Green Lion 2023-1 B.V.
ESMA identifier: 3TK20IVIUJ8J3ZU0QE75N202301
Portfolio and Performance Report
Reporting Period: 1 May 2024 - 31 May 2024
Reporting Date: 24 June 2024
AMOUNTS IN EURO
Green Lion 2023-1 B.V.
Email: Securitisatie.Hypotheken@ing.nl
www.dutchsecuritisation.nl | Report Version 2.0 |
Green Lion 2023-1 B.V.
Portfolio and Performance Report: 1 May 2024 - 31 May 2024
Table of Contents
Page | |
Key Dates | 3 |
The Mortgage Loan Portfolio | 3 |
Foreclosure Statistics | 4 |
Performance Ratios | 5 |
Transaction Specific Information | 6 |
Stratification Tables | 7 |
Glossary | 39 |
Contact Information | 41 |
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Green Lion 2023-1 B.V.
Portfolio and Performance Report: 1 May 2024 - 31 May 2024
Key Dates
Securitisation Dates | |
Closing Date | 4 Oct 2023 |
Portfolio Cut-off Date | 31 May 2024 |
Revolving Period End-Date | 23 Jul 2028 |
Final Maturity Date | 23 Jul 2065 |
The Mortgage Loan Portfolio
Number of Mortgage Loans | ||
Number of Mortgage Loans at the beginning of the Reporting Period | 2,711 | |
Repaid in full Mortgage Loans | -/- | 19 |
Purchased Mortgage loans | 0 | |
Repurchased Mortgage Loans | -/- | 0 |
Foreclosed Mortgage Loans | -/- | 0 |
Other | 3 | |
Number of Mortgage Loans at the end of the Reporting Period | 2,695 | |
Amounts of Mortgage Loans | ||
Net Outstanding balance at the beginning of the Reporting Period | 890,783,730.33 | |
Repayments | -/- | 1,562,180.32 |
Prepayments | -/- | 5,400,521.57 |
Further Advances | 0.00 | |
Purchased Mortgage Loans | 0.00 | |
Repurchased Mortgage Loans | -/- | 0.00 |
Foreclosed Mortgage Loans | -/- | 0.00 |
Other | 6,440.57 | |
Net Outstanding balance at the end of the Reporting Period | 883,827,469.01 | |
Amount of Construction Deposit Obligations | ||
Construction Deposit Obligations at the beginning of the Reporting Period | 416,734.42 | |
Changes in Construction Deposit Obligations | -43,167.94 | |
Construction Deposit Obligations at the end of the Reporting Period | 373,566.48 |
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Green Lion 2023-1 B.V.
Portfolio and Performance Report: 1 May 2024 - 31 May 2024
Foreclosure Statistics
Previous Period | Current Period | ||
Defaulted Mortgage Loans | |||
The total outstanding principal amount in default, according to securitisation documentation | 0 | 0 | |
The total outstanding principal amount in default, according to Article 178 of the CRR | 423,369 | 422,385 | |
Mortgage Loans foreclosed in the reporting period | |||
Number of Mortgage Loans foreclosed during the Reporting Period | 0 | 0 | |
Net principal balance of Mortgage Loans foreclosed during the Reporting Period | 0.00 | 0.00 | |
Other foreclosed amounts (e.g. interest in arrears and penalties) during the Reporting Period | 0.00 | 0.00 | |
Total amount of foreclosures of Mortgage Loans during the Reporting Period | 0.00 | 0.00 | |
Recoveries from sales on Foreclosed Mortgage Loans during the Reporting Period | -/- | 0.00 | 0.00 |
Total amount of losses on Foreclosed Mortgage Loans during the Reporting Period | 0.00 | 0.00 | |
Post-Foreclosure recoveries on Foreclosed Mortgage Loans during the Reporting Period | -/- | 0.00 | 0.00 |
Losses minus recoveries during the Reporting Period | 0.00 | 0.00 | |
Average loss severity during the Reporting Period | 0.00 | 0.00 | |
Mortgage loans foreclosed since Closing Date | |||
Number of Mortgage Loans foreclosed since the Closing Date | 0 | 0 | |
Percentage of number of Mortgage Loans at Closing Date (%, including replenished loans) | 0.00% | 0.00% | |
Net principal balance of Mortgage Loans foreclosed since the Closing Date | 0.00 | 0.00 | |
Percentage of net principal balance at the Closing Date (%, including replenished loans) | 0.00% | 0.00% | |
Net principal balance of Mortgage Loans foreclosed since the Closing Date | 0.00 | 0.00 | |
Other foreclosed amounts (e.g. interest in arrears and penalties) since the Closing Date | 0.00 | 0.00 | |
Total amount of foreclosures of Mortgage Loans since the Closing Date | 0.00 | 0.00 | |
Recoveries from sales on Foreclosed Mortgage Loans since the Closing Date | -/- | 0.00 | 0.00 |
Total amount of losses on Mortgage Loans foreclosed since the Closing Date | 0.00 | 0.00 | |
Post-Foreclosure recoveries on Mortgage Loans Foreclosed since the Closing Date | -/- | 0.00 | 0.00 |
Losses minus recoveries since the Closing Date | 0.00 | 0.00 | |
Average loss severity since the Closing Date | 0.00 | 0.00 | |
Mortgage loans in Foreclosure | |||
Number of Mortgage Loans in foreclosure at the beginning of the Reporting Period | 0 | 0 | |
Number of new Mortgage Loans foreclosed during the Reporting Period | 0 | 0 | |
Number of Mortgage Loans for which foreclosure was completed in the Reporting Period | -/- | 0 | 0 |
Number of Mortgage Loans in foreclosure at the end of the Reporting Period | 0 | 0 | |
Net principal balance of Mortgage Loans in foreclosure at the beginning of the Reporting Period | 0.00 | 0.00 | |
Net principal balance of new Mortgage Loans in foreclosure during the Reporting Period | 0.00 | 0.00 | |
Net principal balance of Mortgage Loans for which foreclosure was completed during the Reporting Period | -/- | 0.00 | 0.00 |
Net principal balance of Mortgage Loans in foreclosure at the end of the Reporting Period | 0.00 | 0.00 |
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Green Lion 2023-1 B.V.
Portfolio and Performance Report: 1 May 2024 - 31 May 2024
Performance Ratios
Previous Period | Current Period | |
Constant Prepayment Rate (CPR) | ||
Annualized Life CPR | 3.710% | 4.087% |
Annualized 1-month average CPR | 3.212% | 7.052% |
Annualized 3-month average CPR | 3.810% | 5.129% |
Annualized 6-month average CPR | 4.076% | 4.731% |
Annualized 12-month average CPR | N/A | N/A |
Principal Payment Rate (PPR) | ||
Annualized Life PPR | 2.096% | 2.096% |
Annualized 1-month average PPR | 2.083% | 2.098% |
Annualized 3-month average PPR | 2.096% | 2.096% |
Annualized 6-month average PPR | 2.099% | 2.098% |
Annualized 12-month average PPR | N/A | N/A |
Payment Ratio | ||
Periodic Payment Ratio | 99.810% | 99.750% |
Constant Default Rate | ||
Constant Default Rate current month | 0.000% | 0.000% |
Constant Default Rate 3-month average | 0.210% | 0.000% |
Constant Default Rate 6-month average | 0.258% | 0.258% |
Constant Default Rate 12-month average | 0.000% | 0.000% |
Constant Default Rate to date | 0.194% | 0.172% |
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Green Lion 2023-1 B.V.
Portfolio and Performance Report: 1 May 2024 - 31 May 2024
Transaction Specific Information
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Green Lion 2023-1 B.V.
Portfolio and Performance Report: 1 May 2024 - 31 May 2024
Green Lion 2023-1 RMBS B.V.
1. Key Characteristics
Description | As per Reporting Date | As per Closing Date |
Principal amount | 883,827,469.01 | 894,799,317.60 |
Value of savings deposits | 0.00 | 0.00 |
Net principal balance | 883,827,469.01 | 894,799,317.60 |
Construction Deposits | 373,566.48 | 852,881.67 |
Net principal balance excl. Construction and Saving Deposits | 883,453,902.53 | 893,946,435.93 |
Negative balance | 0.00 | 0.00 |
Net principal balance excl. Construction and Saving Deposits and Negative Balance | 883,453,902.53 | 893,946,435.93 |
Number of loans | 2,695 | 2,655 |
Number of loanparts | 5,325 | 5,133 |
Number of negative loanparts | 0 | 0 |
Average principal balance (borrower) | 327,950.82 | 337,024.23 |
Weighted average current interest rate | 2.51% | 2.48% |
Weighted average maturity (in years) | 27.16 | 27.83 |
Weighted average remaining time to interest reset (in years) | 12.31 | 13.09 |
Weighted average seasoning (in years) | 2.32 | 1.67 |
Weighted average CLTOMV | 73.76% | 75.54% |
Weighted average CLTIMV | 68.24% | 73.22% |
Weighted average OLTOMV | 78.75% | 79.18% |
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Green Lion 2023-1 B.V.
Portfolio and Performance Report: 1 May 2024 - 31 May 2024
2. Delinquencies
From ( >=) Until ( < ) | Arrears Amount | Net Principal Balance | % of Total | Nr of | % of Total | Weighted | Weighted | Weighted |
Loanparts | Average | Average | Average | |||||
Coupon | Maturity | CLTOMV | ||||||
Performing | 8,024.82 | 883,405,083.68 | 99.95% | 5,324 | 99.98% | 2.51% | 27.16 | 73.76% |
< 29 days | ||||||||
30 days - 59 days | ||||||||
60 days - 89 days | ||||||||
90 days - 119 days | ||||||||
120 days - 149 days | ||||||||
150 days - 179 days | ||||||||
180 days > | 0.00 | 422,385.33 | 0.05% | 1 | 0.02% | 1.73% | 27.75 | 84.48% |
Total | 8,024.82 | 883,827,469.01 | 100.00% | 5,325 | 100.00% | 2.51% | 27.16 | 73.76% |
The number of days past due is determined according to the EBA Definition of Default, using relative and absolute thresholds. As a result, mortgage loans with an arrears amount could be considered performing if both thresholds are not satisfied. Conservatively, mortgage loans which are considered "Unlikely to Pay" or are considered in "Default", but are less than 90 days overdue, are classified within the >180+ days arrear bucket.
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Green Lion 2023-1 B.V.
Portfolio and Performance Report: 1 May 2024 - 31 May 2024
3. Redemption Type
Description | Net Principal Balance | % of Total | Nr of | % of Total | Weighted | Weighted | Weighted | % of Total |
Loanparts | Average | Average | Average | Not.Amount at | ||||
Coupon | Maturity | CLTOMV | Closing Date | |||||
Annuity (FRXX) | 670,117,539.69 | 75.82% | 3,771 | 70.82% | 2.53% | 27.13 | 77.10% | 77.28% |
German Amortisation (DEXX) | ||||||||
Linear (FIXE) | 26,583,341.44 | 3.01% | 165 | 3.10% | 2.32% | 26.26 | 62.82% | 3.40% |
Interest Only (BLLT) | 187,126,587.88 | 21.17% | 1,389 | 26.08% | 2.46% | 27.41 | 63.35% | 19.32% |
Other (OTHR) | ||||||||
Total | 883,827,469.01 | 100.00% | 5,325 | 100.00% | 2.51% | 27.16 | 73.76% | 100.00% |
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Green Lion 2023-1 B.V.
Portfolio and Performance Report: 1 May 2024 - 31 May 2024
4. Loanpart Coupon (interest rate bucket)
From (>=) - Until (<) | Net Principal Balance | % of Total | Nr of | % of Total | Weighted | Weighted | Weighted | % of Total | |
Loanparts | Average | Average | Average | Not.Amount at | |||||
Coupon | Maturity | CLTOMV | Closing Date | ||||||
< 0.50% | |||||||||
0.50% | - 1.00% | 7,733,747.10 | 0.88% | 56 | 1.05% | 0.94% | 26.77 | 86.14% | 0.94% |
1.00% | - 1.50% | 165,053,069.14 | 18.67% | 985 | 18.50% | 1.33% | 26.58 | 74.04% | 18.80% |
1.50% | - 2.00% | 265,267,153.68 | 30.01% | 1,523 | 28.60% | 1.73% | 26.63 | 75.68% | 30.65% |
2.00% | - 2.50% | 80,571,005.53 | 9.12% | 516 | 9.69% | 2.24% | 26.59 | 73.95% | 9.03% |
2.50% | - 3.00% | 73,165,042.88 | 8.28% | 460 | 8.64% | 2.72% | 27.20 | 71.55% | 8.28% |
3.00% | - 3.50% | 60,715,323.05 | 6.87% | 353 | 6.63% | 3.24% | 27.88 | 69.02% | 7.06% |
3.50% | - 4.00% | 99,179,183.27 | 11.22% | 570 | 10.70% | 3.75% | 28.19 | 72.21% | 11.22% |
4.00% | - 4.50% | 84,321,185.13 | 9.54% | 531 | 9.97% | 4.28% | 28.29 | 71.53% | 9.10% |
4.50% | - 5.00% | 45,429,348.79 | 5.14% | 291 | 5.46% | 4.63% | 28.07 | 76.93% | 4.73% |
5.00% | - 5.50% | 1,657,164.38 | 0.19% | 24 | 0.45% | 5.16% | 27.50 | 68.25% | 0.12% |
5.50% | - 6.00% | 481,690.06 | 0.05% | 9 | 0.17% | 5.62% | 27.48 | 60.78% | |
6.00% | - 6.50% | 253,556.00 | 0.03% | 7 | 0.13% | 6.23% | 25.62 | 55.77% | 0.06% |
6.50% | - 7.00% | ||||||||
7.00% | >= |
Unknown
Total | 883,827,469.01 | 100.00% | 5,325 | 100.00% | 2.51% | 27.16 | 73.76% | 100.00% | |
Weighted Average | 2.51% | ||||||||
Minimum | 0.74% | ||||||||
Maximum | 6.23% |
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ING Groep NV published this content on 25 June 2024 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 25 June 2024 07:07:44 UTC.