Saecure 22 B.V.: 28 March 2024

As per previous Saecure deals, the transaction will be a static cash securitisation of residential mortgage loans extended to obligors located in the Netherlands, where AEGON Levensverzekering NV will be the originator.

At the cut-off date (31 December 2023) the receivables portfolio consists of 6,834 loan parts advanced to 2,700 borrowers and secured by owner-occupier properties located in the Netherlands. The average loan balance per borrower is Eur267,447 and the largest loan in the pool is for Eur992.925. On the cut-off date no amounts due and payable under any of the mortgage loans were overdue and unpaid.

Mortgage redemption type (by current balances): annuity - 46.6%, interest-only - 41.2%, bank savings – 5.7% and others - 6.5%. Interest rate type (by current balances): fixed - 99.1%, floating - 0.9%. The WA LTMV is 69.66% and the WA loan to foreclosure value is 77.40%. The WA seasoning is 6.55 years. Regional concentration: Zuid-Holland - 20.5%, Noord Brabant - 17.1%, Noord-Holland – 14.4%, Gelderland - 12.1% and Utrecht - 11.4%.

EU & UK Risk Retention: The Seller, as Originator, will retain on an ongoing basis a material net economic interest of not less than 5% in the securitisation in accordance with Article 6(1) of the EU Securitisation Regulation and determined in accordance with Article 6 of the UK Securitisation Regulation as required for the purposes of Article 5(1)(d) of the UK Securitisation Regulation. As at the Closing Date, such material net economic interest will be held by holding the entire interest in the first loss tranche of the securitisation transaction, through the Class B Notes and the Class C Notes.

US Risk Retention: The Seller intends to rely on an exemption provided for in Section 20 of the US Risk Retention Rules regarding non-US transactions that meet certain requirements.

STS: The securitisation transaction is intended to qualify as a STS-securitisation.

Compare/contrast: Saecure 21, Green Lion 2023-1 BV, Orcinus 2023 BV