Securitized Guaranteed Mortgage Loans II B.V. Quarterly Information Report Report period: 25 October January 2018

Transcription

1 Quarterly Information Report Report period: 25 October January 2018 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

2 Bond Report (1) Tranche Class Name General information ISIN Code Class A Notes NL Class B Notes NL Common code Security code Stock Exchange Listing(s) Currency Irish Stock Exch. EUR Irish Stock Exch. EUR Number of Notes Interest Payment Date Principal Payment Date 25/Jan/ /Jan/ /Jan/ /Jan/2018 Principal information Original Principal Balance 500,000, Balance before Payment (BBP) 288,116, Principal Payments 288,116, Balance after Payment 0.00 Bal. before Payment (BBP) Per Note 28, Previous Factor Principal Payments Per Note 28, Balance after Payment Per Note 0.00 Current Factor ,000, ,445, ,445, , , Interest information Accrual Start Date Accrual End/Report/Record Date 25/Oct/ /Jan/ /Oct/ /Jan/2018 Accrual Period Fixing Date Reference Rate Reference Rate 23/Oct/2017 Euribor_3M 23/Oct/2017 Euribor_3M Coupon Reference Rate (in %) Relevant Margin * (in bps) 80 Current Coupon (in bps) Convention act/360 act/360 Interest Payments 346, Interest Payments Per Note , Other information Expected / Scheduled Maturity Original Life 25/Oct/ /Oct/2018 Principal + Interest Payments 288,462, Scheduled Interest Payment 346, Current Interest Shortfall 0.00 Cumulative Interest Shortfall ,559, , Original Rating(s) (S&P/Moody's/Fitch/DBRS) n.r. (sf) / n.r. (sf) / AAA n.r. (sf) / n.r. (sf) / n.r. (sf) (sf) / n.r. (sf) / n.r. (sf) Current Rating(s) (S&P/Moody's/Fitch/DBRS) n.r. (sf) / Aaa (sf) / AA+ n.r. (sf) / n.r. (sf) / n.r. (sf) PDL Balance Previous Payment Date (sf) / n.r. (sf) 0.00 / n.r. (sf) 0.00 PDL Balance Current Payment Date 0.00 Principal Shortfall 0.00 Cumulative Principal Shortfalls Legal Maturity 25/Oct/ /Oct/2045 * up to FORD: 25/Oct/2018

3 The Mortgage Portfolio Overview Quarterly Payment Date 1/25/2018 Quarterly Calculation Date: the 6th business day prior to the Quarterly Payment Date Mortgage Calculation Period: period starting the 6th day each month up to and including the 5th day of the following 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 2,222 Changes number of Loans -2,222 Number of Loans at the end of the period 0 Loan Amounts Outstanding Net Mortgage Loans at the beginning of the period 288,115, Net Scheduled Prepayments -1,165, Net Unscheduled Prepayments -10,192, Loans Repurchased by the Seller -276,757, Outstanding net Loans at the end of the period before Substitution 0.00 Replacements/ Substitutions 0.00 Outstanding net Loans at the end of the period after Substitution 0.00 Subparticipation Outstanding net Loans after Substitution Including Subparticipation 0.00 Outstanding Subparticipations at the end of the period after Substitution 0.00 Outstanding net Loans after Substitution excluding Subparticipation 0.00 Cumulated Losses amount of Net Losses at the beginning of the period 683, amount of Losses this period (net of recoveries and Post-Foreclosure Proceeds)) 28, amount of Net Losses at the end of the period 711,235.04

4 Interest Waterfall Notes Interest Available Amount (i) Interest received on Mortgages minus interest paid on Savings; 2,647, (ii) Interest received on Transaction Accounts; 0.00 (iii) Prepayment and interest penalties (under mortgage loans); 64, (iv) Net proceeds on Mortgages; 0.00 (v) Amounts drawn from Liquidity Fund; 1,250, (vi) Amounts to be drawn from Reserve Account; 34,804, (vii) Receivables under Swap Aggreement; 442, (viii) Repurchases Mortgage Receivables (int); 0.00 (ix) Received in connection with sale of Mortgage receivables; 0.00 (x) Amounts received as post-foreclosure proceeds; and 0.00 (xi) (remaining ) amounts standing to the credit of the Master Collection Account (xii) Less; on the 1st QPD of the year a minimum of 1500 EUR. 1, Notes Interest Available Amount 39,206, Notes Interest Priority of Payments a) Fees or other remuneration due and payable to the Directors; 1, b) Fees and expenses due and payable to the Issuer Administrator and the Pool Servicer; 13, c) Amounts due and payable to third parties under obligations incurred in the Issuer s business; 263, d) Amounts due to replenish the Liquidity Fund; 0.00 e) Amounts due to Swap Counterparty; 2,270, f) Interest due and payable Senior Class A Notes; 346, g) Making good of Shortfall in Class A PDL; 28, h) Sums required to be deposited on Reserve Account or replenished up to Target Level; 0.00 i) Interest due and payable Subordinated Class B Notes; 113, j) Satisfaction of principal due on the Subordinated Class B Notes, until fully redeemed; 20,445, k) Amounts due as Swap Counterparty Default payment; 0.00 l) Interest due and unpaid on the Liquidity Loan; 1,086, m) Principal due on the Liquidity Loan; 1,250, n) Any interest and principal amounts due on the Subordinated Loan; 6,564, o) Deferred Purchase Price Instalment. 6,823, Interest Payments 39,206,677.92

5 Principal Waterfall Notes Principal Available Amount i. Re- and Prepayments Mortgage Receivables 10,164, ii. Net proceeds from Mortgage Receivables (principal) 0.00 iii. Repurchase of Mortgage Receivables pursuant to the MRPA 14,962, iv. Sales of Mortgage Receivables pursuant to Trust Deed 261,794, v. Amounts to be credited to the PDL 28, vi. Participation (monthly) Increase pursuant to the Sub Participation Agreement 950, vii. Partial prepayments 215, viii. The Reserved Amount 0.00 ix. Any principal amount, unapplied in previous periods 1, Principal Available Amount 288,116, Less; The Substitution Amount 0.00 Less; The Further Advance Amount 0.00 Less; The Reserved Amount 0.00 Notes Redemption Available Amount 288,116, Notes Principal Priority of Payments a) Senior Class A Notes principal amounts available 288,116, Further Redemption Ledger 0.00 Principal Payments 288,116,100.00

6 Additional Information Issuer Collection Account Issuer Collection Account starting balance 33, Received on bank account 327,312, Received interest 0.00 Paid from bank account -327,150, Issuer Collection Account ending balance 195, Reserve Account Reserve Account starting balance 34,804, Deposited on Reserve Account 0.00 Received interest 0.00 Drawing from Reserve Account 34,804, Payments from Reserve Account 34,804, Reserve Account ending balance 0.00 Target Reserve Account Balance at end of reporting period 0.00 Liquidity Fund Account Liquidity Fund starting balance 1,250, Replenishment Liquidity Fund Account 0.00 Received interest 0.00 Drawing from Liquidity Fund Account 1,250, Payments from Liquidity Fund Account 1,250, Liquidity Fund Account ending balance 0.00 Liquidity Fund Required Amount 0.00 Liquidity Fund Loan Liquidity Fund Loan, starting balance 1,250, Liquidity Fund Loan, redemption 1,250, Liquidity Fund Loan, ending balance 0.00 Liquidity Fund Loan, interest payable 1,086, Liquidity Fund Loan, interest paid 1,086, Subordinated Loan Subordinated Loan, starting balance 6,164, Subordinated Loan, redemption 6,164, Subordinated Loan, ending balance 0.00 Subordinated Loan, interest payable 399, Subordinated Loan, interest paid 399, Deferred Purchase Price Calculated Excess Spread Margin; plus 257, Interest Reserve Account and Liquidity Fund Account; plus 36,054, Post-Foreclosure Proceeds in period; plus 0.00 Change in arrears (interest); less 0.00 Realised Losses; less 28, Changes Liquidity Fund Account; less

7 Changes Reserve Account; less Paid Interest and Principal on the Class B Notes; less 20,559, Interest or principal paid on Liquidity Fund Loan; less 2,336, Interest or principal paid on Subordinated Loan; less 6,564, Corrections to DPP; less 1, Installment DPP 6,823, Excess Spread Margin Percentage (%) 0.35 Swap information Type of product: - Interest Rate Swap Counterparty: - The Royal Bank of Scotland plc. Notional Amount 293,736,100 Swap Margin (bps) 35 Covenant Covenant Level LTV: max %, Current Level (%): 0.00 Cushion (%): Covenant Level High LTV: max %, Current Level (%): 0.00 Cushion (%): Covenant Level Seasoning (months): min. 36, Current Level: 0.00 Cushion (EUR): Covenant Level Ratio Personnel Loans: Max is ,56 EUR, Current Level: 0.00 Cushion (EUR): 9,833, Covenant Level Ratio Interest Only Loans: Max is 176,404, EUR, Current Level: 0.00 Cushion (%): 176,404, Covenant Level Reserve Fund Required Amount: 7.5 A Notes, Current Level: 34,179, Cushion (EUR): 12,149, Covenant Level Cumulative Realized Losses: max %, Current Level (%): Cushion (%): Covenant Level Balance PDL: max. 0, Current Level: 0.00 Cushion (EUR): 0.00 Covenant Level "Principal Balance of Arrears >90 days" max. 2.00%, Current Level: 0.00 Cushion (%): 2.00

8 Default Statistics Default Statistics current period Number of Loans Defaulted during the Period 2 Percentage of Number of Performing Loans Outstanding (%) 0.10 Principal Balance of Loans Defaulted during the period 389, Percentage of Scheduled Balance of Performing Loans at the beginning of the period (%) 0.14 Losses on Defaulted Loans 28, 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) 28, Default Statistics since Closing Number of Loans Defaulted since Closing 25 Percentage of Number of Loans at Closing (%) 0.97 Principal Balance of Loans Defaulted since Closing at Defaulted Date 5,359, Percentage of Scheduled Balance at Closing (%) 0.95 amount of Losses since Closing at Defaulted Date 711, 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 711, 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

9 Constant Prepayment Rate Statistics Life CPR Life CPR, this quarter (%) Life CPR, previous quarter (%) Rolling CPR (last 3 months) Rolling 3M CPR, this quarter (%) Rolling 3M CPR, previous quarter (%) Rolling CPR (last 12 months) Rolling 12M CPR, this quarter (%) Rolling 12M CPR, previous quarter (%) 11.80

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, ,489, % 98.36% 20 2, ,662, % 1.02% 3 2, , % 0.13% 2 2, , % 0.14% 1 3, , % 0.07% 2 2, , % 0.06% , , % 0.23% 2,071 32, ,794, Definition Delinquencies: All amounts in Arrear (scheduled principal; scheduled interest; arrears penalties on scheduled amounts in arrear).

11 Triggers And Key Characteristics Notification Events None Mortgage Payment Frequency 1 Information previous period Realised as per Previous Paydate Realised as per 31/12/2017 * Balance by Borrower (EUR) 129, , * Coupon, Maximum 7.80% 7.80% * Coupon, Minimum 1.60% 1.60% * Coupon, 3.95% 3.94% * Maximum Loan Value (EUR) 335, , * Number of Loanparts 4,342 3,981 * Number of Loans 2,222 2,071 Triggers Realised as per Closing Date Realised as per 31/12/2017 Reserve Account Balance(Target: ) 34,804, ,804, Counterparty Ratings Moody's (ST/LT) Fitch (ST/LT) S&P (ST/LT) DBRS (ST/LT) Role Party Rating trigger Current Rating Current rating trigger rating Rating trigger Current rating Rating trigger Current rating Floating Rate GIC Bank Nederlandse Gemeenten P1 / P1 / F1 / A F1+ / AA+ / / / / Provider N.V. Interest Rate Swap The Royal Bank of Scotland plc P1 / A2 P2 / A3 F1 / A F2 / BBB+ / / / / Counterparty (UK) Originator Achmea Bank N.V. / / / BBB- / A / / / /

12 Stratification 1. Key characteristics Principal amount 301,461, Value of savings deposits 39,667, Outstanding principal balance 261,794, Building deposits 0.00 Outstanding principal balance excl. building and saving deposits 261,794, Number loans 2,071 Number loanparts 3,981 principal balance (borrower) 126, average current interest rate 3.94% average maturity (in years) 8.22 average seasoning (in years) average LTFV * 89.84% average LTFV (indexed) * (1) 94.30% (*) WAM based on weighted interest period (1) The average loan to indexed foreclosure value is 94.30%, whereby LTiFV of guaranteed mortgages is stated at nil percent.

13 2. Redemption Type Description Aggregate Outstanding Not. Amount Nr of Loanparts Coupon Maturity Aflossingsvrije Hypotheek Alternative Savings Annuitaire Hypotheek 21,327, % % 3.75% Annuity Automatische Continuatie Bank Savings Beschermd Vermogen Hypotheek Beurs Hypotheek Bridge Loan Bridge loan Debt Agreement Fixed Mortgage Type Hybrid Hybride Interest only 102,891, % 1, % 3.77% Investment 4,841, % % 3.40% Leven Hypotheek Life Life (external policy) Lineair 623, % % 3.69% Lineaire Hypotheek Linear Mixed Annuity Nationale Nederlanden Opmaat Hypotheek Other Other Royal Bridge Royal Future Hypotheek Savings Savings/ Life Spaar Hypotheek 45,823, % % 4.74% Spaar Hypotheek Avéro STAR Aflossingsvrij Switch Unit Linked 86,287, % % 3.79% Universal Life Unknown Vermogens Hypotheek Vrij Vermogen Hypotheek 261,794, , (*) WAM based on weighted interest period

14 3. Interest Reset Dates From ( > ) Until ( <= ) Aggregate Outstanding Not. Amount Nr of Loanparts Coupon Maturity < ,755, % % 2.25% ,182, % % 4.17% ,442, % % 4.73% ,321, % % 4.14% ,267, % % 4.12% ,102, % % 4.33% ,085, % % 4.70% ,608, % % 3.98% ,031, % % 3.36% ,660, % % 3.56% ,478, % % 3.49% ,193, % % 5.18% ,819, % % 4.88% ,151, % % 3.89% ,068, % % 4.00% ,100, % % 4.19% ,038, % % 5.23% , % % 4.48% ,208, % % 4.34% ,899, % % 4.51% ,234, % % 4.86% ,767, % % 5.34% , % % 5.88% , % % 5.30% , % % 6.40% , % % 5.86% > Unknown 261,794, , % (*) WAM based on weighted interest period

15 4. Geographical Distribution Province Aggregate Outstanding Not. Amount Nr of Loans Coupon Maturity Unspecified Drenthe 12,347, % % 3.67% Utrecht 18,754, % % 3.99% Zeeland 7,596, % % 3.77% Zuid-Holland 53,573, % % 3.93% Flevoland 8,075, % % 4.17% Friesland 8,429, % % 3.91% Gelderland 31,524, % % 3.94% Groningen 9,250, % % 3.68% Limburg 10,777, % % 4.27% Noord-Brabant 36,373, % % 4.03% Noord-Holland 37,251, % % 3.97% Overijssel 27,840, % % 3.82% ,794, , (*) WAM based on weighted interest period

16 5. Loan To Original Foreclosure Value ( based on notional / collateral value From ( > ) Until ( <= ) Aggregate Outstanding Not. Amount NHG Garantie 261,794, , Nr of Loans Coupon Maturity < 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% 110% 120% 130% 140% 150% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% 110% 120% 130% 140% 150% > 261,794, , (*) WAM based on weighted interest period

17 6. Loan To Indexed Foreclosure Value ( based on notional / collateral value From ( > ) Until ( <= ) Aggregate Outstanding Not. Amount NHG Garantie 261,794, , Nr of Loans Coupon Maturity < 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% 110% 120% 130% 140% 150% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% 110% 120% 130% 140% 150% > 261,794, , (*) WAM based on weighted interest period

18 7. Mortgage Loan Size From ( > ) Until ( <= ) Aggregate Outstanding Not. Amount < , % % 4.38% ,034, % % 4.31% ,827, % % 4.40% ,566, % % 3.92% ,958, % % 3.92% ,277, % % 3.83% ,328, % % 3.95% ,527, % % 4.29% , % % 3.54% Nr of Loans Coupon Maturity > Unknown 261,794, , (*) WAM based on weighted interest period

19 8. Interest Rate Group From ( > ) Until ( <= ) Aggregate Outstanding Not. Amount Nr of Loanparts Coupon Maturity < 0,5% 0,5% 1,0% 1,0% 1,5% 1,5% 2,0% 7,350, % % 1.94% ,0% 2,5% 36,092, % % 2.27% ,5% 3,0% 31,701, % % 2.82% ,0% 3,5% 21,557, % % 3.23% ,5% 4,0% 19,531, % % 3.75% ,0% 4,5% 48,763, % % 4.31% ,5% 5,0% 50,414, % % 4.75% ,0% 5,5% 30,874, % % 5.23% ,5% 6,0% 11,652, % % 5.69% ,0% 6,5% 2,811, % % 6.27% ,5% 7,0% 819, % % 6.73% ,0% > 225, % % 7.66% Unknown 261,794, , (*) WAM based on weighted interest period

20 9. Origination Date From ( >= ) Until ( < ) Aggregate Outstanding Not. Amount Nr of Loanparts Coupon Maturity < ,896, % % 4.94% ,469, % % 4.24% ,285, % % 4.26% ,906, % % 4.08% ,390, % % 3.88% ,283, % % 3.80% ,647, % % 4.00% ,679, % % 4.11% ,277, % % 3.89% ,779, % % 3.39% ,613, % % 3.26% ,852, % 1, % 3.70% ,326, % % 4.42% ,586, % % 4.65% ,340, % % 4.79% ,791, % % 4.31% ,468, % % 4.06% ,254, % % 4.14% , % % 4.04% , % % 4.35% , % % 5.61% , % % 4.05% > Unknown 261,794, , (*) WAM based on weighted interest period

21 10. Underlying Property Property Aggregate Outstanding Not. Amount Nr of Loans Coupon Maturity Caravan Condominium Condominium with garage Conversion Farm house 59, % % 4.13% Flat/appartment 36,464, % % 3.88% 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 177, % % 4.05% Shop/private house 283, % % 5.32% Single family house 224,648, % 1, % 3.95% Single family house with garage 160, % % 4.01% Single garage for flat/appartment Single garage for house Unknown Unspecified Utility building 261,794, , (*) WAM based on weighted interest period

22 11. Loan To Income From ( > ) Until ( <= ) Aggregate Outstanding Not. Amount Nr of Borrowers Coupon Maturity < 0,5 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 261,794, , ,794, , (*) WAM based on weighted interest period

23 12. Status Main Borrower Description Aggregate Outstanding Not. Amount Full-time permanent employment 457,018, % 1, % 3.93% Without occupation Unknown 18,499, % % 3.98% Flexiworker 358, % % 4.40% ZZP Housewife Full-time employed abroad Nr of Loans Coupon Maturity Part-time temporary employment without notification of employer Full-time temporary employment without notification of employer Wajong 6,559, % % 3.96% ,043, % % 3.80% Part-time permanent employment 14,809, % % 4.03% Geen inkomensbescheiden Full-time temporary employment 27,685, % % 3.91% Disability Insurance Disability Insurance IVA Flexwerker perspectiefverklaring Part-time temporary employment 3,849, % % 4.14% Independent 8,670, % % 3.59% (Early) retirement 303, % % 3.71% Disability Insurance Unemployment benefit Student 542,798, , (*) WAM based on weighted interest period

24 13. Seasoning From ( >= ) Until ( < ) Aggregate Outstanding Not. Amount Nr of Loanparts Coupon Maturity < , % % 4.05% , % % 5.61% , % % 4.35% , % % 4.04% ,254, % % 4.14% ,468, % % 4.06% ,791, % % 4.31% ,340, % % 4.79% ,586, % % 4.65% ,326, % % 4.42% ,852, % 1, % 3.70% ,613, % % 3.26% ,779, % % 3.39% ,277, % % 3.89% ,679, % % 4.11% ,647, % % 4.00% ,283, % % 3.80% ,390, % % 3.88% ,906, % % 4.08% > 9,652, % % 4.39% Unknown 261,794, ,981 10

25 Contact Information Company Administrator Intertrust Administrative Services B.V. Floating Rate GIC Provider Bank Nederlandse Gemeenten N.V. 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 Securitized Guaranteed Mortgage Loans II B.V. 135 Bishopsgate Prins Bernhardplein 200 EC2M 3UR London United Kingdom 1097 JB Amsterdam The Netherlands Legal Advisor to the Issuer and the Managers NautaDutilh N.V. Liquidity Loan Provider Achmea Bank N.V. Strawinksylaan 1999 Lange Houtstraat XV Amsterdam 2511 CW The Hague The Netherlands The Netherlands Listing Agent NCB Stockbrokers Ltd. Originator Achmea Bank N.V. 3 George's Dock Lange Houtstraat 8 Dublin 1 Ireland 2511 CW The Hague The Netherlands Pool Servicer Achmea Bank N.V. Lange Houtstraat 8 Principal Paying and Reference Agent The Bank of New York, London Branch One Canada Square 2511 CW The Hague E14 5AL London The Netherlands United Kingdom Security Trustee Stichting Security Trustee SGML II Tax Advisor NautaDutilh N.V. Prins Bernhardplein 200 Strawinksylaan JB Amsterdam 1077 XV Amsterdam The Netherlands The Netherlands