24.96 billion of rated debt securities affected
Paris, November 15, 2010 -- Moody's Investors Service has assigned definitive long-term ratings
to three classes of notes of Series 0-2008-I issued by Bass
Master Issuer N.V.-S.A.:
Aaa (sf) to Euro 23,400,000,000 floating rate Class
A Notes Series 0-2008-I due 2054
Aa3 (sf) to Euro 780,000,000 floating rate Class B Notes Series
0-2008-I due 2054
A2 (sf) to Euro 780,000,000 floating rate Class C Notes Series
0-2008-I Due 2054
Class D Notes (Euro 1,040 Mln) and Class E Notes (Euro 234 Mln)
are not rated by Moody's.
The ratings of the notes take into account the credit quality of the underlying
mortgage and mandate loan pool, from which Moody's determined the
MILAN Aaa Credit Enhancement and the portfolio expected loss, as
well as the transaction structure and any legal considerations as assessed
in Moody's cash flow analysis.
This rating action relates to the tap issuance of EUR 3,531.5
Million of new Units that are fungible with existing ones. The
total outstanding debt issued by Bass Master Issuer N.V.-S.A.
Series 0-2008-I ("Bass") Notes now amounts to
EUR 26,234 million (EUR 26,000 million excluding class E,
which funds the Reserve Account). The Bass program was set up by
Fortis Bank NV S.A. ("Fortis") as of the 23rd
of June 2008, and then tapped three times on the 15th of December
2008, 15th of April 2009 and on the 15th of October 2009.
Bass is the first residential mortgage-backed notes programme established
by Fortis in Belgium. Under this programme, Bass may from
time to time issue Class A, B, C, D and E notes to fund
purchases of additional mortgage receivable pools or to redeem other outstanding
notes, subject to fulfilment of some repayment tests. The
proceeds of any Class E Notes will be credited to the Reserve Account
and will not be available for the above purposes.
The portfolio consists of Belgian prime residential home loans backed
by first economic lien mortgages or mandates originated and serviced by
Fortis. Since last tap issue in October 2009, the substitution
period has been extended to July 2012. The transaction is arranged
by Fortis which also provides the swap . The swap mitigates the
interest rate risk relating to the fixed rate loans which represent 58.1%
of the pool and to the basis risk related to the floating rate loans that
represent 41.9%. The swap also guarantees a 20 bps
The reserve account of 0.9% is not amortising and fully
funded at closing but the structure now benefits from a cash-trapping
mechanism whereby estimated loss on defaulted receivables will be trapped
(to the extent of the excess spread available) into the reserve account
and released once the loss occurs.
Claw-back risk that arises from potential repurchases is mitigated
by (i) a claw-back reserve mechanism whereby the repurchase price
of amended loans will be trapped into a specific reserve account during
the 6-months suspect period if the rating of Fortis falls below
Baa3, (ii) the requirement of having a Belgian entity purchasing
the receivables being rated at least Baa3.
The expected portfolio loss of 0.6% of original balance
of the portfolio at closing and the MILAN Aaa required Credit Enhancement
of 11.3% served as input parameters for Moody's cash flow
model, which is based on a probabilistic lognormal distribution
as described in the report "Cash Flow Analysis in EMEA RMBS: Testing
Structural Features with the MARCO Model", published in January
2006. The key drivers for the MILAN Aaa Credit Enhancement number,
which is in line with other prime Belgian RMBS transactions, are
(i) the weighted average loan-to-value (LTV) of 63.9%,
lower than LTV in other Belgian RMBS transactions and (ii) the substantial
seasoning of more than 4 years.
The key drivers for the portfolio expected loss are (i) the performance
of the pool currently securitized (ii) benchmarking with comparable transactions
in the Belgian market and (iii) the current economic conditions in the
Belgium in combination with historic arrears and recovery data provided
by the seller.
The rating addresses 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 principal with respect of the
Class A, Class B and Class C notes by the legal final maturity.
Moody's ratings only address the credit risk associated with the transaction.
Other non-credit risks have not been addressed, but may have
a significant effect on yield to investors.
The V Score for this transaction is Medium, which is in line with
the score assigned for the Belgian RMBS sector. The only two components
of the V score that differ from the Belgian score are 2.1 "Quality
of Historical Data for the Issuer/ Sponsor/ Originator" and 2.3"
Disclosure of Securitisation Collateral Pool Characteristics".2.1
component has been assessed as M/H vs. M for the market score on
the basis that the length of the historical data provided is shorter than
for other transactions. 2.3 has been assessed as M vs.
L/M for the market because some data in the MILAN input file are still
missing (month current) or partially missing (owner-occupancy type).
However this component attracts a better score than for the previous tap
issue as many data missing at that time are now provided..
The V-Score has been assigned accordingly to the report "V-Scores
and Parameter Sensitivities in the Major EMEA RMBS Sectors" published
in April 2009. V Scores are a relative assessment of the quality
of available credit information and of the degree of dependence on various
assumptions used in determining the rating. High variability in
key assumptions could expose a rating to more likelihood of rating changes.
The principal methodologies used in this rating were The Lognormal Method
Applied to ABS Analysis published in September 2000, Moody's Approach
to Rating Belgian RMBS, published in September 2006 and Cash Flow
Analysis in EMEA RMBS: Testing Structural Features with the MARCO
Model published in January 2006.
Moody's Investors Service received and took into account a third
party due diligence report on the underlying assets or financial instruments
in this transaction and the due diligence report had a neutral impact
on the rating.
Moody's Parameter Sensitivities: If the portfolio expected
loss was increased to 1.8%, the model output indicates
that Class A would achieve Aa1 assuming that MILAN Aaa Credit Enhancement
remains at 11.3% and all other factors remain equal.
If the MILAN Aaa Credit Enhancement would be stressed by 1.6 times
to 18.1%%, the model output for the class A
notes would be Aa1, assuming an expected loss of up to 0.6%.
Moody's Parameter Sensitivities provide a quantitative/model-indicated
calculation of the number of rating notches that a Moody's structured
finance security may vary if certain input parameters used in the initial
rating process differed. The analysis assumes that the deal has
not aged and is not intended to measure how the rating of the security
might migrate over time, but rather how the initial rating of the
security might have differed if key rating input parameters were varied.
Parameter Sensitivities for the typical EMEA RMBS transaction are calculated
by stressing key variable inputs in Moody's primary rating model.
The rating has been disclosed to the rated entity or its designated agents
and issued with no amendment resulting from that disclosure.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, public information, confidential
and proprietary Moody's Investors Service information and confidential
and proprietary Moody's Analytics information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of assigning
a credit rating.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entity or its related third parties within the
three years preceding the Credit Rating Action. Please see the
ratings disclosure page www.moodys.com/disclosures on our
website for further information.
The reports mentioned above are available on www.moodys.com
in the Rating Methodologies sub-directory under the Research &
Ratings tab. Other methodologies and factors that may have been
considered in the process of rating this issuer can also be found in the
Rating Methodologies sub-directory on Moody's website.
Additional research, including the pre-sale report for this
transaction and reports for prior transactions, are available at
www.moodys.com. In addition Moody's publishes a weekly
summary of structured finance credit, ratings and methodologies,
available to all registered of our website, at www.moodys.com/SFQuickCheck.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
Structured Finance Group
Moody's France SAS
JOURNALISTS: 44 20 7772 5456
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VP - Senior Credit Officer
Structured Finance Group
Moody's Italia S.r.l
Moody's France SAS
Moody's assigns definitive ratings to Belgian RMBS Notes issued by Bass Master Issuer N.V.-S.A. Series 0-2008-I Notes
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