Tijdens een Lunch & Learn bijeenkomst praten wij onze relaties en overige geïnteresseerden in korte tijd bij over een actueel thema.
Op donderdag 17 september 2015 was het thema: Hypotheekmarkt: Ontwikkelingen en vooruitzichten.
De nederlandse hypotheekmarkt is volop in beweging. Het aantal aanbieders neemt toe, maar ook de vraag vanuit consumenten trekt aan. Na een daling van de prijzen in de huizenmarkt, zien we nu een stevig herstel. De marges op hypotheken zijn in korte tijd hard gedaald maar blijft dat zo? Wat zijn de vooruitzichten met betrekking tot achterstanden, vervroegde aflossingen en verliezen? Zijn er verschillen tussen oude en nieuwe hypotheken? Wat zijn de verliezen geweest gedurende de crisis?
IG&H, marktonderzoeksbureau op de Nederlandse Hypotheekmarkt, ging in op de verhouding tussen vraag en aanbod op de Nederlandse Hypotheekmarkt.
Fitch Ratings presenteerde haar zienswijze gebaseerd op hun uitgebreide data van Nederlandse hypotheken.Tot slot gaf de Rabobank, haar visie op de marges en de te verwachte ontwikkelingen in de markt.
2. 2
10.30 - 10.40 uur Opening
George Dröge, Directeur beleggingen, Syntrus Achmea Real Estate & Finance
10.40 - 11.10 uur Verhouding tussen vraag en aanbod op Nederlandse hypotheekmarkt
Joppe Smit, Senior Manager, IG&H
11.10 - 11.40 uur Uitgebreide toelichting op data van Nederlandse hypotheken
Jelmer Doedel, Associate Director, Fitch Ratings
11.40 – 12.10 uur Marges en de ontwikkelingen in de markt
Leontine Treur, Onderzoeker, Rabobank
12.10 - 13.00 uur Lunch
Programma
september 1, 2015
21. Syntrus Achmea
Lunch & Learn
Jelmer Doedel, Associate Director
Marjan van der Weijden, Managing Director
17 September 2015
22. Agenda
Fitch in the Dutch Mortgage Market
Outlook Dutch Housing & Mortgage Market
From Whole Loan Portfolio to RMBS
Fitch Analysis Dutch Mortgage Credit Risk
Fitch Analytical Tools & Research
23. 23www.fitchratings.com
Fitch in the Dutch Mortgage Market
• 220 transactions backed by Dutch mortgages rated since 1997
• Ratings outstanding on 84 Dutch RMBS and 7 covered bond programs
• > EUR224bn of prime mortgages
• > EUR1.5bn of non-prime mortgages
• Public operational risk ratings on 4 Dutch Servicers
• Stater, Hypocasso, Quion & CMIS
24. 24www.fitchratings.com
Outlook Dutch Housing & Mortgage Market
Improvement in mortgage affordability will support prices
0
4
8
12
16
50
100
150
200
250
1996 1997 1999 2001 2003 2004 2006 2008 2010 2011 2013 2015f
CBS HPI (real, reb.) (LHS) Real disp. income (rebased) (LHS) HP to income ratio (RHS)
House Prices and Affordability
Source: Fitch, CBS, Ameco
25. 25www.fitchratings.com
Outlook Dutch Housing & Mortgage Market
0,0
1,0
2,0
3,0
4,0
5,0
6,0
0,0
0,3
0,6
0,9
1,2
1,5
1,8
2003 2005 2008 2010 2013 2015f
Fitch Index 3m+ arrears (LHS)
Dutch mortgage rate new loans (RHS)
(%) (%)
Arrears Likely to Stabilize around
Current Levels
Mortgage Rates and Arrears
Source: Fitch, DNB
Mortgage Lending will continue to grow as Market
Strengthens
Mortgage Lending and Prepayments
0,0
2,0
4,0
6,0
8,0
10,0
12,0
14,0
16,0
18,0
0
5.000
10.000
15.000
20.000
25.000
30.000
35.000
2003 2005 2008 2010 2013 2015f
Quarterly gross new mortgage lending (LHS)
Annualised prepayment rate (RHS)
(EURm) (%)
26. 26www.fitchratings.com
Outlook Dutch Housing & Mortgage Market
Reforms long term positive impact
Change Impact
Stricter mortgage code of conduct
Conservative underwriting, lower LTV loans, reduced IO, reduced
exceptions
Changes to tax treatment Product simplification, less long term reliance on state support
Austerity measures
Reduced disposable income for high earners, reduction in
unemployment benefit
Rental market reform Positive for housing market longer term
Reduced NHG limit Back to normal level of NHG loans, less reliance on the state
Source: Fitch
Mortgage Market Reforms
27. 27www.fitchratings.com
Outlook Dutch Housing & Mortgage Market
• Product simplification more risk based
pricing
(%) <70% LTV >90% LTV ∆
Rabobank 10 Yr
Fixed (NL)
2.4 3.3 0.9
Lloyds 2 Yr Fixed
(UK)
2.3 4.4 2.1
Source: Fitch
• New collateral performance - convergence of NHG & Non-NHG mortgages
• Improvement in quality of loan file documentation and data availability
28. 28www.fitchratings.com
Outlook Dutch Housing & Mortgage Market
Key variables monitored by Fitch on an ongoing basis
• Tax, Social Security, NHG, Regulatory changes
• 2 yr forward forecasts of unemployment and GDP growth rates
• Policy interest rates and mortgage rates
• Mortgage arrears levels
• House prices
• Gross mortgage lending & prepayments
29. 29www.fitchratings.com
Fitch Analysis Dutch Mortgage Credit Risk
Mortgage Loss = Default Probability Loss Severityx
Willingness & Ability to Pay
Equity in Property =
Loan-to-Value Ratio
Borrowers Debt vs. Income = Debt to
Income Ratio
30. 30www.fitchratings.com
Fitch Analysis Dutch Mortgage Credit Risk
Example base default probability (foreclosure frequency)
OLTMV
Class 1
(<20)
Class 2
(20-30)
Class 3
(30-40)
Class 4
(40-50)
Class 5
(≥50)
<40 0.25% 0.34% 0.44% 0.65% 0.87%
40-50 0.37% 0.51% 0.66% 0.96% 1.29%
50-60 0.48% 0.67% 0.86% 1.24% 1.68%
60-70 0.63% 0.87% 1.12% 1.62% 2.19%
70-75 0.78% 1.07% 1.39% 2.01% 2.70%
75-80 0.87% 1.22% 1.57% 2.27% 3.05%
80-85 1.02% 1.41% 1.81% 2.62% 3.52%
85-90 1.16% 1.60% 2.05% 2.97% 3.99%
90-95 1.38% 1.90% 2.44% 3.51% 4.72%
95-100 1.68% 2.34% 2.99% 4.29% 5.73%
100-105 2.11% 2.91% 3.73% 5.33% 7.09%
105-110 2.59% 3.55% 4.48% 6.31% 8.28%
>110 3.10% 4.21% 5.26% 7.30% 9.41%
DTI (%)
Expected Case Foreclosure Matrix
• Full-time employed borrower with full income verification
• Borrower with no adverse credit history
• Amortising annuity loan paying a fixed rate of interest
• no NHG guarantee
For example a loan with a LTV of 90% and
DTI of 25% will have an expected base
foreclosure frequency of 1.90%
31. 31www.fitchratings.com
Fitch Analysis Dutch Mortgage Credit Risk
Impact
Lending Quality
Increase / decrease to DP based on quality of underwriting,
controls and procedures.
Borrower Characteristics
Increased DP for some employment types, previous credit history
etc.
Loan Characteristics
Increased DP for some repayment types, Interest rate types,
construction deposit etc.
Product Characteristics Mortgages for investment properties, second charge loans
Other Adjustments
NHG loans, loans in arrears, portfolio or geographical
concentration, maturity concentration
Source: Fitch
Default Probability is further adjusted for
32. 32www.fitchratings.com
Fitch Analysis Dutch Mortgage Credit Risk
Mortgage Loss = Default Probability Loss Severityx
Amt due vs. Net
Sale Proceeds
Loan Balance, Interest Rates &
Time to Foreclosure
House Prices, Forced Sale
Discount, Foreclosure Costs
33. 33www.fitchratings.com
Fitch Analysis Dutch Mortgage Credit Risk
Impact
NHG Guarantee Reduced loss severity due to NHG payout on claims
Illiquid Properties Lower recovery assumed for very small and large properties
Servicing Strategy e.g. greater use of auction will lead to lower recoveries
Regional concentration
If loans in a region exceed 2x the population proportion,
increased loss assumed
Source: Fitch
Loss Severity is further adjusted for
34. 34www.fitchratings.com
Fitch Analysis Dutch Mortgage Credit Risk
Mortgage Pool Gross
Losses
ResiEMEA Model
Loan by Loan Analysis
Criteria and Model available on www.fitchratings.com
35. 35www.fitchratings.com
From Whole Loan Portfolio to RMBS
Relevant analytical components
Data adequacy
Operational Risk
Asset Analysis
Cash Flow Analysis
Counterparty Risk
Legal Analysis
Whole Loan
Portfolio
RMBS
Credit opinion
36. 36www.fitchratings.com
Fitch Analytical Tools & Research
• Criteria Addendum: Netherlands - Residential Mortgage Assumptions
• Fitch ResiEMEA Model
• Frequently Asked Questions About Dutch RMBS
• Impact of Dutch Sovereign Risk on NHG-backed RMBS
• Mortgage Market Index – Netherlands (Quarterly)
• RMBS Compare Tool (Quarterly)
• Global Housing and Mortgage Outlook
• Comparing UK and Dutch Interest-Only Mortgages
• Presale and New Issue Reports on all rated transactions
38. 38www.fitchratings.com
Disclaimer
Fitch Ratings’ credit ratings rely on factual information received from issuers and other sources.
Fitch Ratings cannot ensure that all such information will be accurate and complete. Further, ratings are inherently forward-looking,
embody assumptions and predictions that by their nature cannot be verified as facts, and can be affected by future events or conditions
that were not anticipated at the
time a rating was issued or affirmed.
The information in this presentation is provided “as is” without any representation or warranty.
A Fitch Ratings credit rating is an opinion as to the creditworthiness of a security and does not
address the risk of loss due to risks other than credit risk, unless such risk is specifically mentioned.
A Fitch Ratings report is not a substitute for information provided to investors by the issuer and its agents in connection with a sale of
securities.
Ratings may be changed or withdrawn at any time for any reason in the sole discretion of
Fitch Ratings. The agency does not provide investment advice of any sort. Ratings are not
a recommendation to buy, sell, or hold any security.
ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS AND THE
TERMS OF USE OF SUCH RATINGS AT WWW.FITCHRATINGS.COM.
39. New York
33 Whitehall Street
New York, NY 10004
London
30 North Colonnade
Canary Wharf
London E14 5GN
41. 0403151
Over fundingkosten , kapitaaleisen en
concurrentie
LeontineTreur
Kennis & Economisch Onderzoek
17 september 2015, Amsterdam
Hypotheekmarkt
42. 0403151
Programma
• Nederlandse hypotheekmarkt
• Hoge hypotheekrente?
• Weinig concurrentie?
• Funding & marge
• Spaargeld
• Kapitaalmarkt
• Wie is de hypotheekverstrekker van de toekomst?
• Verstrekking en productvormen
• Funding, duration, waarderingsmethoden en kapitaaleisen
54. 0403151
Wie is de hypotheekverstrekker van de toekomst?
• Verzekeraars en pensioenfondsen in het voordeel?
• Banken: hogere kosten en liquiditeitsrisico’s; flexibeler balans
• Rendementseisen en ‘buckets’
• Waardering
• Boekwaarde vs marktwaarde
• Impact veranderingen in rente, disconteringsvoeten
• Impact op huizenkopers
• Verstrekking: productvoorwaarden, meer LTV-differentiatie etc.
• Beheer: ophogen, bijzonder beheer.
55. 0403151
Toekomst: eisen aan risicoweging?
• Grote banken hebben eigen risicomodellen
• Hoe hoger de risicoweging, hoe meer kapitaal
• Standaardisatie van risicomodellen?
• Consultatiedocument Basel dec 2014: minimum risicoweging per type lening
• Gevolg: stijging RWA en dus ook benodigd kapitaal
• Impact het hoogst bij minst risicovolle uitzettingen, zoals Nederlandse hypotheken
• Wordt vervolgd…
57. 0403151
Conclusie
• Rentemarge ‘op hypotheken’: een kwestie van definities – en aannames
• Meer kredietverlening door niet-banken
• Hypotheken
• Zakelijke kredietverlening
58. 0403151
Meer weten?
• Rente uit balans (Rabobank, 2013)
• Nederlandse hypotheekrentes: Feiten en fabels (Rabobank, 2013)
• Competition in the Dutch mortgage market: notes on concentration, entry, funding and margins
(JCLE, 2014)
• KwartaalberichtWoningmarkt (Rabobank, 2015)