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13 Oct 2010
Dutch Prime RMBS Indices August 2010
Frankfurt am Main, October 13, 2010 -- The performance of the Dutch residential mortgage-backed securities
(RMBS) market remained stable in August, says Moody's Investors
Service in its latest indices for the sector. The total current
outstanding pool balance of all Moody's rated transactions in the
Dutch RMBS market increased by a strong 9.70% to EUR237.36
billion in August 2010. This was due to nine new transactions that
closed or were newly rated by Moody's. The largest contributor
was Stichting Orange Lion III RMBS with an original balance of EUR25.89
billion. Meanwhile, the trend of 60+ days delinquencies
slightly increasing came to a halt during the month. This does
not seem to be influenced by the newly joined transactions as younger
as well as older vintages show the same trend. Losses remained
negligible, amounting to 0.05% of outstanding balance.
The following main events occurred in the Dutch RMBS market since Moody's
published its last indices for the sector :
- On 9 September, Moody's assigned provisional credit ratings
to classes of notes issued by SAECURE 9 B.V. The transaction
represents a securitisation of Dutch prime mortgage loans backed by residential
properties located in the Netherlands and originated by AEGON.
- On 15 September, Moody's changed the direction of its ongoing
rating review of the notes issued by E-MAC NL 2003-II B.V.
from possible downgrade to uncertain. The change reflects the updated
assessment of the complex put option structure of this transaction,
which indicated that the ratings could be upgraded as well as downgraded,
depending on the outcome of the put option process. Moody's therefore
expects to conclude its review after the put option date in October 2010.
- On 15 September, Dutch Mortgage Portfolio Loans I B.V.
(DMPL 1) exercised its call option and all notes were redeemed in full.
Approximately EUR490 million of outstanding notes were affected.
- On 17 September, Moody's assigned definitive credit ratings
to classes of notes issued by STORM 2010-III B.V.
The transaction represents the securitisation of prime mortgage loans
backed by residential properties and originated or acquired by Obvion
N.V. (not rated). The portfolio will be serviced
by Obvion N.V. The transaction was arranged by Rabobank.
- On 17 September, Stichting European Mortgage Securities
V announced its intention to fully redeem all outstanding notes ,
approximately EUR1.85 billion, on 20 October 2010.
- On 22 September, Moody's assigned definitive credit ratings
to classes of notes issued by Essence III B.V. The transaction
represents a securitisation of prime mortgage loans backed by residential
properties and originated or acquired by the subsidiaries of NIBC Bank
N.V. (Baa2/P-2). The portfolio will be serviced
by NIBC Bank N.V. who also arranged the transaction.
- On 29 September, Moody's assigned definitive ratings to
four classes of Dutch RMBS notes issued by Stichting Orange Lion III RMBS.
The transaction closed in January 2010 and was initially not rated by
Moody's. The transaction represents the securitisation prime mortgage
loans backed by residential properties and originated and serviced by
ING Bank N.V. (Aa3).
- On 4 October, Moody's assigned definitive credit ratings
to seven classes of notes issued by SAECURE 8 NHG B.V. The
transaction was initially not rated by Moody's. It represents a
securitisation of prime mortgage loans backed by residential properties
and originated by AEGON Levensverzekering N.V. ("AEGON Leven";
not rated). The portfolio will be serviced by AEGON Leven.
All loans in the portfolio benefit from an NHG guarantee.
Moody's outlook for Dutch RMBS is stable (see the report "EMEA ABS,
CMBS & RMBS Asset Performance Outlooks, July 2010").
The total outstanding pool balance in the Dutch RMBS market was EUR237.36
billion in August 2010. While new issuance activity has increased
compared to last year, market growth remains slower than the beginning
of 2008. The 2005, 2006 and 2007 vintages have the largest
shares of the market and currently account for over two-thirds
of the total outstanding balance. Their share is likely to remain
high in the medium term due to the revolving nature of most of the underlying
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.
Frankfurt am Main
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's Deutschland GmbH
Moody's: Stable Performance In Dutch RMBS Market In August
An der Welle 5
Frankfurt am Main 60322
No Related Data.
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