The structure features soft-bullet extendible maturities, which mitigates liquidity risk. The committed credit enhancement exceeds the credit enhancement needed at a 'AAA' rating level. The cover pool comprises highly seasoned residential mortgage loans. The structure does not benefit from an interest rate swap. We took this risk into account in our cash flow analysis. Cash belonging to the special-purpose entity (SPE) is mixed with cash belonging to the issuer and could be lost if Van Lanschot Kempen becomes insolvent. We took this risk into account in our analysis by assuming that two months of collections are lost. Most of the mortgage loans in the cover pool are backed by jumbo valuations (94.8% of the cover pool balance), which we considered
