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09 Sep 2005
MOODY'S AFFIRMS RATINGS OF SEVERAL DUTCH SECURITISATION TRANSACTIONS INVOLVING NIB CAPITAL N.V.
Paris, September 09, 2005 -- Moody's Investors Service has affirmed today the ratings assigned to the
Notes issued by:
Dutch MBS 97-I B.V.
Dutch MBS 97-II B.V.
Dutch MBS 98-I B.V.
Dutch MBS 99-I B.V.
Dutch MBS 99-II B.V.
Dutch MBS 99-III B.V.
Dutch MBS 00-I B.V.
Dutch MBS 01-I B.V.
Dutch MBS IX B.V.
Dutch MBS X B.V.
Dutch MBS XI B.V.
Dutch MBS XII B.V.
Provide Orange I B.V.
SwAFE I B.V.
STReAM I B.V.
Monastery 2004-I B.V.
(the 'RMBS Transactions')
Stellae I B.V.
North Westerly CLO I B.V.
North Westerly CLO II B.V.
Latitude Synthetic I B.V.
(together with the RMBS transactions the 'Affected Transactions')
Moody's rating affirmation of those ratings is prompted by the amendments
signed on September 8th 2005, to the Affected Transactions following
the downgrade of NIB Capital N.V. ('NIBC') ratings
to A3/Prime-2 from Aa3/Prime-1 on 9th August 2005.
Due to this rating downgrade, various triggers were breached in
the Affected Transactions. The breached triggers can be categorised
in four groups: The Liquidity Facility triggers, the Swap
triggers, the GIC-account triggers and the Notification triggers.
Various amendments have been made to the structures of the Affected Transactions
to mitigate the impact of the NIBC's ratings downgrade.
The following changes have been made in the Affected Transactions:
The Liquidity Facility triggers
All obligations of NIBC as liquidity provider in the RMBS transactions
will now be guaranteed by ING Bank N.V. ('ING')
(Aa2/Prime-1) through deeds of surety. In Dutch MBS 99-I,
Dutch MBS 99-II and Dutch MBS 00-I where the liquidity facilities
are unlimited, ING's guarantees cover 3% of the outstanding
note balances with a minimum of 1% of the initial note balances;
this level of liquidity coverage is similar to those provided in other
Dutch RMBS structures.
In Dutch MBS 99-III and Dutch MBS 01-I, NIBC was the
liquidity facility guarantor for ASR Bank N.V. (predecessor
of Fortis Hypotheek Bank N.V. ('FHB')).
The guarantees of NIBC have been removed and liquidity facility triggers
linked to the Prime-1 rating of Fortis Bank Nederland Holding (Aa3/Prime-1)
have been put in place.
The GIC-account triggers
All GIC-accounts and deposit accounts held by NIBC in the Affected
Transactions have been transferred to ING through novations. NIBC
will remain paying and calculation agent in the Affected Transactions.
The Notification triggers
The Notification triggers in the Dutch RMBS structures have the objective
to ensure that the perfection of legal title occurs before bankruptcy
and that borrowers' monthly payments are paid to the Issuer's account
directly to avoid any co-mingling risk in the event of bankruptcy.
For the RMBS transactions where NIB or one of its subsidiaries were one
of the Sellers, the Notification triggers have been set at loss
of Baa1, for those transactions where the initial Notification trigger
level was set at a different level. This is in line with the level
in more recent transactions in the market. For Dutch MBS 01-I
where SR Hypotheken B.V. (a joint venture between FHB and
NIB) was the seller, the Notification trigger has been set at loss
of A3 of Fortis Bank Nederland Holding.
The Swap triggers
Various swap triggers were breached in the Affected Transactions where
NIBC was acting as swap counterparty for the Currency Swaps, Total
Return Swaps, Indexation Swap and Interest Rate Swaps. Collateral
Support Agreement ('CSAs') have been put in place in these
transactions, in order to mitigate the risk linked to NIBC as swap
counterparty with ratings below the minimum required ratings of A1/Prime-1
for swap counterparties in Structured Finance transactions. These
CSAs are in line with the most recent Moody's swap criteria for
the required collateral to be posted by NIBC as swap counterparty.
The Collateral amounts will be monitored and adjusted on a weekly basis
In addition for the Total Return Swap in Latitude Synthetic B.V.,
NIBC has added additional requirements such as increasing mark-to-market
frequency, and introducing an additional ratings trigger for its
replacement at loss of A3.
To obtain more information please contact Moody's Client Service Desk
in London at +44 (0) 20 7772 5454 or visit our website at www.moodys.com.
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Asst Vice President - Analyst
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
No Related Data.
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