Candide Financing 2008 B.V. Quarterly Information Report Report period: 22 December March 2016

Transcription

1 Quarterly Information Report Report period: 22 December March 2016 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, T +31 (0) F +31 (0) E securitisation@intertrustgroup.com W cm.intertrustgroup.com

2 Bond Report (1) Tranche Class Name Class A Notes Class B Notes Class C Notes General information ISIN Code XS XS XS Common code Security code Stock Exchange Listing(s) Irish Stock Exch. Not Listed Not Listed Currency EUR EUR EUR Number of Notes Interest Payment Date 22/Mar/ /Mar/ /Mar/2016 Principal Payment Date 22/Mar/ /Mar/ /Mar/2016 Principal information Original Principal Balance 1,315,000, Balance before Payment (BBP) 689,822, Principal Payments 24,564, Balance after Payment 665,258, Bal. before Payment (BBP) Per Note 26, Previous Factor Principal Payments Per Note Balance after Payment Per Note 25, Current Factor ,000, ,300, ,000, ,300, ,000, ,300, , , , , Interest information Accrual Start Date 22/Dec/ /Dec/ /Dec/2015 Accrual End/Report/Record Date 22/Mar/ /Mar/ /Mar/2016 Accrual Period Fixing Date Reference Rate 18/Dec/ /Dec/ /Dec/2015 Reference Rate Euribor_3M Euribor_3M Euribor_3M Coupon Reference Rate (in %) Relevant Margin * (in bps) 12 Current Coupon (in bps) Convention act/360 act/360 act/360 Interest Payments 0.00 Interest Payments Per Note , , Other information Expected / Scheduled Maturity Original Life Principal + Interest Payments 24,564, Scheduled Interest Payment 0.00 Current Interest Shortfall 0.00 Cumulative Interest Shortfall , , , , Original Rating(s) (S&P/Moody's/Fitch/DBRS) AAA (sf) / Aaa (sf) / AAA n.r. (sf) / n.r. (sf) / n.r. (sf) n.r. (sf) / n.r. (sf) / n.r. (sf) (sf) / n.r. (sf) / n.r. (sf) / n.r. (sf) Current Rating(s) (S&P/Moody's/Fitch/DBRS) AAA (sf) / Aaa (sf) / AAA n.r. (sf) / n.r. (sf) / n.r. (sf) n.r. (sf) / n.r. (sf) / n.r. (sf) (sf) / n.r. (sf) / n.r. (sf) / n.r. (sf) PDL Balance Previous Payment Date PDL Balance Current Payment Date 0.00 Principal Shortfall 0.00 Cumulative Principal Shortfalls Legal Maturity 22/Jun/ /Jun/ /Jun/2048 * June 22,2016

3 The Mortgage Portfolio Overview Previous reporting period end date Mortgage Loans 12/1/2015 Current reporting period end date Mortgage Loans 3/1/2016 Number of Loans Number of Loans at the beginning of the period 4,187 Number of Matured Loans / Prepaid Loans 98 Number of Defaulted Loans 6 Number of Substituted or Replenished Loans 0 Number of Repurchased Loans by the seller 11 Number of other Loans 0 Number of Loans at the end of the period 4,072 Loan Amounts Net Outstanding balance at the beginning of the quarter 804,708, Scheduled Principal Mortgage Loans Received 371, Prepayments of Mortgage Loans 19,762, Defaulted Mortgage Loans (net of Recoveries) 1,229, Substituted or Replenished Mortgage Loans 0.00 Repurchased Mortgage Loans by the seller 3,203, Other amounts 0.00 Net Outstanding balance at the end of the quarter 780,141, Losses Cumulative balance of losses since Closing (net of recoveries) at the beginning of the period 8,114, Change balance of losses (net of Postforeclosure Proceeds) during the period 130, Cumulative balance of losses since Closing (net of recoveries) at the end of the period 8,245, Amount of Construction Deposit Obligations Construction Deposit Obligations at the beginning of the period 0.00 Changes in Construction Deposit Obligations 0.00 Construction Deposit Obligations at the End of the period 0.00

4 Interest Waterfall Notes Interest Available Amount (i) interest, including, penalty interest, but excluding Prepayment Penalties received on the Mortgage Receivables; 8,704, (ii) interest credited to the Issuer Collection Account and the Reserve Account; 0.00 (iii) Net Proceeds on any Mortgage Receivables; 0.00 (iv) amounts to be drawn under the Liquidity Facility; 0.00 (v) amounts to be drawn from the Reserve Amount; 0.00 (vi) amounts to be received from the Swap Counterparty under the Swap Agreement; 5,749, (vii) amounts received in connection with a repurchase of Mortgage Receivables; 0.00 (viii) amounts received in connection with a sale of Mortgage Receivables; 0.00 (ix) amounts received as post-foreclosure proceeds on the Mortgage Receivables; and 251, (x) any (remaining) amounts standing to the credit of the Issuer Collection Account (final QPD) (xi) less on the first Quarterly Payment Date of each calendar year a minimum of 2,500,- 2, Notes Interest Available Amount 14,702, Interest Priority of Payment (a) first, the fees or other remuneration due and payable to the Directors; 14, (b) second, fees and expenses due and payable to the Issuer Administrator and the MPT Provider; 155, (c) third, any amounts due and payable to third parties; 45, (d) fourth, amounts, if any, due or accrued but unpaid under the Swap Agreement to the Swap Counterparty; 8,254, (e) fifth, all amounts of interest due or interest accrued but unpaid in respect of the Senior Class A Notes; 0.00 (f) sixth, in or towards making good any shortfall reflected in the Class A Principal deficiency Ledger; 0.00 (g) seventh, all amounts of interest due or interest accrued but unpaid in respect of the Mezzanine Class B Notes; 194, (h) eighth, or towards making good any shortfall reflected in the Class B Principal Deficiency 381, (i) ninth, in or towards satisfaction of any sums required to be deposited on the Reserve Amount; 0.00 (j) tenth, all amounts of interest due or interest accrued but unpaid in respect of the Subordinated Class C Notes; 49, (k) eleventh, in or towards satisfaction of a Liquidity Facility Subordinated Amount due; 0.00 (l) twelfth, in or towards satisfaction to the Swap Counterparty of any Swap Subordinated Amount due; 0.00 (m) thirteenth, in or towards satisfaction of principal amounts due under the Subordinated Class C Notes (final QPD); 0.00 (n) fourteenth, in or towards interest due or interest accrued but unpaid on the Subordinated Loan; 9, (o) fifteenth, towards principal due under but unpaid on the Subordinated Loan (final QPD); and 0.00 (p) sixteenth, in or towards satisfaction of a Deferred Purchase Price Installment to the Seller. 5,597, Interest Amounts Applied 14,702,429.19

5 Principal Waterfall Notes Redemption Available Amount (i) repayment and prepayment in full or in part of principal under the Mortgage Receivables; 20,130, (ii) Net Proceeds, to the extent such proceeds relate to principal; 847, (iii) amounts received in connection with a repurchase of Mortgage Receivables; 0.00 (iv) amounts received in connection with a sale of Mortgage Receivables; 3,203, (v) amounts of interest received to be credited to the Principal Deficiency Ledger; 381, (vi) any part of the Notes Redemption Available Amount previously unapplied. 8, Notes Redemption Available Amount 24,571, Notes Principal Priority of Payments (a) first, the Senior Class A Notes, until fully redeemed, and, thereafter 24,564, (b) second, the Mezzanine Class B Notes, until fully redeemed, and, thereafter 0.00 Unapplied principal amounts 7, Principal Priority of Payments 24,571,527.80

6 Additional Information Collection Account Collection Account starting balance 16, Received on bank account 39,275, Received interest 0.00 Paid from bank account -39,275, Collection Account ending balance 17, Reserve Account Reserve Account starting balance 14,300, Deposit current Payment Date 0.00 Received interest 0.00 Payments from Reserve Fund 0.00 Reserve Account ending balance 14,300, Target Reserve Account Balance at end of reporting period 14,300, Liquidity Facility Liquidity Facility Amount, next period 15,605, Liquidity Facility drawn amount previous period 0.00 Liquidity Facility drawn amount current period 0.00 Liquidity Facility repaid amount current period 0.00 Liquidity Facility Available Amount, next period 15,605, Interest due on drawn amounts 0.00 Interest paid on drawn amounts 0.00 Subordinated Loan Subordinated Loan, starting balance 1,600, Repayment principal 0.00 Subordinated Loan, ending balance 1,600, Interest payable 9, Interest paid 9, Deferred Purchase Price (DPP) Specification Swap Margin 5,735, Losses in period -381, Recoveries in period 251, Change in arrears (interest) 5, Interest Subordinated Loan (paid) -9, Tax Amount -2, Corrections to DPP 0.00 Available for DPP installment 5,597,838.78

7 Default Statistics This period Number of Loans Defaulted during the Period 6 Percentage of Number of Performing Loans Outstanding at the beginning of the period (%) 0.14 Principal Balance of Loans Defaulted during the period 1,229, Percentage of Scheduled Balance of Performing Loans at the beginning of the period (%) 0.15 Losses on loans during period 381, Recoveries during Period on Defaulted Loans 251, Recoveries as a percentage of Losses on the Defaulted Loans during the period (%) Losses minus Recoveries (Net Losses) during period 130, Since Closing Number of Loans Defaulted since Closing 165 Percentage of Number of Loans at Closing (%) 2.22 Principal Balance of Loans Defaulted since Closing at Defaulted Date 33,883, Percentage of Scheduled Balance at Closing (%) 2.33 amount of losses since Closing at Defaulted Date 10,369, Recoveries since Closing on Defaulted Loans 2,123, Recoveries as a Percentage of Losses on Defaulted Loans (1) % Losses minus Recoveries (Net Losses) since Closing 8,245, 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 Constant Prepayment Rate Statistics Life CPR Life CPR, this quarter 7.33 Life CPR, previous quarter 7.19 Rolling average CPR last 3 months ACPR 3M, this quarter ACPR 3M, previous quarter Rolling average CPR last 12 months ACPR 12M, this quarter ACPR 12M, previous quarter 9.45

9 Delinquencies Months 0 0 =< 1 1 =< 2 2 =< 3 3 =< 4 4 =< 5 5 =< 6 > 6 # loans Arrears Amount Mortgage amount # loans Mortgage Amount 3, ,582, % 96.21% , ,485, % 2.37% 15 19, ,174, % 0.41% 14 30, ,907, % 0.37% 3 7, , % 0.06% 3 11, , % 0.08% 4 16, , % 0.09% , ,187, % 0.41% 4, , ,141, % % Definition Delinquencies: All amounts in Arrear (scheduled principal; scheduled interest; arrears penalties on scheduled amounts in arrear).

10 Triggers And Key Characteristics Notification Events None Mortgage Payment Frequency 1 Other information in relation to closing Realised as per Closing Date Realised as per 29/2/ Coupon Maximum Coupon Minimum Coupon Current Loan-to-Value 1 (Recorded Foreclosure Value) Current Loan-to-Value 2 (Indexed Recorded Foreclosure Value) Current Loan-to-Value 3 (Estimated Fair Market Value) Current Loan-to-Value 4 (Indexed Estimated Fair Market Value) Mortgage Loan, 2 Outstanding Principal Balance 1,453,605, ,141, Mortgage Loan, 3 Savings Participation Mortgage Loan, 4 Net Balance 1,453,605, ,141, Mortgage Loan, balance by Borrower 195, , Mortgage Loan, Maximum Loan Value 500, , Number of Loanparts 15, , Number of Loans 7, , Maturity (months) Seasoning (months) Triggers Realised as per Closing Date Realised as per 29/2/2016 Reserve Account Balance(Target: ) 14,300, ,300, Liquidity Facility Amount (Maximum: ) 28,600, ,605, Counterparty Ratings Moody's (ST/LT) Fitch (ST/LT) S&P (ST/LT) DBRS (ST/LT) Role Party Rating trigger Current rating Rating trigger Current rating Rating trigger Current rating Rating trigger Current rating Floating Rate GIC Provider Bank Nederlandse Gemeenten N.V. P1 / P1/ F1 / F1+ / A-1 / A A-1+/AAA / / Interest Rate Swap Bank of Scotland Plc., P1 / P1 / F1 / F1 / A-1 / A A-1 / A / / Counterparty Amsterdam Branch Liquidity Facility Provider Bank of Scotland Plc., P1 / P1 / F1 / F1 / A-1 / A A-1 / A / / Amsterdam Branch Seller Collection Account Rabobank Nederland NV F1/ F1+/ A-1/ A-1/A+ Seller Bank of Scotland Plc., Amsterdam Branch P1 / P1 / F1 / F1 / A-1 / A-1 / / /

11 Stratification 1. Key characteristics Principal amount 780,141, Value of savings deposits 0.00 Outstanding principal balance 780,141, Building deposits 0.00 Outstanding principal balance excl. building and saving deposits 780,141, Number loans 4,072 Number loanparts 8,661 principal balance (borrower) 191, average current interest rate 4.40% average maturity (in years) 3.47 average seasoning (in years) 9.58 average LTFV * % 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 2. Redemption Type Description Aggregate Outstanding Not. Amount Nr of Loanparts Coupon Maturity Aflossingsvrije Hypotheek Alternative Savings Annuitaire Hypotheek Annuity 41,647, % % 4.16% Automatische Continuatie Bank Savings Beschermd Vermogen Hypotheek Beurs Hypotheek Bridge Loan Bridge loan Debt Agreement Fixed Mortgage Type Hybrid Hybride Interest only 500,827, % 4, % 4.38% Investment Leven Hypotheek Life 5,477, % % 4.59% Life (external policy) Lineair Lineaire Hypotheek Linear Mixed Annuity Nationale Nederlanden Opmaat Hypotheek Other Other Royal Bridge Royal Future Hypotheek Savings Savings/ Life Spaar Hypotheek Spaar Hypotheek Avéro STAR Aflossingsvrij Switch Unit Linked 232,189, % 2, % 4.47% Universal Life Unknown Vermogens Hypotheek Vrij Vermogen Hypotheek 780,141, % 8, % 4.40% (*) WAM based on weighted interest period

13 3. Interest Reset Dates From ( > ) Until ( <= ) Aggregate Outstanding Not. Amount Nr of Loanparts Coupon Maturity < ,313, % 2, % 4.13% ,246, % 1, % 4.88% ,858, % % 4.77% ,127, % % 4.25% ,403, % % 3.53% ,006, % % 4.61% ,897, % % 4.85% ,598, % % 5.09% ,600, % % 4.59% ,322, % % 3.64% ,156, % % 4.36% ,127, % % 5.01% ,907, % % 4.61% ,104, % % 4.81% ,510, % % 4.14% , % % 4.77% , % % 4.94% , % % 4.96% , % % 4.85% ,056, % % 4.28% ,231, % % 4.76% ,365, % % 5.11% > Unknown 780,141, % 8, % 4.40% (*) WAM based on weighted interest period

14 4. Geographical Distribution Province Aggregate Outstanding Not. Amount Nr of Loans Coupon Maturity Unspecified Drenthe 23,172, % % 4.33% Utrecht 61,663, % % 4.34% Zeeland 11,059, % % 4.24% Zuid-Holland 155,948, % % 4.45% Flevoland 35,939, % % 4.46% Friesland 31,559, % % 4.29% Gelderland 101,070, % % 4.43% Groningen 29,071, % % 4.41% Limburg 43,288, % % 4.41% Noord-Brabant 117,547, % % 4.38% Noord-Holland 106,455, % % 4.42% Overijssel 63,365, % % 4.31% ,141, % 4, % 4.40% (*) WAM based on weighted interest period

15 5. Loan To Original Foreclosure Value ( based on notional / collateral value From ( > ) Until ( <= ) Aggregate Outstanding Not. Amount Nr of Loans Coupon Maturity NHG Garantie < 10% 85, % % 3.73% % 20% 484, % % 3.80% % 30% 1,118, % % 3.89% % 40% 1,767, % % 4.00% % 50% 6,683, % % 3.95% % 60% 9,914, % % 4.00% % 70% 18,722, % % 3.97% % 80% 32,221, % % 4.03% % 90% 71,867, % % 4.16% % 100% 62,809, % % 4.12% % 110% 73,964, % % 4.34% % 120% 195,556, % % 4.52% % 130% 304,945, % 1, % 4.54% % 140% 150% 140% 150% > 780,141, % 4, % 4.40% (*) WAM based on weighted interest period

16 6. Loan To Indexed Foreclosure Value ( based on notional / collateral value From ( > ) Until ( <= ) Aggregate Outstanding Not. Amount Nr of Loans Coupon Maturity NHG Garantie < 10% 101, % % 3.84% % 20% 429, % % 3.69% % 30% 810, % % 3.69% % 40% 1,680, % % 4.05% % 50% 4,458, % % 3.87% % 60% 7,479, % % 3.93% % 70% 11,202, % % 3.99% % 80% 23,138, % % 3.91% % 90% 37,414, % % 4.01% % 100% 51,975, % % 4.20% % 110% 62,921, % % 4.21% % 120% 77,939, % % 4.31% % 130% 154,339, % % 4.45% % 140% 190,621, % % 4.55% % 150% 152,955, % % 4.58% % > 2,674, % % 4.98% ,141, % 4, % 4.40% (*) WAM based on weighted interest period

17 7. Mortgage Loan Size From ( > ) Until ( <= ) Aggregate Outstanding Not. Amount < , % % 4.01% , % % 3.99% ,181, % % 3.92% ,141, % % 4.05% ,975, % 1, % 4.34% ,872, % 1, % 4.34% ,748, % % 4.48% ,817, % % 4.44% ,269, % % 4.41% ,109, % % 4.36% ,732, % % 4.60% ,576, % % 4.51% Nr of Loans Coupon Maturity > Unknown 780,141, % 4, % 4.40% (*) WAM based on weighted interest period

18 8. Interest Rate Group From ( > ) Until ( <= ) Aggregate Outstanding Not. Amount Nr of Loanparts < 0,5% 95, % % 0.00% Coupon Maturity 0,5% 1,0% 1,5% 1,0% 1,5% 2,0% 2,0% 2,5% 573, % % 2.37% ,5% 3,0% 21,966, % % 2.88% ,0% 3,5% 94,009, % 1, % 3.24% ,5% 4,0% 110,844, % 1, % 3.69% ,0% 4,5% 66,879, % % 4.34% ,5% 5,0% 386,410, % 4, % 4.75% ,0% 5,5% 88,561, % % 5.24% ,5% 6,0% 10,007, % % 5.69% ,0% 6,5% 793, % % 6.18% ,5% 7,0% 7,0% > Unknown 780,141, % 8, % 4.40% (*) WAM based on weighted interest period

19 9. Origination Date From ( >= ) Until ( < ) Aggregate Outstanding Not. Amount Nr of Loanparts Coupon Maturity < ,441, % % 4.28% ,529, % % 3.87% ,686, % 1, % 3.73% ,804, % 2, % 4.39% ,679, % 3, % 4.62% > Unknown 780,141, % 8, % 4.40% (*) WAM based on weighted interest period

20 10. Underlying Property Property Aggregate Outstanding Not. Amount Nr of Loans Coupon Maturity Caravan Condominium 108,756, % % 4.41% Condominium with garage 3,129, % % 4.20% 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 504,969, % 2, % 4.41% Single family house with garage 163,286, % % 4.35% Single garage for flat/appartment Single garage for house Unknown Unspecified Utility building 780,141, % 4, % 4.40% (*) WAM based on weighted interest period

21 11. Seasoning From ( >= ) Until ( < ) Aggregate Outstanding Not. Amount Nr of Loanparts Coupon Maturity < ,433, % 2, % 4.67% ,150, % 3, % 4.44% ,122, % 1, % 3.67% ,646, % % 3.88% ,788, % % 4.26% > Unknown 780,141, % 8, % 4.40% 41.68

22 Contact Information Auditors PricewaterhouseCoopers Accountants N.V. Company Administrator Intertrust Administrative Services B.V. Thomas R. Malthusstraat 5 Prins Bernhardplein JR Amsterdam 1097 JB Amsterdam Floating Rate GIC Provider Bank Nederlandse Gemeenten N.V. Interest Rate Swap Counterparty Bank of Scotland Plc., Amsterdam Branch Koninginnegracht 2 De Entrée AA The Hague 1101 EE Amsterdam Issuer Legal Advisor to the Manager NautaDutilh N.V. Prins Bernhardplein 200 Strawinksylaan JB Amsterdam 1077 XV Amsterdam Legal Advisor to the Seller and the Issuer Allen & Overy LLP Liquidity Facility Provider Bank of Scotland Plc., Amsterdam Branch Apollolaan 15 De Entrée AB Amsterdam 1101 EE Amsterdam Listing Agent ABN AMRO Bank N.V. MPT Provider Bank of Scotland Plc., Amsterdam Branch Gustav Mahlerlaan 10 De Entrée PP Amsterdam 1101 EE Amsterdam Paying Agent Security Trustee Royal Bank of Scotland N.V. Stichting Security Trustee Candide Financing 2008 Kemelstede 2 Prins Bernhardplein ST Breda 1097 JB Amsterdam Seller Bank of Scotland Plc., Amsterdam Branch Seller Collection Account Provider Coöperatieve Rabobank U.A. De Entrée 254 Croeselaan 18

23 1101 EE Amsterdam 3500 HG Utrecht