EUR 594.2 million of rated debt securities affected
Madrid, May 31, 2017 -- Moody's Investors Service has assigned definitive ratings to the following
classes of notes issued by Green STORM 2017 B.V.:
.....EUR 550.0 million Senior
Class A Mortgage-Backed Notes due 2064, Definitive Rating
Assigned Aaa (sf)
.... EUR 13.7 million Mezzanine Class
B Mortgage-Backed Notes due 2064, Definitive Rating Assigned
Aa1 (sf)
.... EUR 12.2 million Mezzanine Class
C Mortgage-Backed Notes due 2064, Definitive Rating Assigned
Aa3 (sf)
.... EUR 12.3 million Junior Class
D Mortgage-Backed Notes due 2064, Definitive Rating Assigned
A2 (sf)
.... EUR 6.0 million Subordinated Class
E Notes due 2064, Definitive Rating Assigned Ba1 (sf)
Green STORM 2017 B.V. is a revolving securitisation of Dutch
prime residential mortgage loans. The collateral was selected based
on the energy efficiency of the underlying properties. Obvion N.V.
(not rated) is the originator and servicer of the portfolio.
RATINGS RATIONALE
The definitive ratings on the notes take into account, among other
factors: (1) the performance of the previous transactions launched
by Obvion N.V.; (2) the credit quality of the underlying
mortgage loan pool; (3) legal considerations; and (4) the initial
credit enhancement provided to the senior notes by the junior notes and
the reserve fund.
The expected portfolio loss of 0.65% and the MILAN CE of
8.0% serve as input parameters for Moody's cash flow and
tranching model, which is based on a probabilistic lognormal distribution,
as described in the report "The Lognormal Method Applied to ABS Analysis",
published in July 2000.
MILAN CE for this pool is 8.0%, which is slightly
above preceding revolving STORM transactions and in line with other prime
Dutch RMBS revolving transactions, owing to: (i) the availability
of the NHG-guarantee for 26.4% of the loan parts
in the pool, which can reduce during the replenishment period to
25%, (ii) the replenishment period of 5 years where there
is a risk of deteriorating the pool quality through the addition of new
loans, although this is mitigated by replenishment criteria,
(iii) the weighted average loan-to-foreclosure-value
(LTFV) of 92.2%, which is similar to LTFV observed
in other Dutch RMBS transactions, (iv) the proportion of interest-only
loan parts (52.5%), (v) the weighted average seasoning
of 5.46 years and (vi) the share of loans provided to top-20
borrowers in the pool, 2.46%. Moody's notes
that the unadjusted current LTFV is 92.09%. The slight
difference is due to Moody's treatment of the property values that use
valuations provided for tax purposes (the so-called WOZ valuation).The
risk of a deteriorating pool quality through the addition of loans is
partly mitigated by the replenishment criteria which includes, amongst
others, that the weighted average CLTMV of all the mortgage loans,
including those to be purchased by the Issuer, does not exceed 89%
and the minimum weighted average seasoning is at least 40 months.
Further, no new loans can be added to the pool if there is a PDL
outstanding, if loans more than 3 months in arrears exceeds 1.5%
or the cumulative loss exceeds 0.4%.
The key drivers for the portfolio's expected loss of 0.65%,
which is in line with preceding STORM transactions and with other prime
Dutch RMBS transactions, are: (1) the availability of the
NHG-guarantee for 26.4% of the loan parts in the
pool, which can reduce during the replenishment period to 25%;
(2) the performance of the seller's precedent transactions; (3) benchmarking
with comparable transactions in the Dutch RMBS market; and (4) the
current economic conditions in the Netherlands in combination with historic
recovery data of foreclosures received from the seller.
The transaction benefits from a non-amortising reserve fund,
funded at 1.02% of the total class A to D notes' outstanding
amount at closing, building up to 1.3% by trapping
available excess spread. The initial total credit enhancement for
the Aaa (sf) rated notes is 7.51%, 6.49%
through note subordination and the reserve fund amounting to 1.02%.
The transaction also benefits from an excess margin of 50 bps provided
through the swap agreement. The swap counterparty is Obvion N.V.
and the back-up swap counterparty is Cooperatieve Rabobank U.A.
("Rabobank"; rated Aa2/P-1). Rabobank is obliged to
assume the obligations of Obvion N.V. under the swap agreement
in case of Obvion N.V.'s default. The transaction
also benefits from an amortising cash advance facility of 2.0%
of the outstanding principal amount of the notes (including the class
E notes) with a floor of 1.45% of the outstanding principal
amount of the notes (including the class E notes) as of closing.
STRESS SCENARIOS:
Moody's Parameter Sensitivities: At the time the ratings were assigned,
the model output indicated that class A notes would have achieved Aaa
(sf), even if MILAN CE was increased to 11.2% from
8.0% and the portfolio expected loss was increased to 1.3%
from 0.65% and all other factors remained the same.
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 principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework" published in September 2016.
Please see the Rating Methodologies page on www.moodys.com
for a copy of this methodology.
The analysis undertaken by Moody's at the initial assignment of ratings
for RMBS securities may focus on aspects that become less relevant or
typically remain unchanged during the surveillance stage. Please
see "Moody's Approach to Rating RMBS Using the MILAN Framework" for further
information on Moody's analysis at the initial rating assignment and the
on-going surveillance in RMBS.
Please note that on 22 March 2017, Moody's released a Request for
Comment, in which it has requested market feedback on potential
revisions to its Approach to Assessing Counterparty Risks in Structured
Finance. If the revised Methodology is implemented as proposed,
the credit ratings of the notes issued by Green STORM 2017 B.V.
may be affected. Please refer to Moody's Request for Comment,
titled "Moody's Proposes Revisions to Its Approach to Assessing Counterparty
Risks in Structured Finance", for further details regarding the
implications of the proposed Methodology revisions on certain Credit Ratings.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
Significantly different loss assumptions compared with our expectations
at close due to either a change in economic conditions from our central
scenario forecast or idiosyncratic performance factors would lead to rating
actions.
For instance, should economic conditions be worse than forecast,
the higher defaults and loss severities resulting from a greater unemployment,
worsening household affordability and a weaker housing market could result
in a downgrade of the ratings. Downward pressure on the ratings
could also stem from (1) deterioration in the notes' available credit
enhancement; or (2) counterparty risk, based on a weakening
of a counterparty's credit profile, particularly Obvion N.V.
and Rabobank, which perform numerous roles in the transaction.
Conversely, the ratings could be upgraded: (1) if economic
conditions are significantly better than forecasted; or (2) upon
deleveraging of the capital structure.
The definitive 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 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.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
The analysis relies on an assessment of collateral characteristics to
determine the collateral loss distribution, that is, the function
that correlates to an assumption about the likelihood of occurrence to
each level of possible losses in the collateral. As a second step,
Moody's evaluates each possible collateral loss scenario using a model
that replicates the relevant structural features to derive payments and
therefore the ultimate potential losses for each rated instrument.
The loss a rated instrument incurs in each collateral loss scenario,
weighted by assumptions about the likelihood of events in that scenario
occurring, results in the expected loss of the rated instrument.
Moody's describes the stress scenarios it has considered for this rating
action in the section "Ratings Rationale" of this press release.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides certain regulatory disclosures in relation
to the credit rating action on the support provider and in relation to
each particular credit rating action for securities that derive their
credit ratings from the support provider's credit rating. For provisional
ratings, this announcement provides certain regulatory disclosures
in relation to the provisional rating assigned, and in relation
to a definitive rating that may be assigned subsequent to the final issuance
of the debt, in each case where the transaction structure and terms
have not changed prior to the assignment of the definitive rating in a
manner that would have affected the rating. For further information
please see the ratings tab on the issuer/entity page for the respective
issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this credit rating action,
and whose ratings may change as a result of this credit rating action,
the associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Juan Miguel Martin-Abde
Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Olga Gekht
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Releasing Office:
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
