Issuer Details

• Name: Green STORM 2024 B.V.
• Country: Netherlands
• Incorporation Date: January 8, 2024
• Registered Office: Basisweg 10, 1043 AP Amsterdam, Netherlands
• Legal Form: Private company with limited liability
• Purpose: Issuing asset-backed securities and acquiring mortgage receivables
• Authorized and Issued Share Capital: EUR 1.00
• Trade Register Number: 92579787

Trustee and Collateral Administrator

• Trustee: Stichting Security Trustee Green STORM 2024
• Country: Netherlands
• Trade Register Number: 92573320
• Managing Director: Amsterdamsch Trustee's Kantoor B.V.

Amortization Profile

• Class A Notes: Senior, sequential principal payments before Class B and C.
• Class B Notes: Mezzanine, subordinated to Class A, principal payments after Class A.
• Class C Notes: Subordinated, principal payments after Class A and B.

Payment Cadence

• Interest Payment Dates: Quarterly on 22nd February, May, August, November.
• Principal Payment: Same schedule as interest payments.

Full Capital Structure

• Class A Notes: Initial Principal Amount of EUR 500,000,000.
• Class B Notes: Initial Principal Amount of EUR 26,300,000.
• Class C Notes: Initial Principal Amount of EUR 5,300,000.

Additional Timelines

• Additional Cut-Off Date: Relevant for Further Advance Receivables, Replacement Receivables, and New Mortgage Receivables purchased on any Notes Payment Date.
• Notes Payment Dates: Occur periodically, specific dates not detailed.
• Mortgage Collection Payment Date: Occurs periodically, specific dates not detailed.

Revenue Priority of Payments

1. First: Payments pro rata and pari passu to satisfy fees or other remuneration due to the Directors in connection with the Management Agreements, and fees or other remuneration and indemnity payments due to the Security Trustee, along with any costs, charges, liabilities, and expenses.

Events or Triggers for Changes in Priority of Payments

• Commingling Guarantor Downgrade: If the Commingling Guarantor's rating is downgraded or withdrawn, the Seller must transfer amounts received on behalf of the Issuer to the Issuer Collection Account daily.
• Assignment Notification Event: Following this event, Borrowers must pay amounts due directly to the Issuer Collection Account.
• Enforcement Notice: Upon delivery of an Enforcement Notice, the priority of payments shifts to the Post-Enforcement Priority of Payments model.

Triggers for Events of Default or Enforcement

• Payment Default: The Issuer is in default for 15 days or more in payment of any amount due.
• Obligation Breach: Failure to perform obligations under the Notes, Trust Deed, or related agreements, continuing for 30 days after notice.
• Asset Attachment: Attachment on a major part of the Issuer's assets not discharged within 30 days.
• Dissolution or Insolvency: Court order or resolution for dissolution, winding-up, or appointment of a liquidator.
• Assignment for Creditors: Issuer makes an assignment for the benefit of creditors.
• Bankruptcy Filing: Issuer files for suspension of payments or bankruptcy.
• Illegality: It becomes unlawful for the Issuer to perform obligations.

These events materially affect the waterfall cashflow model by triggering an Enforcement Notice, which shifts the payment priority to the Post-Enforcement Priority of Payments. This impacts cash flow by prioritizing secured creditors and potentially altering the distribution of proceeds from asset liquidation.

Fees and Expenses Impact on Cash Flow

• Directors' Fees: Fees or other remuneration due to the Directors in connection with the Management Agreements.
• Security Trustee Fees: Fees, remuneration, and indemnity payments due to the Security Trustee, along with any costs, charges, liabilities, and expenses.
• Issuer Administrator and Servicer Fees: Fees and expenses due to the Issuer Administrator, Servicer, and Reporting Entity.
• Third-Party Obligations: Amounts due to third parties under obligations incurred in the Issuer's business, fees to agents, and costs related to the Issuer Accounts.
• Cash Advance Facility Fees: Amounts due to the Cash Advance Facility Provider, excluding the commitment fee.
• Swap Agreement Payments: Amounts due under the Swap Agreement, excluding Swap Counterparty Default Payment.

These fees and expenses are prioritized in the Revenue Priority of Payments, affecting cash flow by ensuring operational and administrative costs are covered before other financial obligations. This prioritization can reduce the funds available for interest and principal payments to noteholders, impacting the overall cash flow distribution.

Underlying Assets

• Mortgage Receivables: Pledged to the Security Trustee
• NHG Advance Rights: Pledged to the Security Trustee
• Beneficiary Rights under Insurance Policies: Pledged to the Security Trustee

Security for the Notes

• First Priority Right of Pledge: Over mortgage receivables, NHG Advance Rights, and beneficiary rights
• Rights Against Counterparties: Under related agreements

Denomination and Form

• Denomination: EUR 100,000 each
• Form: Bearer form, serially numbered with coupons attached

Interest

• Class A Notes: Euribor plus a margin
• Class B and C Notes: Do not bear interest

Redemption Provisions

• Final Maturity Date: Notes presented for payment with all unmatured Coupons
• Post-Enforcement Interest Rates: Euribor plus a margin of 0.72% per annum if not redeemed by the First Optional Redemption Date
• Interest Accrual: Continues if payment is improperly withheld or refused

Asset Type Abbreviation

• RMBS: Residential Mortgage-Backed Securities

Reserve Account Details

• Reserve Account: Maintained by the Issuer with the Issuer Account Bank. Proceeds from Class C Notes are credited here on the Closing Date.
• Purpose: Covers shortfalls in Available Revenue Funds on Notes Payment Dates for items (a) to (h) of the Revenue Priority of Payments.

Cash Advance Facility

• Agreement: Issuer has a Cash Advance Facility Agreement.
• Drawings: Allowed up to a maximum amount on Notes Payment Dates, excluding Optional Redemption Dates.
• Term: 364 days.
• Priority: Ranks higher in payment priority than the Notes.

Issuer Collection Account

• Receipts: All amounts related to Mortgage Loans, Participation Agreements, and Construction Deposits.
• Additional Funds: Holds any drawings from the Cash Advance Facility.

Construction Deposits Guarantee

• Condition: If the Construction Deposits Guarantor's rating falls below the Requisite Credit Rating.
• Requirement: Deposit an amount equal to the outstanding Construction Deposits into the Issuer Collection Account.

Swap Collateral Accounts

• Purpose: Holds collateral transferred by the Swap Counterparty.
• Condition: Triggered if the Swap Counterparty's rating falls below the Requisite Credit Rating.

These accounts and reserves are structured to ensure liquidity and meet payment obligations under various conditions.

Risk Retention

UK

• Legal Requirements:
• Mandate: Securitisation Regulation
• Requirement: Retain a material net economic interest of not less than 5%

• Modality: Retention of a material net economic interest

• Contractual Undertakings:

• Requirement: Seller retains a material net economic interest of not less than 5%
• Modality: Retention of a material net economic interest

US

• Legal Requirements:
• Mandate: Credit Risk Retention Rule (Dodd-Frank Act)
• Requirement: Retain at least 5% of the credit risk

• Modalities:

  • Vertical Slice: Proportional interest in each class of securities
  • Horizontal Slice: First-loss position
  • L-shaped Combination: Combination of vertical and horizontal interests

• Contractual Undertakings:

• Specification: Exact form of risk retention detailed in transaction agreements
• Alignment: Often aligned with legal requirements

EU

• Legal Requirements:
• Mandate: Securitisation Regulation
• Requirement: Retain a material net economic interest of not less than 5%

• Modality: Retention of a material net economic interest

• Contractual Undertakings:

• Requirement: Retain a material net economic interest of not less than 5%
• Modality: Retention of the entire interest in the first loss tranche (Class C Notes)

Impact on Cash Flow

• Reserve Account: Covers shortfalls in Available Revenue Funds
• Cash Advance Facility: Provides liquidity, ranks higher in priority than payments under the Notes
• Commingling Guarantee: Protects against commingling risks, ensuring payments up to 3% of Principal Amount Outstanding

These credit enhancements stabilize cash flow by providing liquidity and mitigating risks associated with payment defaults or shortfalls.

Key Legal and Regulatory Factors

• Swap Counterparty Risks: Termination of the Swap Agreement could lead to substantial payments that take priority over note payments, potentially resulting in insufficient funds for note obligations.
• Tax Risks: Changes in the Dutch tax system, particularly regarding mortgage interest deductibility, could impact borrowers' ability to pay, affecting cash flows.
• Securitisation Regulation: Compliance with the Securitisation Regulation, including risk retention and transparency, is crucial. Non-compliance could lead to sanctions affecting cash flows.
• Benchmark Risks: Changes or discontinuation of Euribor could affect interest calculations, impacting cash flows.
• Credit Risks: Default risks from borrowers and the ability to recover funds under mortgage receivables are significant.
• Regulatory Compliance: Adherence to various EU regulations and technical standards is necessary to maintain the securitisation's status and avoid penalties.

Compliance Requirements Impacting Cash Flow Model

• Securitisation Regulation: Requires transactions to qualify as simple, transparent, and standardised (STS). Compliance is crucial for maintaining the securitisation's status.
• Benchmark Transition: Potential discontinuation of Euribor necessitates fallback provisions for determining an Alternative Base Rate.
• U.S. Risk Retention Rules: Notes cannot be sold to Risk Retention U.S. Persons, impacting distribution and liquidity.
• Prohibition of Sales to Retail Investors in EEA: Limits the investor base, affecting liquidity and cash flows.

Tax Considerations Impacting Cash Flows

• Mortgage Interest Deductibility: Changes in the Dutch tax system could affect borrowers' ability to pay.
• Withholding Tax: Payments by the Issuer under the Notes can generally be made without withholding tax in the Netherlands, except in specific cases.
• Corporate and Income Tax: Resident entities and individuals in the Netherlands are subject to corporate and income tax on income or capital gains derived from the Notes.
• Deemed Return Taxation: For individuals, a deemed return on investments, including the Notes, is taxed at a statutory rate.

Liquidity and Trading Risks

• Current Market Status: No active and liquid secondary market for the Notes.
• Listing Application: Application made for Class A Notes to be listed on Euronext Amsterdam.
• Liquidity Assurance: No assurance that a secondary market will develop or provide liquidity.
• Price Volatility: Limited liquidity can lead to increased price volatility.
• Market Disruptions: Disruptions due to reduced investor demand have affected market values.
• External Factors: War in Ukraine, energy crisis, and high inflation may impact the market.
• Forced Sales Impact: Forced sales by entities with funding difficulties could negatively affect market price and ability to sell Notes.

Trading Volumes and Bid-Ask Spreads

• Expected Trading Volumes: Not specified.
• Bid-Ask Spreads: Not specified; dependent on market conditions and other factors.
• Market Making: Managers may make a market in the Notes but are not obligated to do so.