ING GROEP N.V. SOL Lion II RMBS Fondo de Titulización
Monthly Investor Repor t
29 April 2024
SOL Lion II
Monthly Investor Repor t as of 29-Apr-24
Description
Issue Date | 4 | December 2020 |
Final Maturity Date | 31 | December 2063 |
Next Payment Date | 28 June 2024 |
Notes | ISIN | Ratings | Current Principal Balance | Initial Principal Balance | Rate of Interest | ||||||
Fitch | DBRS | ||||||||||
Class A1 Notes | ES0305515001 | AAA(sf) | AAA(sf) | 5,262,300,000 € | 4,696,500,000 € | Euribor 3M + 0.25% | |||||
Class A2 Notes | ES0305515019 | AAA(sf) | AAA(sf) | 1,052,500,000 € | 939,300,000 € | Euribor 3M + 0.35% | |||||
Class A3 Notes | ES0305515027 | AAA(sf) | AAA(sf) | 3,999,300,000 € | 3,569,300,000 € | Euribor 3M + 0.45% | |||||
Class A4 Notes | ES0305515035 | AAA(sf) | AAA(sf) | 1,052,300,000 € | 939,200,000 € | Euribor 3M + 0.55% | |||||
Class A5 Notes | ES0305515043 | AAA(sf) | AAA(sf) | 842,000,000 € | 751,400,000 € | Euribor 3M + 0.65% | |||||
Class A6 Notes | ES0305515050 | AAA(sf) | AAA(sf) | 1,278,600,000 € | 1,141,200,000 € | Euribor 3M + 0.75% | |||||
Class B Notes | ES0305515068 | AAA(sf) | AAA(sf) | 1,841,900,000 € | 1,643,800,000 € | Euribor 3M + 1.00% | |||||
Class C Notes | ES0305515076 | NR | NR | 421,100,000 € | 375,800,000 € | Euribor 3M + 1.50% | |||||
Subordinated Loan | NR | NR | 120,000,000 € | 120,200,000 € | Euribor 3M + 0.10% | ||||||
Retained by the Originator: 100% | 15,870,000,000 € | 14,176,700,000 € | |||||||||
1. Summary | |||||||||||
All amounts in EURO | Current | At Issue | |||||||||
Reporting Date | 29-Apr-24 | 04-Dec-20 | |||||||||
Portfolio Cut off date | 31-Mar-24 | 31-Oct-20 | |||||||||
Current Principal Balance (*) | 15,870,000,000.00 | 14,176,700,000.00 | |||||||||
Of wich Cash Reserve (1) | 120,000,000.00 | 120,200,000.00 | |||||||||
Of wich Cash Available for Replenishment of the Notes (2) | 187,190,203.21 | 44,820.55 | |||||||||
Of which Active Outstanding Notional Amount (3) | 15,562,809,796.79 | 14,056,455,179.45 | |||||||||
Of which Principal in Arrears | 1,606,129.85 | 0.00 | |||||||||
Realised Loss | 6,907.17 | 0.00 | |||||||||
Number of Loans | 165,413 | 137,493 | |||||||||
Number of Borrowers | 164,345 | 136,884 | |||||||||
Average Principal Balance (Loanparts) | 94,084.56 | 102,233.97 | |||||||||
Average Principal Balance (Borrowers) | 94,695.97 | 102,688.81 | |||||||||
Coupon: Weighted Average | 3.82% | 1.07% | |||||||||
Minimum | 0.00% | 0.00% | |||||||||
Maximum | 8.65% | 4.41% | |||||||||
Weighted Average Original Loan to Market Value | 72.45% | 70.95% | |||||||||
Weighted Average Loan to Indexed Market Value | 53.46% | 58.84% | |||||||||
Seasoning (months): Weighted Average | 72.20 | 61.59 | |||||||||
Remaining Tenor (months): Weighted Average | 304.43 | 313.60 | |||||||||
Weighted Average Interest Rate on Fixed Interest Rate Loans | 1.89% | 1.94% | |||||||||
Weighted Average Spread on Floating Rate Loans | 0.97% | 1.03% | |||||||||
(*) = (1) + (2) + (3) | |||||||||||
Stop Replenishment Criteria | Current | Initial | |||||||||
1. Aggregate Outstanding Balance of Delinquent Receivables > 2.5% | 0.27% | 0.00% | |||||||||
2. Aggregate realised losses related to Defaulted Receivables > 0.75% | 0.00% | 0.00% | |||||||||
3. Outstanding Balance of the Receivables < 13.5 bln | 15.6 | 14.1 | |||||||||
4. Reserve Fund not funded up to the Reserve Fund Required Amount | N | N | |||||||||
5. Seller replaced as Servicer of the Receivables | N | N | |||||||||
6. Seller not able to sell Additional Receivables | N | N | |||||||||
Repurchase Rights | Current | Initial | |||||||||
1. Sum of 12 months consecutive repurchases <= 1% Outstanding Balance Receivables | 0.00% | 0.00% | |||||||||
Page 1 / 16
SOL Lion II
Monthly Investor Repor t as of 29-Apr-24
2. Product Type
Current Period | Issue Date | ||||||||||
Aggregate | % of | Nr of | % of | Weighted | Aggregate | % of | Nr of | Weighted | |||
Outstanding | Average | Outstanding | % of | Average | |||||||
Product Type | Not. Amount | Total | Loans | Total | Coupon | Not. Amount | Total | Loans | Total | Coupon | |
Fixed | 170,650,247 | 1.10% | 1,650 | 1.00% | 2.16% | ||||||
Mixta | 5,097,209,333 | 32.75% | 47,733 | 28.86% | 1.89% | 2,481,546,946 | 17.65% | 22,943 | 16.69% | 1.94% | |
Variable | 10,294,950,217 | 66.15% | 116,030 | 70.15% | 4.80% | 11,574,908,234 | 82.35% | 114,550 | 83.31% | 0.88% | |
15,562,809,797 | 100.00% | 165,413 | 100.00% | 3.82% | 14,056,455,179 | 100.00% | 137,493 | 100.00% | 1.07% | ||
3. Loan Coupon
Current Period | Issue Date | |||||||||||
average: 3.82% | ||||||||||||
Aggregate | % of | Nr of | % of | Weighted | Aggregate | % of | Nr of | Weighted | ||||
Outstanding | Average | Outstanding | % of | Average | ||||||||
Coupon Loan Part (%) | Not. Amount | Total | Loans | Total | Coupon | Not. Amount | Total | Loans | Total | Coupon | ||
0.00% | - 0.00% | 11,431,020 | 0.07% | 106 | 0.06% | 0.00% | 178,564,802 | 1.27% | 2,066 | 1.50% | 0.00% | |
0.01% - 0.50% | 2,353,648,402 | 16.74% | 29,921 | 21.76% | 0.25% | |||||||
0.51% - 1.00% | 55,968,115 | 0.36% | 208 | 0.13% | 0.99% | 5,977,041,876 | 42.52% | 50,632 | 36.83% | 0.79% | ||
1.01% - 1.50% | 1,968,053,172 | 12.65% | 15,456 | 9.34% | 1.34% | 1,344,172,283 | 9.56% | 13,601 | 9.89% | 1.21% | ||
1.51% - 2.00% | 2,364,539,883 | 15.19% | 23,420 | 14.16% | 1.84% | 3,527,095,943 | 25.09% | 33,151 | 24.11% | 1.84% | ||
2.01% - 2.50% | 598,111,633 | 3.84% | 6,791 | 4.11% | 2.25% | 525,134,950 | 3.74% | 6,119 | 4.45% | 2.24% | ||
2.51% | - 3.00% | 336,072,086 | 2.16% | 3,120 | 1.89% | 2.76% | 139,578,147 | 0.99% | 1,816 | 1.32% | 2.69% | |
3.01% | - 3.25% | 126,138,717 | 0.81% | 919 | 0.56% | 3.17% | 5,153,514 | 0.04% | 93 | 0.07% | 3.15% | |
3.26% | - 3.50% | 141,952,468 | 0.91% | 1,107 | 0.67% | 3.40% | 4,015,968 | 0.03% | 55 | 0.04% | 3.38% | |
3.51% | - 3.75% | 92,804,072 | 0.60% | 866 | 0.52% | 3.64% | 949,495 | 0.01% | 24 | 0.02% | 3.60% | |
3.76% | - 4.00% | 288,667,469 | 1.85% | 4,079 | 2.47% | 3.97% | 457,697 | 0.00% | 7 | 0.01% | 3.92% | |
4.01% | - 4.25% | 327,403,458 | 2.10% | 5,417 | 3.27% | 4.13% | 553,095 | 0.00% | 6 | 0.00% | 4.15% | |
4.26% | - 4.50% | 953,218,631 | 6.12% | 11,932 | 7.21% | 4.42% | 89,008 | 0.00% | 2 | 0.00% | 4.40% | |
4.51% | - 4.75% | 2,091,903,813 | 13.44% | 24,352 | 14.72% | 4.63% | ||||||
4.76% | - 5.00% | 1,048,912,655 | 6.74% | 10,013 | 6.05% | 4.88% | ||||||
5.01% | - 5.25% | 3,277,939,388 | 21.06% | 33,325 | 20.15% | 5.10% | ||||||
5.26% - 5.50% | 695,188,593 | 4.47% | 7,910 | 4.78% | 5.36% | |||||||
5.51% - 5.75% | 538,909,498 | 3.46% | 6,857 | 4.15% | 5.60% | |||||||
5.76% - 6.00% | 331,760,392 | 2.13% | 4,442 | 2.69% | 5.89% | |||||||
6.01% - 6.25% | 182,860,519 | 1.17% | 2,860 | 1.73% | 6.09% | |||||||
6.26% - 6.50% | 75,492,703 | 0.49% | 1,205 | 0.73% | 6.38% | |||||||
6.51% - 6.75% | 20,943,290 | 0.13% | 392 | 0.24% | 6.64% | |||||||
6.76% | - 7.00% | 23,793,853 | 0.15% | 416 | 0.25% | 6.84% | ||||||
7.01% | - 7.25% | 4,793,122 | 0.03% | 100 | 0.06% | 7.16% | ||||||
7.26% | - 7.50% | 785,874 | 0.01% | 30 | 0.02% | 7.37% | ||||||
7.51% | - > | 5,165,374 | 0.03% | 90 | 0.05% | 7.71% | ||||||
15,562,809,797 | 100.00% | 165,413 | 100.00% | 3.82% | 14,056,455,179 | 100.00% | 137,493 | 100.00% | 1.07% | |||
Page 2 / 16
SOL Lion II
Monthly Investor Repor t as of 29-Apr-24
4. Origination Year
Current Period | Issue Date | ||||||||||
Aggregate | Weighted | Aggregate | Nr of | Weighted | |||||||
Outstanding | % of | Nr of | % of | Average | Outstanding | % of | % of | Average | |||
Origination Year | Not. Amount | Total | Loans | Total | Coupon | Not. Amount | Total | Loans | Total | Coupon | |
2003 | 8,084,817 | 0.05% | 205 | 0.12% | 4.59% | 13,138,132 | 0.09% | 251 | 0.18% | 0.37% | |
2004 | 65,636,193 | 0.42% | 1,783 | 1.08% | 4.53% | 103,314,791 | 0.73% | 1,998 | 1.45% | 0.33% | |
2005 | 191,988,641 | 1.23% | 4,610 | 2.79% | 4.51% | 287,211,705 | 2.04% | 4,998 | 3.64% | 0.31% | |
2006 | 247,738,991 | 1.59% | 4,698 | 2.84% | 4.42% | 375,351,882 | 2.67% | 5,255 | 3.82% | 0.25% | |
2007 | 402,729,616 | 2.59% | 6,350 | 3.84% | 4.33% | 607,645,344 | 4.32% | 7,458 | 5.42% | 0.17% | |
2008 | 384,209,380 | 2.47% | 5,716 | 3.46% | 4.33% | 618,346,496 | 4.40% | 7,288 | 5.30% | 0.22% | |
2009 | 153,162,096 | 0.98% | 2,336 | 1.41% | 4.71% | 247,761,256 | 1.76% | 3,034 | 2.21% | 0.55% | |
2010 | 228,758,208 | 1.47% | 3,050 | 1.84% | 4.70% | 327,574,661 | 2.33% | 3,506 | 2.55% | 0.51% | |
2011 | 375,435,922 | 2.41% | 4,772 | 2.88% | 4.67% | 370,047,109 | 2.63% | 3,673 | 2.67% | 0.54% | |
2012 | 203,970,419 | 1.31% | 3,074 | 1.86% | 5.55% | 387,209,073 | 2.75% | 4,372 | 3.18% | 1.41% | |
2013 | 121,505,863 | 0.78% | 1,846 | 1.12% | 6.22% | 238,585,452 | 1.70% | 2,845 | 2.07% | 2.05% | |
2014 | 278,402,513 | 1.79% | 4,155 | 2.51% | 5.89% | 584,279,691 | 4.16% | 6,694 | 4.87% | 1.72% | |
2015 | 522,340,805 | 3.36% | 6,827 | 4.13% | 5.13% | 954,246,142 | 6.79% | 9,806 | 7.13% | 1.12% | |
2016 | 869,040,323 | 5.58% | 10,337 | 6.25% | 4.70% | 1,493,188,650 | 10.62% | 14,006 | 10.19% | 0.95% | |
2017 | 1,121,141,868 | 7.20% | 12,154 | 7.35% | 4.39% | 1,733,815,511 | 12.33% | 15,154 | 11.02% | 1.06% | |
2018 | 1,825,605,411 | 11.73% | 18,227 | 11.02% | 3.83% | 2,468,206,483 | 17.56% | 20,561 | 14.95% | 1.19% | |
2019 | 2,272,434,064 | 14.60% | 21,994 | 13.30% | 3.78% | 2,871,385,545 | 20.43% | 23,511 | 17.10% | 1.42% | |
2020 | 1,672,946,433 | 10.75% | 15,660 | 9.47% | 3.31% | 375,147,259 | 2.67% | 3,083 | 2.24% | 1.85% | |
2021 | 2,056,578,583 | 13.21% | 17,469 | 10.56% | 3.10% | ||||||
2022 | 1,517,464,243 | 9.75% | 12,607 | 7.62% | 3.05% | ||||||
2023 | 1,043,635,407 | 6.71% | 7,543 | 4.56% | 2.75% | ||||||
15,562,809,797 | 100.00% | 165,413 | 100.00% | 3.82% | 14,056,455,179 | 100.00% | 137,493 | 100.00% | 1.07% | ||
Page 3 / 16
SOL Lion II
Monthly Investor Repor t as of 29-Apr-24
5. Maturity Year
Current Period | Issue Date | ||||||||||
Aggregate | % of | Weighted | Aggregate | Nr of | % of | Weighted | |||||
Outstanding | % of | Nr of | Average | Outstanding | % of | Average | |||||
Maturity Year | Not. Amount | Total | Loans | Total | Coupon | Not. Amount | Total | Loans | Total | Coupon |
2021 | |||
2022 | |||
2023 | 3,811 | 0.00% | 1 |
2024 | 2,535,763 | 0.02% | 1,036 |
2025 | 13,205,248 | 0.08% | 1,665 |
2026 | 26,513,448 | 0.17% | 1,907 |
2027 | 38,156,421 | 0.25% | 1,928 |
2028 | 50,281,262 | 0.32% | 1,993 |
2029 | 71,255,507 | 0.46% | 2,354 |
2030 | 102,965,774 | 0.66% | 2,880 |
2031 | 125,589,104 | 0.81% | 3,024 |
2032 | 152,525,744 | 0.98% | 3,254 |
2033 | 181,320,545 | 1.17% | 3,481 |
2034 | 203,734,371 | 1.31% | 3,709 |
2035 | 266,831,032 | 1.71% | 4,597 |
2036 | 331,787,201 | 2.13% | 5,028 |
2037 | 353,235,205 | 2.27% | 4,940 |
2038 | 318,816,923 | 2.05% | 4,239 |
2039 | 268,800,723 | 1.73% | 3,549 |
2040 | 311,292,701 | 2.00% | 3,853 |
2041 | 386,018,010 | 2.48% | 4,495 |
2042 | 398,954,252 | 2.56% | 4,477 |
2043 | 487,972,974 | 3.14% | 5,224 |
2044 | 470,047,074 | 3.02% | 5,050 |
2045 | 501,355,498 | 3.22% | 5,124 |
2046 | 643,275,926 | 4.13% | 6,248 |
2047 | 616,244,738 | 3.96% | 5,816 |
2048 | 610,429,617 | 3.92% | 5,684 |
2049 | 634,614,679 | 4.08% | 5,816 |
2050 | 616,739,183 | 3.96% | 5,406 |
2051 | 689,692,729 | 4.43% | 5,690 |
2052 | 582,214,361 | 3.74% | 4,768 |
2053 | 566,679,113 | 3.64% | 4,524 |
2054 | 541,126,343 | 3.48% | 4,436 |
2055 | 508,349,565 | 3.27% | 4,103 |
2056 | 593,015,169 | 3.81% | 4,780 |
2057 | 629,182,328 | 4.04% | 5,035 |
2058 | 737,162,844 | 4.74% | 6,021 |
2059 | 822,811,517 | 5.29% | 6,696 |
2060 | 585,075,118 | 3.76% | 4,593 |
2061 | 555,365,650 | 3.57% | 3,999 |
2062 | 368,551,318 | 2.37% | 2,626 |
2063 | 199,081,006 | 1.28% | 1,364 |
1,274,836 | 0.01% | 111 | 0.08% | 0.58% | ||
8,855,293 | 0.06% | 660 | 0.48% | 0.61% | ||
0.00% | 4.01% | 19,524,532 | 0.14% | 1,081 | 0.79% | 0.63% |
0.63% | 4.73% | 32,658,946 | 0.23% | 1,397 | 1.02% | 0.67% |
1.01% | 4.67% | 49,125,210 | 0.35% | 1,741 | 1.27% | 0.62% |
1.15% | 4.58% | 63,676,850 | 0.45% | 1,828 | 1.33% | 0.65% |
1.17% | 4.56% | 74,337,243 | 0.53% | 1,828 | 1.33% | 0.65% |
1.20% | 4.54% | 91,885,973 | 0.65% | 2,023 | 1.47% | 0.76% |
1.42% | 4.54% | 116,828,123 | 0.83% | 2,384 | 1.73% | 0.86% |
1.74% | 4.45% | 153,173,220 | 1.09% | 2,746 | 2.00% | 0.80% |
1.83% | 4.37% | 176,728,911 | 1.26% | 2,884 | 2.10% | 0.78% |
1.97% | 4.19% | 194,930,795 | 1.39% | 2,917 | 2.12% | 0.78% |
2.10% | 4.15% | 221,224,315 | 1.57% | 3,139 | 2.28% | 0.80% |
2.24% | 4.26% | 268,342,582 | 1.91% | 3,720 | 2.71% | 0.90% |
2.78% | 4.30% | 335,904,703 | 2.39% | 4,421 | 3.22% | 0.70% |
3.04% | 4.21% | 392,523,341 | 2.79% | 4,593 | 3.34% | 0.64% |
2.99% | 4.16% | 427,858,114 | 3.04% | 4,722 | 3.43% | 0.67% |
2.56% | 4.10% | 393,011,450 | 2.80% | 4,276 | 3.11% | 0.86% |
2.15% | 4.19% | 325,858,353 | 2.32% | 3,586 | 2.61% | 1.21% |
2.33% | 4.18% | 324,970,084 | 2.31% | 3,300 | 2.40% | 1.07% |
2.72% | 4.15% | 374,976,384 | 2.67% | 3,611 | 2.63% | 0.93% |
2.71% | 4.10% | 443,752,321 | 3.16% | 4,156 | 3.02% | 0.92% |
3.16% | 4.10% | 560,173,840 | 3.99% | 5,127 | 3.73% | 0.92% |
3.05% | 4.20% | 562,840,272 | 4.00% | 5,267 | 3.83% | 1.22% |
3.10% | 4.10% | 511,236,944 | 3.64% | 4,527 | 3.29% | 1.11% |
3.78% | 3.77% | 531,827,367 | 3.78% | 4,571 | 3.32% | 1.00% |
3.52% | 3.74% | 552,902,631 | 3.93% | 4,594 | 3.34% | 1.11% |
3.44% | 3.80% | 600,422,208 | 4.27% | 4,970 | 3.61% | 1.21% |
3.52% | 3.88% | 708,031,330 | 5.04% | 5,776 | 4.20% | 1.30% |
3.27% | 3.72% | 440,317,156 | 3.13% | 3,418 | 2.49% | 1.26% |
3.44% | 3.79% | 469,832,207 | 3.34% | 3,434 | 2.50% | 1.04% |
2.88% | 3.71% | 449,186,821 | 3.20% | 3,272 | 2.38% | 1.15% |
2.73% | 3.71% | 475,306,779 | 3.38% | 3,502 | 2.55% | 1.23% |
2.68% | 3.77% | 531,807,168 | 3.78% | 3,968 | 2.89% | 1.28% |
2.48% | 3.77% | 436,764,042 | 3.11% | 3,236 | 2.35% | 1.21% |
2.89% | 3.81% | 498,078,881 | 3.54% | 3,762 | 2.74% | 1.06% |
3.04% | 3.79% | 553,324,804 | 3.94% | 4,151 | 3.02% | 1.11% |
3.64% | 3.73% | 722,488,002 | 5.14% | 5,464 | 3.97% | 1.15% |
4.05% | 3.62% | 795,760,632 | 5.66% | 6,041 | 4.39% | 1.34% |
2.78% | 3.17% | 164,732,515 | 1.17% | 1,289 | 0.94% | 1.77% |
2.42% | 3.10% | |||||
1.59% | 2.89% | |||||
0.82% | 3.01% |
15,562,809,797 | 100.00% | 165,413 | 100.00% | 3.82% 14,056,455,179 | 100.00% | 137,493 | 100.00% | 1.07% |
Page 4 / 16
SOL Lion II
Monthly Investor Repor t as of 29-Apr-24
6. Seasoning
Current Period | Issue Date | ||||||||||
average: 6.02 | |||||||||||
Aggregate | Weighted | Aggregate | Nr of | Weighted | |||||||
Outstanding | % of | Nr of | % of | Average | Outstanding | % of | % of | Average | |||
Seasoning (years) | Not. Amount | Total | Loans | Total | Coupon | Not. Amount | Total | Loans | Total | Coupon | |
< 0.5 | 114,691,808 | 0.74% | 868 | 0.52% | 3.31% | ||||||
0.5 - 1 | 591,121,322 | 3.80% | 4,127 | 2.49% | 2.30% | 761,219,408 | 5.42% | 6,313 | 4.59% | 1.86% | |
1 - 2 | 1,391,869,649 | 8.94% | 11,311 | 6.84% | 3.34% | 2,961,969,309 | 21.07% | 24,155 | 17.57% | 1.33% | |
2 - 3 | 2,024,366,275 | 13.01% | 17,073 | 10.32% | 2.88% | 2,315,214,835 | 16.47% | 19,426 | 14.13% | 1.17% | |
3 - 4 | 1,768,570,550 | 11.36% | 15,964 | 9.65% | 3.30% | 1,696,089,645 | 12.07% | 15,056 | 10.95% | 1.03% | |
4 - 5 | 2,084,243,491 | 13.39% | 20,240 | 12.24% | 3.80% | 1,473,547,946 | 10.48% | 13,982 | 10.17% | 0.95% | |
5 - 6 | 2,058,587,062 | 13.23% | 20,282 | 12.26% | 3.68% | 809,692,012 | 5.76% | 8,492 | 6.18% | 1.23% | |
6 - 7 | 1,219,853,447 | 7.84% | 12,907 | 7.80% | 4.29% | 534,692,213 | 3.80% | 6,277 | 4.57% | 1.79% | |
7 - 8 | 928,660,306 | 5.97% | 10,761 | 6.51% | 4.63% | 278,628,071 | 1.98% | 3,251 | 2.36% | 1.92% | |
8 - 9 | 638,017,024 | 4.10% | 8,165 | 4.94% | 4.94% | 320,556,193 | 2.28% | 3,625 | 2.64% | 1.19% | |
9 - 10 | 307,021,369 | 1.97% | 4,415 | 2.67% | 5.77% | 432,180,356 | 3.07% | 4,123 | 3.00% | 0.50% | |
10 - more | 2,435,807,493 | 15.65% | 39,300 | 23.76% | 4.70% | 2,472,665,192 | 17.59% | 32,793 | 23.85% | 0.29% | |
15,562,809,797 | 100.00% | 165,413 | 100.00% | 3.82% | 14,056,455,179 | 100.00% | 137,493 | 100.00% | 1.07% | ||
7. Original Tenor
Current Period | Issue Date | |||||||||||
Tenor (years) | Aggregate | Weighted | Aggregate | Nr of | Weighted | |||||||
Outstanding | % of | Nr of | % of | Average | Outstanding | % of | % of | Average | ||||
Not. Amount | Total | Loans | Total | Coupon | Not. Amount | Total | Loans | Total | Coupon | |||
0 - 5 | 565,284 | 0.00% | 32 | 0.02% | 4.62% | 22,090 | 0.00% | 1 | 0.00% | 1.49% | ||
6 - 10 | 37,024,429 | 0.24% | 1,024 | 0.62% | 4.78% | 36,558,870 | 0.26% | 934 | 0.68% | 1.31% | ||
11 - 15 | 399,347,692 | 2.57% | 8,024 | 4.85% | 3.43% | 323,201,039 | 2.30% | 6,199 | 4.51% | 1.50% | ||
16 - 20 | 955,715,014 | 6.14% | 16,309 | 9.86% | 3.75% | 892,834,553 | 6.35% | 14,241 | 10.36% | 1.20% | ||
21 - 25 | 2,136,174,702 | 13.73% | 27,246 | 16.47% | 3.74% | 1,755,871,629 | 12.49% | 21,275 | 15.47% | 1.08% | ||
26 - 30 | 4,067,571,973 | 26.14% | 45,246 | 27.35% | 3.96% | 4,166,819,471 | 29.64% | 41,333 | 30.06% | 0.95% | ||
31 - 35 | 3,031,849,507 | 19.48% | 26,762 | 16.18% | 3.93% | 2,913,245,007 | 20.73% | 23,054 | 16.77% | 0.97% | ||
36 - 40 | 4,934,561,197 | 31.71% | 40,770 | 24.65% | 3.71% | 3,967,902,520 | 28.23% | 30,456 | 22.15% | 1.19% | ||
15,562,809,797 | 100.00% | 165,413 | 100.00% | 3.82% 14,056,455,179 | 100.00% | 137,493 | 100.00% | 1.07% | ||||
Page 5 / 16
SOL Lion II
Monthly Investor Repor t as of 29-Apr-24
8. Remaining Tenor
average: 25.37 | Current Period | Issue Date | |||||||||||
Aggregate | Weighted | Aggregate | Weighted | ||||||||||
Remaining Tenor | Nr of | ||||||||||||
Outstanding | % of | Nr of | % of | Average | Outstanding | % of | % of | Average | |||||
(years) | Not. Amount | Total | Loans | Total | Coupon | Not. Amount | Total | Loans | Total | Coupon | |||
< 1 | 3,779,115 | 0.02% | 1,267 | 0.77% | 4.68% | 427,186 | 0.00% | 40 | 0.03% | 0.52% | |||
1 - 2 | 15,625,122 | 0.10% | 1,760 | 1.06% | 4.64% | 6,565,346 | 0.05% | 522 | 0.38% | 0.61% | |||
2 - 3 | 27,563,105 | 0.18% | 1,867 | 1.13% | 4.61% | 16,903,036 | 0.12% | 1,013 | 0.74% | 0.63% | |||
3 - 4 | 40,953,029 | 0.26% | 1,974 | 1.19% | 4.55% | 29,113,819 | 0.21% | 1,299 | 0.94% | 0.68% | |||
4 - 5 | 52,588,371 | 0.34% | 2,004 | 1.21% | 4.53% | 43,199,003 | 0.31% | 1,609 | 1.17% | 0.64% | |||
5 - 6 | 75,768,733 | 0.49% | 2,442 | 1.48% | 4.52% | 62,477,988 | 0.44% | 1,894 | 1.38% | 0.62% | |||
6 - 7 | 109,237,316 | 0.70% | 2,995 | 1.81% | 4.43% | 72,558,676 | 0.52% | 1,833 | 1.33% | 0.66% | |||
7 - 8 | 128,980,652 | 0.83% | 3,015 | 1.82% | 4.35% | 87,537,464 | 0.62% | 1,981 | 1.44% | 0.69% | |||
8 - 9 | 155,290,633 | 1.00% | 3,259 | 1.97% | 4.17% | 107,640,396 | 0.77% | 2,242 | 1.63% | 0.88% | |||
9 - 10 | 184,706,579 | 1.19% | 3,498 | 2.11% | 4.17% | 143,895,239 | 1.02% | 2,667 | 1.94% | 0.82% | |||
10 | - 11 | 213,119,112 | 1.37% | 3,844 | 2.32% | 4.28% | 171,690,566 | 1.22% | 2,879 | 2.09% | 0.77% | ||
11 | - 12 | 280,784,200 | 1.80% | 4,775 | 2.89% | 4.29% | 191,531,844 | 1.36% | 2,893 | 2.10% | 0.78% | ||
12 | - 13 | 340,546,641 | 2.19% | 5,032 | 3.04% | 4.18% | 214,077,188 | 1.52% | 3,072 | 2.23% | 0.77% | ||
13 | - 14 | 345,603,446 | 2.22% | 4,804 | 2.90% | 4.19% | 254,247,906 | 1.81% | 3,546 | 2.58% | 0.89% | ||
14 | - 15 | 306,116,875 | 1.97% | 4,054 | 2.45% | 4.07% | 315,742,737 | 2.25% | 4,218 | 3.07% | 0.77% | ||
15 | - 16 | 273,907,122 | 1.76% | 3,581 | 2.16% | 4.22% | 381,744,373 | 2.72% | 4,674 | 3.40% | 0.64% | ||
16 - 17 | 325,524,727 | 2.09% | 3,991 | 2.41% | 4.19% | 442,525,225 | 3.15% | 4,827 | 3.51% | 0.64% | |||
17 - 18 | 379,804,519 | 2.44% | 4,408 | 2.66% | 4.11% | 401,103,468 | 2.85% | 4,383 | 3.19% | 0.79% | |||
18 - 19 | 422,234,343 | 2.71% | 4,683 | 2.83% | 4.14% | 325,729,941 | 2.32% | 3,624 | 2.64% | 1.17% | |||
19 - 20 | 483,098,770 | 3.10% | 5,193 | 3.14% | 4.09% | 316,174,911 | 2.25% | 3,243 | 2.36% | 1.15% | |||
20 - 21 | 474,487,657 | 3.05% | 5,038 | 3.05% | 4.21% | 371,773,976 | 2.64% | 3,664 | 2.66% | 0.93% | |||
21 - 22 | 520,451,090 | 3.34% | 5,300 | 3.20% | 4.07% | 410,979,635 | 2.92% | 3,853 | 2.80% | 0.93% | |||
22 | - 23 | 646,796,457 | 4.16% | 6,255 | 3.78% | 3.70% | 555,924,050 | 3.95% | 5,069 | 3.69% | 0.86% | ||
23 | - 24 | 604,857,775 | 3.89% | 5,668 | 3.43% | 3.82% | 561,269,873 | 3.99% | 5,297 | 3.85% | 1.18% | ||
24 | - 25 | 627,420,201 | 4.03% | 5,826 | 3.52% | 3.74% | 511,002,771 | 3.64% | 4,590 | 3.34% | 1.21% | ||
25 | - 26 | 629,284,422 | 4.04% | 5,745 | 3.47% | 3.89% | 540,825,999 | 3.85% | 4,631 | 3.37% | 0.97% | ||
26 | - 27 | 630,257,998 | 4.05% | 5,453 | 3.30% | 3.76% | 542,484,422 | 3.86% | 4,561 | 3.32% | 1.09% | ||
27 | - 28 | 673,404,491 | 4.33% | 5,554 | 3.36% | 3.71% | 571,827,558 | 4.07% | 4,754 | 3.46% | 1.20% | ||
28 | - 29 | 574,363,425 | 3.69% | 4,679 | 2.83% | 3.78% | 697,744,472 | 4.96% | 5,732 | 4.17% | 1.25% | ||
29 | - 30 | 567,259,428 | 3.64% | 4,529 | 2.74% | 3.67% | 509,097,067 | 3.62% | 4,013 | 2.92% | 1.36% | ||
30 | - more | 5,448,987,559 | 35.01% | 42,918 | 25.95% | 3.53% | 5,198,639,048 | 36.98% | 38,870 | 28.27% | 1.20% | ||
Matured * | 6,882 | 0.00% | 2 | 0.00% | 4.22% | ||||||||
15,562,809,797 | 100.00% | 165,413 | 100.00% | 3.82% 14,056,455,179 | 100.00% | 137,493 | 100.00% | 1.07% | |||||
Page 6 / 16
SOL Lion II
Monthly Investor Repor t as of 29-Apr-24
9. Interest Type
Current Period | Issue Date | ||||||||||
Aggregate | Weighted | Aggregate | Weighted | ||||||||
Outstanding | % of | Nr of | % of | Average | Outstanding | % of | Nr of | % of | Average | ||
Interest Type | Not. Amount | Total | Loans | Total | Coupon | Not. Amount | Total | Loans | Total | Coupon | |
Fixed 10Y | 5,097,209,333 | 32.75% | 47,733 | 28.86% | 1.89% | 2,481,546,946 | 17.65% | 22,943 | 16.69% | 1.94% | |
Floating EURIBOR BOE | 10,294,950,217 | 66.15% | 116,030 | 70.15% | 4.80% 11,574,908,234 | 82.35% | 114,550 | 83.31% | 0.88% | ||
Fixed | 170,650,247 | 1.10% | 1,650 | 1.00% | 2.16% | ||||||
15,562,809,797 | 100.00% | 165,413 | 100.00% | 3.82% 14,056,455,179 | 100.00% | 137,493 | 100.00% | 1.07% | |||
10. Interest Reset Dates
Current Period | Issue Date | ||||||||||||
Interest Reset Dates | Aggregate | Weighted | Aggregate | Nr of | Weighted | ||||||||
Outstanding | % of | Nr of | % of | Average | Outstanding | % of | % of | Average | |||||
Not. Amount | Total | Loans | Total | Coupon | Not. Amount | Total | Loans | Total | Coupon | ||||
Floating | 10,294,950,217 | 66.15% | 116,030 | 70.15% | 4.80% | 11,574,908,234 | 82.35% | 114,550 | 83.31% | 0.88% | |||
<2024 | 3,797,304 | 0.03% | 60 | 0.04% | 1.16% | ||||||||
2024 | 3,751,934 | 0.02% | 30 | 0.02% | 5.09% | 577,280 | 0.00% | 27 | 0.02% | 2.08% | |||
2025 | 14,006,367 | 0.09% | 211 | 0.13% | 2.31% | 22,646,882 | 0.16% | 290 | 0.21% | 2.30% | |||
2026 | 160,253,192 | 1.03% | 1,724 | 1.04% | 2.50% | 134,751,016 | 0.96% | 1,510 | 1.10% | 2.10% | |||
2027 | 243,810,296 | 1.57% | 2,751 | 1.66% | 2.17% | 288,052,533 | 2.05% | 2,863 | 2.08% | 2.05% | |||
2028 | 719,646,914 | 4.62% | 7,326 | 4.43% | 2.06% | 771,572,850 | 5.49% | 6,992 | 5.09% | 1.91% | |||
2029 | 965,539,900 | 6.20% | 9,707 | 5.87% | 2.00% | 1,041,626,250 | 7.41% | 9,248 | 6.73% | 1.95% | |||
2030 | 838,764,506 | 5.39% | 8,068 | 4.88% | 1.64% | 218,522,830 | 1.55% | 1,953 | 1.42% | 1.69% | |||
2031 | 999,069,824 | 6.42% | 8,469 | 5.12% | 1.47% | ||||||||
2032 | 891,732,044 | 5.73% | 7,369 | 4.45% | 1.69% | ||||||||
2033 | 221,777,786 | 1.43% | 1,751 | 1.06% | 3.43% | ||||||||
2034 | 10,460,334 | 0.07% | 76 | 0.05% | 3.41% | ||||||||
>2034 | 28,396,234 | 0.18% | 251 | 0.15% | 3.25% | ||||||||
Fixed | 170,650,247 | 1.10% | 1,650 | 1.00% | 2.16% | ||||||||
15,562,809,797 | 100.00% | 165,413 | 100.00% | 3.82% 14,056,455,179 | 100.00% | 137,493 | 100.00% | 1.07% | |||||
11. Interest and Principal Payment Frequency
Current Period | Issue Date | ||||||||||
Payment Frequency | Aggregate | Nr of | Weighted | Aggregate | Weighted | ||||||
Outstanding | % of | % of | Average | Outstanding | % of | Nr of | % of | Average | |||
Not. Amount | Total | Loans | Total | Coupon | Not. Amount | Total | Loans | Total | Coupon | ||
P1M | 15,562,809,797 | 100.00% | 165,413 | 100.00% | 3.82% | 14,056,455,179 | 100.00% | 137,493 | 100.00% | 1.07% | |
15,562,809,797 | 100.00% | 165,413 | 100.00% | 3.82% | 14,056,455,179 | 100.00% | 137,493 | 100.00% | 1.07% | ||
12. Payment Holidays
Current Period | Issue Date | ||||||||||||
Aggregate | Nr of | Weighted | Aggregate | Nr of | Weighted | ||||||||
Outstanding | % of | % of | Average | Outstanding | % of | % of | Average | ||||||
Payment Holidays | Not. Amount | Total | Loans | Total | Coupon | Not. Amount | Total | Loans | Total | Coupon | |||
None | 15,545,267,047 | 99.89% | 165,280 | 99.92% | 3.82% | 13,862,607,211 | 98.62% | 135,929 | 98.86% | 1.05% | |||
Royal Decree | 13,751,245 | 0.10% | 123 | 0.09% | 0.00% | ||||||||
SBA | 180,096,724 | 1.28% | 1,441 | 1.05% | 0.01% | ||||||||
Royal Decree Euribor | 17,542,750 | 0.11% | 133 | 0.08% | 0.00% | ||||||||
15,562,809,797 | 100.00% | 165,413 | 100.00% | 3.82% 14,056,455,179 | 100.00% | 137,493 | 100.00% | 1.07% | |||||
Page 7 / 16
SOL Lion II
Monthly Investor Repor t as of 29-Apr-24
13a. Original Loan to Market Value
average: 72.45% | Current Period | Issue Date | ||||||||||||
Aggregate | Weighted | Aggregate | Weighted | |||||||||||
Original Loan to | ||||||||||||||
Outstanding | % of | Nr of | % of | Average | Outstanding | % of | Nr of | % of | Average | |||||
Market Value (%) | Not. Amount | Total | Loans | Total | Coupon | Not. Amount | Total | Loans | Total | Coupon | ||||
<= 30.00% | 220,988,564 | 1.42% | 5,084 | 3.07% | 3.92% | 215,847,648 | 1.54% | 4,550 | 3.31% | 0.95% | ||||
30.01% - 40.00% | 394,327,113 | 2.53% | 7,446 | 4.50% | 3.85% | 416,772,642 | 2.96% | 7,053 | 5.13% | 0.90% | ||||
40.01% - 50.00% | 701,886,742 | 4.51% | 11,155 | 6.74% | 3.90% | 704,843,218 | 5.01% | 10,110 | 7.35% | 0.90% | ||||
50.01% | - 60.00% | 1,139,102,844 | 7.32% | 15,288 | 9.24% | 3.89% | 1,114,961,822 | 7.93% | 13,672 | 9.94% | 0.95% | |||
60.01% | - 70.00% | 2,035,664,635 | 13.08% | 23,641 | 14.29% | 3.84% | 1,897,853,577 | 13.50% | 20,027 | 14.57% | 1.03% | |||
70.01% | - 80.00% | 9,644,755,379 | 61.97% | 90,534 | 54.73% | 3.81% | 8,689,520,241 | 61.82% | 74,140 | 53.92% | 1.12% | |||
80.01% | - 90.00% | 1,269,689,285 | 8.16% | 10,940 | 6.61% | 3.67% | 1,016,656,032 | 7.23% | 7,941 | 5.78% | 1.06% | |||
90.01% | - 100.00% | 2,034,528 | 0.01% | 26 | 0.02% | 3.86% | ||||||||
100.01% | - 110.00% | 472,653 | 0.00% | 3 | 0.00% | 2.19% | ||||||||
110.01% | - 120.00% | 277,258 | 0.00% | 2 | 0.00% | 4.66% | ||||||||
120.01% | - 130.00% | 248,104 | 0.00% | 2 | 0.00% | 2.76% | ||||||||
130.00% | >= | 18,133,495 | 0.12% | 166 | 0.10% | 4.44% | ||||||||
unknown | 135,229,197 | 0.87% | 1,126 | 0.68% | 4.08% | |||||||||
15,562,809,797 | 100.00% | 165,413 | 100.00% | 3.82% 14,056,455,179 | 100.00% | 137,493 | 100.00% | 1.07% | ||||||
13b. Current Loan to Market Value
average: | 60.52% | Current Period | Issue Date | |||||||||||
Aggregate | Weighted | Aggregate | Weighted | |||||||||||
Current Loan to Market | ||||||||||||||
Outstanding | % of | Nr of | % of | Average | Outstanding | % of | Nr of | % of | Average | |||||
Value (%) | Not. Amount | Total | Loans | Total | Coupon | Not. Amount | Total | Loans | Total | Coupon | ||||
<= 30.00% | 1,456,958,122 | 9.36% | 35,670 | 21.56% | 4.34% | 1,226,052,350 | 8.72% | 25,386 | 18.46% | 0.63% | ||||
30.01% | - 40.00% | 1,136,087,071 | 7.30% | 14,889 | 9.00% | 4.22% | 1,067,286,904 | 7.59% | 12,970 | 9.43% | 0.74% | |||
40.01% | - 50.00% | 1,445,089,398 | 9.29% | 15,902 | 9.61% | 4.16% | 1,364,949,648 | 9.71% | 14,139 | 10.28% | 0.83% | |||
50.01% | - 60.00% | 1,952,910,190 | 12.55% | 19,829 | 11.99% | 4.03% | 1,748,904,292 | 12.44% | 16,102 | 11.71% | 1.00% | |||
60.01% | - 70.00% | 4,245,344,837 | 27.28% | 38,523 | 23.29% | 3.87% | 2,818,558,885 | 20.05% | 24,490 | 17.81% | 1.20% | |||
70.01% | - 80.00% | 5,035,376,832 | 32.36% | 38,411 | 23.22% | 3.32% | 5,810,748,913 | 41.34% | 44,297 | 32.22% | 1.24% | |||
80.01% | - 90.00% | 75,884,822 | 0.49% | 465 | 0.28% | 4.62% | 19,510,830 | 0.14% | 106 | 0.08% | 1.37% | |||
90.01% | - 100.00% | 28,436,155 | 0.18% | 195 | 0.12% | 5.10% | 443,358 | 0.00% | 3 | 0.00% | 0.68% | |||
100.01% - 110.00% | 11,192,243 | 0.07% | 78 | 0.05% | 5.12% | |||||||||
110.01% - 120.00% | 4,482,644 | 0.03% | 34 | 0.02% | 5.10% | |||||||||
120.01% - 130.00% | 3,211,082 | 0.02% | 21 | 0.01% | 5.20% | |||||||||
130.00% >= | 32,607,204 | 0.21% | 270 | 0.16% | 4.50% | |||||||||
unknown | 135,229,197 | 0.87% | 1,126 | 0.68% | 4.08% | |||||||||
15,562,809,797 | 100.00% | 165,413 | 100.00% | 3.82% 14,056,455,179 | 100.00% | 137,493 | 100.00% | 1.07% | ||||||
Page 8 / 16
SOL Lion II
Monthly Investor Repor t as of 29-Apr-24
13c. Current Loan to Indexed Market Value
average: | 53.46% | Current Period | Issue Date | ||||||||||
Aggregate | Weighted | Aggregate | Weighted | ||||||||||
Current Loan to Indexed | |||||||||||||
Outstanding | % of | Nr of | % of | Average | Outstanding | % of | Nr of | % of | Average | ||||
Market Value (%) | Not. Amount | Total | Loans | Total | Coupon | Not. Amount | Total | Loans | Total | Coupon | |||
<= 30.00% | 1,817,863,024 | 11.68% | 40,429 | 24.44% | 4.39% | 1,152,363,587 | 8.20% | 24,052 | 17.49% | 0.77% | |||
30.01% - 40.00% | 1,544,460,454 | 9.92% | 18,415 | 11.13% | 4.31% | 1,060,151,680 | 7.54% | 12,915 | 9.39% | 0.86% | |||
40.01% - 50.00% | 2,379,043,947 | 15.29% | 24,115 | 14.58% | 4.17% | 1,521,645,307 | 10.83% | 15,498 | 11.27% | 0.97% | |||
50.01% - 60.00% | 3,789,989,181 | 24.35% | 34,516 | 20.87% | 3.80% | 2,508,754,086 | 17.85% | 21,656 | 15.75% | 1.02% | |||
60.01% | - 70.00% | 4,468,356,574 | 28.71% | 35,956 | 21.74% | 3.38% | 3,216,021,266 | 22.88% | 26,877 | 19.55% | 1.07% | ||
70.01% | - 80.00% | 1,346,321,950 | 8.65% | 10,227 | 6.18% | 3.31% | 4,169,121,210 | 29.66% | 33,030 | 24.02% | 1.25% | ||
80.01% | - 90.00% | 34,888,500 | 0.22% | 252 | 0.15% | 4.72% | 409,291,492 | 2.91% | 3,305 | 2.40% | 1.37% | ||
90.01% | - 100.00% | 10,335,321 | 0.07% | 78 | 0.05% | 5.20% | 19,106,551 | 0.14% | 160 | 0.12% | 0.38% | ||
100.01% - 110.00% | 2,777,453 | 0.02% | 23 | 0.01% | 4.99% | ||||||||
110.01% - 120.00% | 2,231,930 | 0.01% | 12 | 0.01% | 5.08% | ||||||||
120.01% - 130.00% | 1,113,146 | 0.01% | 9 | 0.01% | 5.02% | ||||||||
130.00% >= | 30,199,122 | 0.19% | 255 | 0.15% | 4.46% | ||||||||
unknown | 135,229,197 | 0.87% | 1,126 | 0.68% | 4.08% | ||||||||
15,562,809,797 | 100.00% | 165,413 | 100.00% | 3.82% 14,056,455,179 | 100.00% | 137,493 | 100.00% | 1.07% | |||||
Page 9 / 16
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Disclaimer
ING Groep NV published this content on 29 April 2024 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 29 April 2024 08:02:05 UTC.
