Asr Nederland N.v. · EURONEXT:ASRNL
Asr Nederland — Debt Investor Presentation (June 2023)
70 slides from Asr Nederland's debt investor presentation, June 2023
Slide 1: Investor Presentation Delphinus 2023-I
Investor Presentation Delphinus 2023-I June 2023
Slide 2: Disclaimer (1/2)
Disclaimer (1/2) This presentation including its content (the “Presentation”) has been prepared by ASR Nederland N.V. and its affiliates (“a.s.r.”) for information purposes only. Neither this Presentation nor any other statement (oral or otherwise) made at any time in connection herewith is an offer
Slide 3: Disclaimer (2/2)
Disclaimer (2/2) In particular, each recipient must independently assess and determine whether the information provided herein together with any information provided in the Final Documents and in any reports to be provided to investors thereunder are sufficient to comply with the applicable requirem
Slide 4: Contents
Contents Executive Summary 5 Overview a.s.r. 7 a.s.r. mortgages – Underwriting & Servicing Process 18 a.s.r. mortgages – Arrears Management 26 a.s.r. mortgages – ESG 36 Dutch Mortgage Market 42 Transaction Summary 48 Provisional Pool Characteristics 58 Appendix: Timelines 67 Appendix: Contact Detail
Slide 5: Executive Summary
a.s.r. \—__ de nederlandse vermogens beheerders Executive Summary
Slide 6: Executive summary
Executive summary Originator • ASR Levensverzekering N.V. is a subsidiary of ASR Nederland N.V., offering a variety of insurance products • Through different labels ASR has more than 50 years experience in originating mortgages, and as such are an established brand in the Dutch mortgage market • ASR
Slide 7: Overview a.s.r.
de nederlandse vermogens beheerders Overview a.s.r.
Slide 8: The history and development of a.s.r. at a glance
The history and development of a.s.r. at a glance Life #2 29% 71% Non-life Founded in1720; deeply rooted in Leading market positions and Multi-brand and multi-channel Business mix based on GWP Head office in Utrecht, the Netherlands, ± 4,300 Dutchsociety strong #2 overall distribution; focus on (€ 6
Slide 9: a.s.r.'s business strategy sets out the medium-term objectives
a.s.r.’s business strategy sets out the medium-term objectives Pursue growth in Property and Casualty (“P&C”) and Execute on ESG strategy to create sustainable value for all stakeholders VIII I Disability, maintaining best in class combined ratio/ underwriting performance Continue the bolt-on M&A st
Slide 10: The Aegon transaction is strongly aligned with our strategic objectives
The Aegon transaction is strongly aligned with our strategic objectives On October 27th, 2022, a.s.r. announced a conditional agreement for a business combination with Aegon N.V. The agreement incorporates all insurance activities, including mortgage origination and servicing operations, distributio
Slide 11: Reinforcing a.s.r.'s overall #2 position in consolidated Dutch market
Reinforcing a.s.r.’s overall #2 position1 in consolidated Dutch market GWP Total Life Insurance (in EUR m)1 a.s.r. (reported) a.s.r. (pro-forma incl. Aegon NL)6 34.8% 27.4% 18.3% 16.0% 11.4% FY 2021 GWP2 FY 2021 GWP2 4,124 3,246 31% Life 42% Life 2,167 1,893 Non-life Non-life 1,353 58% 69% Peer 1 a.
Slide 12: a.s.r. has shown strong financial performance in 2022
a.s.r. has shown strong financial performance in 2022 • Operating result in 2022 increased by EUR 30m (3.0%) compared to 2021, reflecting strong Operating result Solvency II (SF)1 Dividend per share operational performance • The strong balance sheet of a.s.r. is reflected by € 1,039m € 2.70 the robu
Slide 13: Robust investment portfolio with solid mortgage book
Robust investment portfolio with solid mortgage book Investment portfolio EUR 39.4bln1 (in %) a.s.r. net mortgage spread2 (%) • Diversified and robust investment portfolio with skew to quality 6% Government 1.6% • Positive revaluations in real estate, reflecting the 3% 13% 24% Credits 1.4% quality a
Slide 14: External funding sources
External funding sources • a.s.r. is delighted to have established a sustainable relationship with investors over the last decade by sourcing funding on both equity markets and debt capital markets • In 2016, a.s.r. successfully conducted its IPO and the firm has been listed on the Euronext Amsterda
Slide 15: Delphinus transaction to facilitate funding diversification
Delphinus transaction to facilitate funding diversification • Strong demand from investors and own account demand have fuelled the growth of the mortgage business of a.s.r. over the years • In 2022, a.s.r. achieved a mortgage production of € 5.4 billion • The production has been funded through a com
Slide 16: Mortgage origination within the a.s.r. organisation
Mortgage origination within the a.s.r. organisation ASR Nederland N.V. • a.s.r. employs more than 4,300 people, making a.s.r. one of the largest insurers in the Netherlands • a.s.r. offers a wide range of insurance products including life, non-life and income protection insurance • In addition to in
Slide 17: ASR Nederland N.V. organisational chart
ASR Nederland N.V. organisational chart ASR Nederland N.V. ASR Ziektekosten- ASR Schade- ASR Levens- ASR ASR Vermogens- (through D&S Holding B.V.) (through ASR ASR verzekeringen N.V. verzekering N.V.1 verzekering N.V.2 Hypotheken B.V. beheer N.V.3 • PoliService B.V.3 Deelnemingen N.V.) Vooruit B.V.3
Slide 18: a.s.r. mortgages Underwriting & Servicing Process
a.s.r. mortgages Underwriting & Servicing Process
Slide 19: a.s.r. is a mortgage originator and servicer with > 50 years experience
a.s.r. is a mortgage originator and servicer with > 50 years experience Origination: Servicing: • Illiquid long-dated investments such as mortgage loans require a • The servicing of mortgage loans is carried out by a specialized strict, well controlled origination process internal department dedicat
Slide 20: Streamlined process a.s.r. mortgage operation
Streamlined process a.s.r. mortgage operation • Mortgages of a.s.r. are solely distributed through a network of 3,400 intermediaries across the Netherlands • a.s.r. itself assesses the mortgage applications internally, in line with Dutch Code of Conduct and a.s.r.’s underwriting criteria • Some of t
Slide 21: Efficient & controlled acceptance process
Efficient & controlled acceptance process Hit ratio 70-75% Mortgage application Assessment of the file Final approval Notarization Servicing 24 hours 3 weeks 2 days 7 weeks 1 week Process efficiency and control: • The origination process is maximally digitized • Mortgage application assessment is fu
Slide 22: a.s.r. WelThuis mortgage - underwriting criteria
a.s.r. WelThuis mortgage - underwriting criteria • a.s.r.’s starting point for mortgage lending is the corresponding legislation, which consists of: • Regulation on the Supervision of the Conduct of Financial Undertakings Decree (BGFO) • Temporary Regulation on Mortgage Credit (TRHK) • In addition,
Slide 23: a.s.r. WelThuis mortgage - underwriting criteria
a.s.r. WelThuis mortgage - underwriting criteria • Collateral valuation requirements • Existing and new single-family homes and apartments in the Netherlands intended exclusively for self-occupancy • Desktop appraisal can be used if the mortgage amount is below 90% of the market value, otherwise a p
Slide 24: Underwriting Policy a.s.r. – Affordability Checks
Underwriting Policy a.s.r. – Affordability Checks • The affordability figures of the National Institute for Family NIBUD Affordability Figures 2023 (non-state pensioners)1 Finance Information (NIBUD) form the basis of a.s.r.’s underwriting policy Gross Income Mortgage Loan Interest Rate • NIBUD calc
Slide 25: Three lines of defense approach
Three lines of defense approach1 General Manager General Manager 1st line of defence Quality and 2nd line of defence 3rd line of defence 1st line of defence Quality and 2nd line of defence 3rd line of defence Mortgage chain & Legal Complaints ORM & IRM Compliance SLA a.s.r. ERM & IT RM Audit SLA a.s
Slide 26: a.s.r. mortgages Arrears Management
a.s.r. mortgages Arrears Management
Slide 27: Cost centre a.s.r. mortgages (origination on a.s.r. life entity)
Cost centre a.s.r. mortgages (origination on a.s.r. life entity) CEO B&PM CRO ASR ASR ASR Nederland HR Managing Director Nederland Nederland Staff a.s.r. mortgages 0.5 FTE CFRO ASR Leven N.V. 0.2 FTE Quality Operations Funding & Distribution management 1 FTE 1 FTE 1 FTE Outsourcing Product Support m
Slide 28: Servicing process internal arrears management
Servicing process internal arrears management Back Office Administrative Management (Stater) Preventive phase Preventive Management Recovery phase Early Management Late Management Loss management Loss reduction Remaining debt Management Day 1 Day 90 Preventive phase The emphasis is on proactively in
Slide 29: Arrears management – Preventive arrears management
Arrears management – Preventive arrears management “Being in contact with the client before payment problems occur” Target group • Clients who actively contact a.s.r. with potential payment problems • Clients with potential future payment risks Tools • Proactive and/or easily accessible information.
Slide 30: Arrears management – Early arrears management
Arrears management – Early arrears management “Self-service for clients if possible and with assistance when needed or wanted” Target group • Clients with less then 30 days of arrears Focus • The self-service possibility for clients to make payment plans for a maximum of 6 months in the ‘My Mortgage
Slide 31: Arrears management – Late arrears management
Arrears management – Late arrears management “The client being able to keep the property is a win-win situation for both the financier and the mortgagor” Target group • Clients with more than 30 days of arrears • Clients with less than 30 days of arrears requiring more personal attention and a more
Slide 32: Arrears management – Loss reduction (sale and remaining debts)
Arrears management – Loss reduction (sale and remaining debts) “Rather with a power of attorney than through auction” Target group • Clients with arrears with no possibility of recovery • Clients with arrears who have been out of contact with the arrears management department for several months • Cl
Slide 33: Arrears & Default Management – Arrears and Prepayments
Arrears & Default Management – Arrears and Prepayments1 • Total mortgage portfolio serviced by a.s.r. as per May 31, 2022: approximately EUR 20.9bln (WelThuis and DigiThuis labels) • Total number of loans serviced by a.s.r. as per May 31, 2022: approximately 85,000 (WelThuis and DigiThuis labels) •
Slide 34: Arrears & Default Management – Defaults and Losses
Arrears & Default Management – Defaults and Losses1 • Overall, a.s.r. has experienced strong performance on its portfolio • Historical data is available as of 2016 onwards, and confirms the low default2 and loss rate observed over the last couple of years Dynamic Defaults per year Dynamic Losses per
Slide 35: Arrears & Default Management – Defaults and Losses
Arrears & Default Management – Defaults and Losses1 • The static default2 and loss data of a.s.r. results in the same conclusion: performance of the portfolio has been strong • Losses incurred by a.s.r. differ by seasoning, with the highest losses for loans originated in 2016, whereas afterwards los
Slide 36: a.s.r. mortgages ESG
de nederlandse vermogens beheerders a.s.r. mortgages ESG
Slide 37: a.s.r. mortgages is frontrunner regarding home sustainability
a.s.r. mortgages is frontrunner regarding home sustainability • Proactively offering Sustainability Mortgages since 2019 • First provider to offer execution-only sustainability mortgages to existing customers • Webinars and podcasts to help advisors and clients regarding sustainability • Prize-winni
Slide 38: ESG is key in all mortgage solutions
ESG is key in all mortgage solutions Environment: a.s.r. intends to promote the energy transition by offering: a.s.r. sustainability mortgage • A standard amount of € 9,000 for sustainability expenses is offered as part of all new mortgage applications. These funds are available based on submitted i
Slide 39: ESG is key in all mortgage solutions
ESG is key in all mortgage solutions Social: Accessible home-ownership for as many as possible: • First-time buyers: a.s.r. WelThuis Startershypotheek. Repayments spread over a period of 30+ years • Senior citizens: a.s.r. Levensrente hypotheek. A mortgage that allows customers receiving old-age-pen
Slide 40: Results environment
Results environment • a.s.r. is leading the market in terms of % of new clients with a sustainabilty component proportion of new mortgage customers who include sustainability financing. 35% In total, over 2022, a.s.r. has seen 30% 25% 22.7% of its new mortgages including 20% sustainability financing
Slide 41: Results environment
Results environment Energy labels before and after renovation • Compared to the 2015 base year, a.s.r. mortgages has reduced KPI 2024 Target 2024 Ultimo 2022 A 10% 49% CO2 emissions by more than 60% CO2-reduction 50% 64,37% B 16% 15% Impact-investments EUR 100 m EUR 81.5 m C 32% 11% • We measured th
Slide 42: Dutch Mortgage Market
de nederlandse vermogens beheerders Dutch Mortgage Market
Slide 43: Dutch economy
Dutch economy • Generous government support and rising wages boost household Unemployment1 spending at home and abroad, preventing a recession in Q4 2022. x 1,000 % Growth in the in the final months of 2022 was relatively strong at 0.6 10,500 10 percent quarter-on-quarter. Taken together, economic g
Slide 44: House price developments
House price developments • Home prices are expected to fall this year, as a portion of potential homebuyers have dropped out due to rising mortgage rates and high inflation. In 2023, home prices are assumed to fall 4.2 percent year-on-year. By the end of 2023, home prices are expected to be 7.6 perc
Slide 45: Transaction and supply developments
Transaction and supply developments • In recent years, the number of transactions of existing owner-occupied homes decreased significantly. This was mainly due to the lack of supply. In 2022, the counter remained at 193,000 homes sold, 14.6 percent less than in 2021 • Due to the housing price drop a
Slide 46: Dutch residential mortgage market
Dutch residential mortgage market • Mortgage interest rates hit their historical lowest levels in 2021. Since then the market is observing a turnaround and interest rates began to rise as can be observed in the bottom right graph. At the end of 2022 the rates did however shows signs of stagnation •
Slide 47: Mortgage foreclosures and losses
Mortgage foreclosures and losses • The mortgage payment arrears in Europe have been declining over the last couple of years, where the Netherlands remains the best in class with the lowest arrears in the area with a decreasing trend since the second half of 2014 • A trend of declining public auction
Slide 48: Transaction Summary
Transaction Summary de nederlandse vermogens beheerders
Slide 49: Transaction highlights
Transaction highlights • ASR Levensverzekering N.V. is offering EUR [--]m of Issuer Delhinus 2023-I B.V. Class A Notes through Delphinus 2023-I B.V. • The Class A Notes and Class B Notes will be backed by a Seller/Servicer ASR Levensverzekering N.V. portfolio of Dutch prime, owner occupied Mortgage
Slide 50: Transaction structure
Transaction structure Servicer Cash Advance Facility Paying Agent and Issuer Administrator Swap Counterparty ASR Levensverzekering N.V. Provider and Account Bank Agent Bank Intertrust Administrative Coöperatieve Rabobank (Sub-servicer: Stater Coöperatieve Rabobank Deutsch Bank, Services B.V. U.A. Ne
Slide 51: Credit enhancement and liquidity
Credit enhancement and liquidity Credit enhancement Excess margin • Excess margin of [40]bps p.a. of the Net Outstanding Principal Amount of the Mortgage Receivables is guaranteed through the Swap Agreement Reserve account • The Reserve Account will be funded with the proceeds of the Class C Notes,
Slide 52: Set-off risk mitigants
Set-off risk mitigants Savings • Savings Mortgage Loans were offered in combination with a Savings Insurance Policy provided by ASR Participation Levensverzekering N.V. Agreement • Set-off risk in the relevant loans is eliminated by passing on the amounts that would have accumulated under the Saving
Slide 53: Other structural risk mitigants
Other structural risk mitigants Interest rate hedging • At the closing date, the Issuer will enter into an interest rate swap agreement with the Swap Counterparty (Rabobank (A+/Aa2/A+)) • Under this swap the Issuer pays: • Scheduled interest from the Mortgage Receivables (including Prepayment Penalt
Slide 54: Revenue priority of payments (simplified)
Revenue priority of payments (simplified) Interest on Mortgage Receivables Interest received on Issuer Accounts Available Revenue Funds Prepayment and interest penalties Senior expenses and servicing fee Net proceeds not relating to principal Cash Advance Facility payments Cash Advance Facility Draw
Slide 55: Principal priority of payments (simplified)
Principal priority of payments (simplified) Principal on Mortgage Receivables Net proceeds relating to principal Repurchase of Mortgage Receivables relating to principal Sale of Mortgage Receivables relating to principal Available Principal Funds Savings Participation Increase and Initial Available
Slide 56: Indicative amortisation profile
Indicative amortisation profile Assumptions Indicative amortisation profile of Class A Notes and Class B Notes 100% • Initial Cut-Off Date at [1-4-2023] 90% • Call at the FORD in [September 2029] 80% 70% • No arrears and/or losses 60% 50% • CPR of [5]% 40% Class A 30% • Class A Note of [95.0]% and C
Slide 57: Benchmark Dutch RMBS transactions
Benchmark Dutch RMBS transactions Delphinus 2023-I SAECURE 21 Green STORM 2023 Green Apple 2021-I Closing date [13 July 2023] 24 May 2023 23 March 2023 23 June 2021 Seller ASR Levensverzekering N.V. Aegon Hypotheken B.V. Obvion N.V. Argenta Spaarbank N.V. Class A Notes WAL [4.9]y 4.9y 4.9y 4.9y Cred
Slide 58: Provisional Pool Characteristics
Provisional Pool Characteristics
Slide 59: Provisional pool characteristics – General Overview
Provisional pool characteristics – General Overview • The information provided is the provisional Component Total Pool pool as per [1 April 2023] Principal balance (EUR) [622,516,358.75] • The following Mortgage Receivables are Value of savings deposits (EUR) [23,416,958.12] excluded from the provis
Slide 60: Provisional pool characteristics – Foreclosure & Market Values
Provisional pool characteristics – Foreclosure & Market Values Total – Loan to Foreclosure Values Total – Loan to market values Weighted Average CLTIFV [65.5]% Weighted Average CLTIMV [55.3]% Weighted Average CLTOFV [84.3]% Weighted Average CLTOMV [71.2]% Weighted Average OLTOFV [94.8]% Weighted Ave
Slide 61: Provisional pool characteristics – Loan Size and Deposits
Provisional pool characteristics – Loan Size and Deposits Distribution by Loan Size Outstanding Loan Amount (in EUR 1,000) • The average Outstanding Principal Amount per borrower is 20.0% EUR [226,674] 15.0% • [90.7]% of the portfolio has an Outstanding Principal Amount <= EUR 500,000 10.0% • The la
Slide 62: Provisional pool characteristics – Loan Types
Provisional pool characteristics – Loan Types Mortgage Loan Type Redemption Types 2.8% 0.2% • Interest-only Loan Parts represent [35.5]% of the pool 1.7% 5.9% Annuity • NHG guaranteed Loan Parts represent [28.3]% of the pool Extended Annuity • The Extended Annuity Mortgage Loan are for tax purposes
Slide 63: Provisional pool characteristics – Income Data
Provisional pool characteristics – Income Data Employment Status Borrower Employment Status 0.4% • Strict criteria are applicable for determining the income for 6.4% self-employed Borrowers 9.5% • a.s.r. does not provide Mortgage Loans to self-certified Employed Borrowers Self-employed Pensioner Oth
Slide 64: Provisional pool characteristics – Geographical Distribution
Provisional pool characteristics – Geographical Distribution Geographical Distribution • The Mortgage Loans are very well distributed geographically [2.2]% throughout the Netherlands • The largest proportions of the pool are found in [Zuid-Holland], [2.9]% [Noord-Brabant], [Noord-Holland] and [Gelde
Slide 65: Provisional pool characteristics – Interest Rates
Provisional pool characteristics – Interest Rates Distribution by Interest Rates- Loan Part Coupon (Interest Rate Bucket) • The weighted average interest rate in the pool equals [2.34]% 35.0% 30.0% • The highest interest rate equals [6.10]%, whereas the lowest 25.0% Interest Rate equals [0.70]% 20.0
Slide 66: Provisional pool characteristics – Energy Performance
Provisional pool characteristics – Energy Performance Energy Performance Energy Labels • The pool includes a mixture of energy labels, with the largest portion of the pool comprising the energy label [A], followed by 9.4% A energy label [C], and the smallest portion representing energy 7.1% 27.3% B
Slide 67: Appendix: Timelines
Appendix: Timelines de nederlandse vermogens beheerders
Slide 68: Timelines and transaction information
Timelines and transaction information Transaction timelines Transaction information • ESMA investor report available on the DSA June/July 2023 Investor reports website and European Data Warehouse MO TU WE TH FR • ESMA template published on the DSA website Loan level data and European Data Warehouse
Slide 69: Appendix: Contact Details
de nederlandse vermogens beheerders Appendix: Contact Details
Slide 70: Contact Details
Contact Details ASR Levensverzekering N.V. Rabobank (Arranger and Joint Lead Manager) BNP Paribas (Joint Lead Manager) Michael Heemelaar Bjorn Alink Frederic Lautard Managing Director Treasury & (Alternative) Fixed Income Head Securitisation & Covered Bonds Securitisation Telephone: +31 (0)6 8364 98
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