriction to have at least 50% invested in NHG guaranteed mortgages for DMF 2 will lead to a difference of approximately 30-35% in NHG mortgages compared to DMF. The current percentage of NHG mortgages in DMF is around 57% and the estimated percentage in DMF 2 will be around 20-25%. At the same time, there will be approximately 25% of mortgages with a bridge loan part in DMF 2, which have a relatively low LTV. The risk profile at inception of DMF 2 will therefore be more or less similar to that of the existing fund. An important role in our answer is played by the NHG guaranteed mortgage percentage in the new origination market. We would like to stress that predictions on this percentage and its expected development in the near future come with quite some uncertainty because there are several factors influencing this level. From the 1 st January 2018 for instance the NHG limit will increase to (from ), which could lead to a slightly higher NHG percentage in new mortgage production. Furthermore, the market is currently dominated by second time buyers who can only apply for NHG guarantee to a limited extent thus explaining the relatively low NHG guaranteed mortgage percentage in current new production. This situation could, however, normalise making statements regarding the NHG guaranteed mortgage percentage very difficult. In summary we expect given our estimates the risk profile of DMF 2 to be more or less similar to that of DMF. We would like to emphasize that annual losses on a pool of Dutch mortgages have historically been are around 3-5 bps. The limited shift in NHG percentage will lead to minimal differences in expected losses for DMF What are bridge loans? A bridge loan is a loan that is taken out to use part of the equity that has been built up in an unsold old house and use this in financing the purchase of a new house. The initial maturity of a bridge loan is 12 months and can be extended for another 12 months. The maximum size of a bridge loan is the current assessment value of the old house with a 10% deduction, minus the outstanding mortgage on that house resulting in the estimated equity. In case the old house is already sold, the 10% deduction to the value of the house is not applied. 8. What are the risks of bridge loans? The risks of bridge loans are very limited due to a number of requirements we implemented in the mortgage underwriting and acceptance process. One example is the -10% correction applied to the calculated excess value in order to create a buffer in case the final sales price unexpectedly disappoints. By applying this haircut we have implemented a conservative approach to determining the size of the bridge loan. Another measure contributing to mitigating risks in underwriting bridge loans is that as part of the acceptation process, the borrower has to prove, by means of a copy of a bank statement, that sufficient savings are available to cover the interest payments on the bridge loan and the (principal and interest) payments of the old mortgage for one year. With these measures in place bridge loans becomes a short term collateralised loan. 9. What are the fees for DMF 2? The fees for DMF 2 are the same as those for DMF. The fees consist of: - 0,27% servicing fee - 0,21% management fee - 0,02% service fee For further details on the fees we kindly refer you to the fund s brochure and Information Memorandum. Page 2 of 5
3 10. Are there any other differences for DMF 2 compared to DMF, besides the amended investment guidelines? The Information Memorandum (IM) of DMF 2 is largely the same as that of DMF. Three differences we want to point out: - At the meeting of Participants of DMF2, resolutions are adopted by a substantial majority of 75% of the votes cast at the meeting, unless the Fund Terms and Conditions prescribe any other majority. These resolutions will be binding on all Participants at such time. For DMF this majority is at 51%; - The risks of DMF 2, as described in the IM, include mortgage market risk. This risk is defined as: mortgage loans are typically 30 year loans. There is a risk that key characteristics of mortgage receivables in the Fund are modified during this term, as a result of external factors or public pressures. For example, the risk that the conditions for early repayments of mortgage loans are modified, or the introduction of automatic adjustment of risk-surcharges when the LTV changes. Any resulting market value change of the Assets in the Fund and any other negative impact on the market value of the Assets of such mortgage loan modification is for the account of the Participant. DMF does not contain this risk. - In addition to further advances (additional mortgage credit issued on top of a mortgage receivable already in the Fund, for example for a dormer or renovation etc.), portable mortgages (meeneemhypotheken, MH s, a new mortgage receivable of which a part was already in the Fund) will also be acquired by the Fund with priority in line with the Master Mortgage Receivables Purchase Agreement. With the remainder of the liquid assets a vertical slice of the Aegon Hypotheken mortgage production is bought. This vertical slice excludes any MH s of other investors. 11. Will there be a separate Meeting of Participants for DMF 2? Yes, DMF 2 is a unique fund and has its own governance structure, including its own Meeting of Participants. 12. Is the vertical slicing principle maintained for DMF 2? Yes. The vertical slicing principle is applied to allocate mortgages to the different buyers, among others Aegon entities, DMF and DMF2. With the introduction of DMF 2 bridge loans will become part of the eligibility criteria for mortgages that are allocated via the vertical slicing. 13. Can I exchange my participations in DMF to participations in DMF 2? No, this is not possible. It is of course possible to make a redemption request for participations in DMF and a subscription request to DMF 2. The timelines with which either request can be executed are among other things dependent on possible queues for redemptions to DMF, respectively subscriptions to DMF Can I change my subscription (currently still in the queue) to DMF into a subscription to DMF 2? No, this is not possible. 15. How does it work with the (potential) queues for subscriptions to DMF and DMF 2? There is only one potential queue for orders in mortgage receivables, including subscriptions to DMF and DMF 2. Subscriptions to both funds are treated on a first come, first serve monthly basis. Page 3 of 5
4 16. How is DMF 2 treated under Solvency II, Basel III and Financieel Toetsingskader (FTK)? DMF 2 will have a lower NHG percentage than DMF. This increase in risk will be partly compensated by lower LTV s for the bridge loans which will be added to DMF2 (around 25% of the new production). The effect of these changes is as follows (using the standard model approach): - Solvency II: the NHG guarantee is not yet accounted for under Solvency II. At the moment, the impact of a lower percentage of NHG loans on capital requirements is thus zero. 1 For DMF 2 the lower LTV value for the mortgages with a bridge loan, will lead to a lower capital charge under Solvency II; - Basel III: unlike Solvency II, Basel III does take the NHG guarantee into account. A lower NHG percentage will thus lead to a slight increase of the required capital for DMF 2. This will, however, be compensated for by the addition of the bridge loans, that will lead to a lower LTV; - FTK: we do not expect that the characteristics of DMF 2 will lead to a different rating for the fund compared to DMF, which has a AA rating. We therefore do not expect any change in the treatment under FTK (which is based on the rating). 1) Note, however, that in the current review process of Solvency II it has been advised to take the NHG guarantee into account. In the future, this may lead to lower capital requirements for NHG loans and thus leading to a higher capital charge for DMF 2 compared to DMF. Specific questions on DMF 17. Is DMF still soft closed? Yes. The soft close of DMF is maintained, meaning the fund will not accept new subscriptions until further notice. We will review periodically if the fund will be opened for new participants. 18. Are the repayments and interest payments of DMF still being reinvested? Yes, repayments and interest payments of DMF will currently still be reinvested. 19. What are the consequences of the soft close on the duration of DMF? The soft close will in the first place lead to a very gradual decrease of the duration as there will only be reinvestments and the pool will therefore become more seasoned. After a certain period, the duration will stabilize. It is quite difficult to predict how long it will take for the duration to stabilize and at what level it will ultimately set. 20. What are the consequences of the soft close on the Constant Prepayment Rate (CPR) of DMF? The consequences of the soft close on the fund s CPR will be limited. On the mid to long term, the pool will become more seasoned because only reinvestments will take place. This will result in a slightly higher CPR as no new mortgages will be added. By nature, new mortgages have a low CPR the first 3-4 years, as the probability of prepayments is low for newly originated mortgages. But what is important to note is that it is not so much the soft close that will impact the CPR. There are other factors like changes in regulation and long-term interest rates that if they happen will have a much bigger impact on the CPR. However, these factors potentially impacting the future CPR are the same for both funds. Page 4 of 5
5 21. How will the amended vertical slicing apply to DMF? With the introduction of DFM 2 the vertical slice is amended to include bridge loans. The investment restrictions of DMF however do not allow bridge loans. To allow DMF to still reinvest repayments and interest payments, the following mechanism will apply: DMF will in first instance be allocated mortgages via the vertical slicing including bridge loans. The bridge loans are afterwards removed from the pool of mortgages that will actually be added to DMF. This way DMF will still comply with its investment restrictions regarding bridge loans, while the amended vertical slicing is applied. 22. Will subscriptions to DMF 2 be able to provide liquidity for redemption requests for DMF? No, this is not possible. We previously indicated such a possibility by allowing DMF 2 to buy mortgages from DMF. Further analysis however pointed out legal and operational difficulties and potential conflicts of interest between participants in both DMF and DMF 2. In the interest of (future) participants to both funds we have therefor decided not to implement this possibility. 23. Can the participations of a participant that wants to exit DMF be taken over by another investor? Yes, this is possible. A participant that wishes to exit the fund has the right to introduce a so-called replacement investor to take over its participations via the fund. If such a replacement investor is not available, AAM will have the possibility, but not the obligation, to offer the participations to other parties within its network. ATTENTION: Only professional investors as defined in the Financial Supervision Act can participate in this fund. Aegon Investment Management B.V. is the Management Company of the fund and registered with the Netherlands Authority for the Financial Markets. Page 5 of 5
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