General information |
|
|
|
|
|
Issue date |
24-Nov-1997 |
Credit Enhance |
Sen/Sub, Res. fund |
|
|
Reference interest rate |
EURIBOR 3m |
Risk weight. |
50% |
|
|
Payment |
Quarterly |
Pricing info |
Reuters DEXIAABS |
|
|
Currency |
EURO |
|
Bloomberg MBS 2<MTGE><GO> |
|
|
|
|
|
|
|
|
|
Class A1 |
Class A2 |
Class A3 |
Class B |
|
Spread |
0.08% |
0.16% |
0.24% |
0.45% |
|
Initial class size (Renominalised) |
79,325,440.00 |
185,299,270.00 |
94,198,960.00 |
13,014,330.00 |
|
Number of bonds (EUR 123,946) |
640 |
1,495 |
760 |
105 |
|
Initial rating Moody's / Fitch |
Aaa / AAA |
Aaa / AAA |
Aaa /
AAA |
A3 / A |
|
Current rating Moody's / Fitch |
|
Aaa / AAA |
Aaa / AAA |
Aa2 / AA
* |
|
|
|
|
|
|
|
* Upgraded by Fitch on 20 September 2001, Upgraded by
Moody's on 7 March 2002 |
|
|||
|
|
|
|
|
|
|
Payments (EUR) |
|
|
|
|
|
Euribor fixing for last pmt date |
2.126% |
(on 20/05/2005) |
|
|
|
Last payment date |
24-Aug-05 |
|
|
|
|
Next payment date |
- |
|
|
|
|
|
|
|
|
|
|
(last payment date) |
Class A1 |
Class A2 |
Class A3 |
Class B |
|
Period coupon |
0.000% |
0.000% |
2.366% |
2.576% |
|
Interest payment |
0.00 |
0.00 |
321,396.40 |
47,211.15 |
|
Interest per bond |
0.00 |
0.00 |
422.89 |
449.63 |
|
Balance before last pmt |
0.00 |
0.00 |
53,154,400.00 |
7,171,500.00 |
|
Principal redemption last pmt |
0.00 |
0.00 |
53,154,400.00 |
7,171,500.00 |
|
Principal per bond |
0.00 |
0.00 |
69,940.00 |
68,300.00 |
|
Bond factor |
0.0000 |
0.0000 |
0.0000 |
0.0000 |
|
Expected Average Life (8 CPR) |
0.00
years |
0.00
years |
0.00 years |
0.00 years |
|
Expected final maturity (8 CPR) |
Fully repaid 02/1999 |
Fully repaid 02/2003 |
Fully
repaid 08/2005 |
Fully
repaid 08/2005 |
|
|
|
|
|
|
Performance |
|
|
|
|
|
Delinquencies |
30 Days |
60 Days |
90 Days |
Defaults |
|
Number |
- |
- |
- |
- |
|
Principal
Balance |
- |
- |
- |
- |
|
% Loans
Outstanding |
- |
- |
- |
- |
|
Number of Loans Outstanding |
|
|
|
|
|
At
payment date: |
0 |
|
|
|
|
Prepayments |
CPR |
|
|
|
|
March
1998 |
0.35% |
|
|
|
|
April
1998 |
20.50% |
|
|
|
|
May 1998 |
30.09% |
|
|
|
|
June
1998 |
24.80% |
|
|
|
|
July
1998 |
18.90% |
|
|
|
|
August
1998 |
8.90% |
|
|
|
|
September
1998 |
6.20% |
|
|
|
|
October
1998 |
15.70% |
|
|
|
|
November
1998 |
27.20% |
|
|
|
|
December
1998 |
34.0% |
|
|
|
|
January
1999 |
28.1% |
|
|
|
|
February
1999 |
28.7% |
|
|
|
|
March
1999 |
33.7% |
|
|
|
|
April
1999 |
82.4% |
|
|
|
|
May 1999 |
91.7% |
|
|
|
|
June
1999 |
56.0% |
|
|
|
|
July
1999 |
46.9% |
|
|
|
|
August
1999 |
23.2% |
|
|
|
|
September
1999 |
11.2% |
|
|
|
|
October
1999 |
6.5% |
|
|
|
|
November
1999 |
8.0% |
|
|
|
|
December
1999 |
8.1% |
|
|
|
|
January
2000 |
7.7% |
|
|
|
|
February
2000 |
2.9% |
|
|
|
|
March
2000 |
4.3% |
|
|
|
|
April
2000 |
3.0% |
|
|
|
|
May 2000 |
5.9% |
|
|
|
|
June
2000 |
2.7% |
|
|
|
|
July
2000 |
4.3% |
|
|
|
|
August
2000 |
4.1% |
|
|
|
|
September
2000 |
3.6% |
|
|
|
|
October
2000 |
4.0% |
|
|
|
|
November
2000 |
3.7% |
|
|
|
|
December
2000 |
4.1% |
|
|
|
|
January
2001 |
2.5% |
|
|
|
|
February
2001 |
2.6% |
|
|
|
|
March
2001 |
3.0% |
|
|
|
|
April
2001 |
3.6% |
|
|
|
|
May 2001 |
5.2% |
|
|
|
|
June
2001 |
5.9% |
|
|
|
|
July
2001 |
7.0% |
|
|
|
|
August
2001 |
5.2% |
|
|
|
|
September
2001 |
3.3% |
|
|
|