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Global Credit Research - 13 Jan 2011
Dutch RMBS Indices -- November 2010
Frankfurt am Main, January 13, 2011 -- The performance of the Dutch residential mortgage-backed securities
(RMBS) market remained stable in November 2010, according to the
latest indices published by Moody's Investors Service.
The 60+ day delinquency trend continued to rise moderately,
reaching 0.71% in November 2010. This trend is largely
driven by the 1997 to 2004 and 2007 vintages. As of November,
the 2003 and 2004 vintages were merged into the 1997 to 2002 vintage.
Prepayment rates reached 7.27% in November 2010, having
stabilised in the six-month period prior to this. Overall
losses remained negligible at 0.05% of the total outstanding
On 29 November 2010, Holland Mortgage Backed Securities (HERMES)
V announced that it would exercise its mandatory redemption option on
18 January 2011.
On 16 November 2010, Moody's assigned definitive credit ratings
to three classes of notes totalling EUR50 billion of debt securities issued
by BEST 2010 B.V. The transaction is the fourth securitisation
of Dutch prime mortgage loans backed by residential properties originated
by Rabohypotheekbank N.V. and the local cooperative credit
institutions, which are all part of Coöperatieve Centrale Raiffeisen-Boerenleenbank
B.A. ("Rabobank") (Aaa / P-1). The portfolio
will be serviced by Rabobank.
On 23 November 2010, Moody's downgraded the ratings of the
class A, B, C, D, and E1 notes issued by Eurosail-NL
2007-1 and confirmed the ratings of the class ET issued by Eurosail-NL
2007-1, the class A notes issued by Eurosail-NL 2007-2,
the class A1 and A2 notes issued by EMF-NL Prime 2008-A,
and the class A1 notes issued by EMF-NL 2008-2. The
ratings of the notes in the four transactions were initially placed on
review for possible downgrade on 17 September 2008, because of their
exposure to ELQ Hypotheken NV (ELQ) (at that time a wholly owned subsidiary
of Lehman Brothers Holding Inc). The rating actions concluded the
review and took into consideration the operational risk concerns highlighted
at the time the notes were placed on review and the worse-than-expected
performance of the collateral.
On 21 December 2010, Moody's published a special report on
the bankruptcy of DSB Bank N.V. The report focuses on the
developments for the related ABS/RMBS transactions one year after the
bankruptcy of DSB Bank N.V. In the report, the rating
agency states that more than a year after the bankruptcy of DSB Bank N.V.
(DSB), delinquency rates for the bank's asset-backed securities
(ABS) and RMBS transactions have declined significantly, despite
an initial spike. The rating agency also noted the continued efficiency
of DSB's servicing operations as well as uncertainty regarding the size
of losses from "due care claims". The entire report can be viewed
On 22 December 2010, Storm 2003 B.V. exercised its
first optional redemption right for all classes of notes.
On 23 December 2010, Moody's assigned definitive credit ratings
to five classes of notes issued by STORM 2010-IV B.V.
The transaction represents the securitisation of Dutch prime mortgage
loans originated or acquired by Obvion N.V. (unrated).
The portfolio will be serviced by Obvion N.V. The transaction
was arranged by Rabobank.
On 24 December 2010, Moody's placed four classes of notes issued
by Stichting Eleven Cities 3 B.V. under review for possible
upgrade. The rating agency also placed under review for possible
downgrade the following seven classes of notes issued by the following
Dutch RMBS transactions: Holland Mortgage Backed Series (HERMES)
XIII B.V.-Class E; Holland Mortgage Backed Series
(HERMES) XIV B.V.-Classes C, D and E;
Candide Financing 2006 B.V.-Class E; European
Mortgage Securities VII B.V. Compartment 2007-I-Classes
E and F. Furthermore, Moody's has updated loss assumptions
in the following eight Dutch RMBS transactions and has taken no rating
action, in consideration of the sufficient levels of credit enhancement
currently available in the structures: Saecure 4 B.V.;
Saecure 5 B.V.; Candide Financing 2005 B.V.;
Holland Mortgage Backed Series (HERMES) VIII B.V.;
Holland Mortgage Backed Series (HERMES) IX B.V.; Holland
Mortgage Backed Series (HERMES) X B.V; Holland Mortgage Backed
Series (HERMES) XI B.V.; Holland Mortgage Backed Series
(HERMES) XII B.V. This was the result of a portfolio review
of 101 Moody's rated non-master trusts Dutch RMBS. The detailed
press release can be viewed here: http://v3.moodys.com/viewresearchdoc.aspx?docid=PR_211926&cy=usa
Moody's outlook for Dutch RMBS is stable (see the report "EMEA ABS &
RMBS: 2011 Outlook & 2010 Review", published on
20 December 2010).
Moody's expects Dutch GDP to have increased 1.8% in
2010 and anticipates robust growth of 1.4% in 2011.
The rating agency believes that this level of economic growth will support
the labour market and that the annual average unemployment rate will fall
from 5.6% in 2010 to 5.3% in 2011.
House prices increased in the first three quarters of 2010 after having
fallen in 2009. Moody's believes that tightness in housing
supply will help house prices remain stable and as a result will help
minimise potential losses on repossessed properties.
The total outstanding pool balance in the Dutch RMBS market increased
from EUR248.8billion in October 2010 to EUR296.6 billion
in November 2010. Moody's attributes this is to Best 2010-I
B.V., a new transaction which has an initial pool
balance of EUR50 billion. Without this transaction, the total
outstanding pool balance would have decreased by EUR2.2 billion.
Moody's RMBS and ABS performance indices are published mid-month
and can be found on www.moodys.com in the Structured Finance
sub-directory under the Research & Ratings tab, under
the Structured Indices sub-category of Industry/Sector Research.
In addition, Moody's publishes a weekly summary of structured finance
credit, ratings and methodologies, available to all registered
users of its website, at www.moodys.com/SFQuickCheck.
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Moody's: Dutch RMBS performance remains steady in November 2010
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