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Rating Action:

MOODY'S ASSIGNS DEFINITIVE RATINGS TO 4 CLASSES OF DUTCH RMBS ISSUED BY DELPHINUS 2006-I B.V.

28 Jun 2006
MOODY'S ASSIGNS DEFINITIVE RATINGS TO 4 CLASSES OF DUTCH RMBS ISSUED BY DELPHINUS 2006-I B.V.

EUR 3.3 Billion of Dutch RMBS Rated.

Frankfurt, June 28, 2006 -- Moody's Investors Service has assigned definitive long-term credit ratings to 4 classes of Dutch residential mortgage-backed notes issued by Delphinus 2006-I B.V.:

- Aaa to Euro 3,092,100,000 floating rate Senior Class A Mortgage-Backed Notes 2006 due 2096,

- A1 to Euro 156,700,000 floating rate Mezzanine Class B Mortgage-Backed Notes 2006 due 2096,

- Baa1 to Euro 51,200,000 floating rate Junior Class C Mortgage-Backed Notes 2006 due 2096,

- Baa3 to Euro 29,700,000 floating rate Subordinated Class D Notes 2006 due 2096.

TRANSACTION STRUCTURE

Delphinus 2006-I is the eleventh transaction of residential mortgage loans originated by Fortis Hypotheek Bank (FHB) through the Delphinus name. Fortis Hypotheek Bank also originated other programs such as Solid and Collier. The Issuer will finance its acquisition of the residential mortgage loan portfolio with funds to be raised through the issuance of notes. The total initial purchase price of the Mortgage Loan Receivables will be equal to the proceeds received from the issue of the rated Class A, Class B, and Class C Notes. The Reserve Account will be fully funded at closing and financed through the issuance of Class D Notes.

A new feature in Delphinus 2006-I is the application of the new Dutch law (in effect since 1st of October 2004). Under this new Dutch law the perfection of legal title to the loan receivables may be achieved without notifying each individual borrower but through the registration of a Deed of Assignment with either a Dutch notary or the Dutch tax authorities. FHB will transfer the loans using this silent assignment.

Initially, any repayments received under the mortgage loans will be used to purchase substitute mortgage loans up to the quarterly payment date preceding the First Optional Redemption Date (on 25 September 2011). Following the First Optional Redemption Date, repayments received under the mortgage loans will be used to redeem the notes in sequential order starting with Class A Notes on a pro-rata and pari passu basis.

Similar to the previous Delphinus 2004-II transaction, any Excess Margin available in the transaction after all other obligations (including replenishment of the Reserve Account) have been met in full, will only be used to redeem the Class D Notes after the First Optional Redemption Date. In all the Delphinus transactions since Dephinus 2001-I B.V. till Delphinus 2004-I B.V. the repayment of the Class D Notes generally takes place after the reserve account reaches its target level.

The Issuer may also at its option redeem all Notes outstanding at the First Optional Redemption Date or on any payment date thereafter. As is the case with most Dutch RMBS transactions, under such circumstances, junior Notes (in this case the Class B and C Notes) would be redeemed at their outstanding principal balance less any Principal Deficiency Ledger balance that was then outstanding against that Note. While reviewing this transaction, Moody's has not taken into account such redemption given the optional nature thereof.

STRENGTH OF THE TRANSACTION

-The protection against losses through the subordination of the junior tranches.

-The Reserve Account, which is funded at Closing at 0.90% of the Class A, B and C Notes through the issuance of the Class D Notes.

-The availability of a cash advance facility of [3%]

-Excess spread of 0.50% guaranteed through the swap.

-Proven structure (already eleventh transaction of this originator).

WEAKNESSES AND MITIGANTS

-The substitution of new mortgages into the pool until September 2011 mitigated by the triggers controlling the amount, the eligibility criteria and the conditions to be satisfied.

-Set-off risk on life insurance mortgages in the pool, mitigated by the investment grade rating of Fortis Bank N.V. /S.A. as Group Company of the Fortis ASR insurance companies.

-The underlying mortgage pool has a relatively high LTFV. The associated risk and the therefore available credit enhancement have been reflected in the pool analysis and the cash flow modelling. The ratings assigned reflect the resulting expected loss of each tranche.

The ratings address the expected loss posed to investors by the legal final maturity of the notes. In Moody's opinion, the structure allows for timely payment of interest and ultimate payment of principal with respect to the Notes by the legal final maturity. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors.

Moody's assigned provisional ratings to these notes on 1 June 2006. Since then the amount of notes issued has been upsized to Euro 3.3 billion. Consequently the individual tranche sizes have changed as well.

Moody's will monitor this transaction on an ongoing basis. For updated monitoring information, please contact monitor.rmbs@moodys.com.

To obtain a copy of Moody's New Issue Report on this transaction, please visit Moody's website at. www.moodys.com or contact our Client Service Desk in London (+44-20-7772 5454).

Paris
Annick Poulain
Managing Director
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Frankfurt
Jens Lindner
Vice President - Senior Analyst
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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