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Rating Action:

Moody's assigns definitive ratings to Dutch RMBS notes issued by Stichting Orange Lion IV RMBS

10 Jan 2011

Approximately EUR 6.8 billion of rated debt securities affected

Frankfurt am Main, January 10, 2011 -- Moody's Investors Service assigns definitive ratings to four classes of Dutch RMBS notes issued by Stichting Orange Lion IV RMBS:

- Aaa(sf) to Euro 1,750.0 million Class A1 Floating Rate AAA Notes due 2042

- Aaa(sf) to Euro 1,750.0 million Class A2 Floating Rate AAA Notes due 2042

- Aaa(sf) to Euro 1,550.0 million Class A3 Floating Rate AAA Notes due 2042

- Aaa(sf) to Euro 1,735.2 million Class A4 Floating Rate AAA Notes due 2042

Class B is not rated by Moody's

RATINGS RATIONALE

The ratings take into account the credit quality of the underlying mortgage 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.

The expected portfolio loss of 0.80% and the MILAN Aaa required credit enhancement of 12.6% serve as input parameters for Moody's cash flow model, which is based on a probabilistic lognormal distribution as described in the report "The Lognormal Method Applied to ABS Analysis", published in September 2000.

Key drivers for the MILAN Aaa CE number, which is above other prime Dutch RMBS transactions closed recently, are (i) the limited criteria to restrict the impact of further advances on the portfolio, including the fact that further advances are possible for all receivables that were initially securitized, (ii) the LTV distribution of the portfolio (about 54% of the pool consist of loans with a LTfV of above 100%) and (iii) the portion of interest-only loans without an additional repayment vehicle (about 66% of the pool consists of interest-only loans without an additional repayment vehicle).

The key drivers for the portfolio expected loss are the performance of the seller's precedent transactions, the performance on the seller's book, benchmarking with comparable transactions in the Dutch market and the current economic conditions in the Netherlands in combination with historic recovery data of foreclosures received from the seller. In respect to current economic conditions in the Netherlands, unemployment is expected to remain around 5.2% in 2011 in the Netherlands while the benefit system currently provides a strong degree of support to the unemployed. Additionally, house prices have been falling since their peak at end-2008 but stabilised recently. Given the historical performance of the Dutch RMBS market, Moody's believes the assumed expected loss is appropriate for this transaction.

Another key characteristic of this transaction is that with an exposure of only 0.9%, the portion of the portfolio that is linked to life insurance policies (life mortgage loans) and which could be exposed to set-off risk in case an insurance company goes bankrupt, is lower compared to other transactions. The seller was not able to provide loan-by-loan insurance company counterparty data. An unusual feature of this transaction is that 9.3% of the portfolio consists of mortgage loans granted to employees within ING Bank N.V. Moody's has considered the additional potential set-off risk associated with these loans.

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 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 transaction represents the securitisation of Dutch prime mortgage loans backed by residential properties located in the Netherlands and originated by ING Bank N.V. (Aa3). The transaction was arranged and is serviced by ING Bank N.V. who also provides the swap. The total credit enhancement for the Aaa rated notes is 17 per cent. There is no reserve fund in place as well as no excess spread margin available under the swap structure.

The V-Score for this transaction is Low/Medium, which is in line with the V-Score assigned for the Dutch RMBS sector, mainly due to the fact that it is a standard Dutch prime RMBS structure for which we have over 10 years of historical performance data. 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 V-Score has been assigned according to the report "V-Scores and Parameter Sensitivities in the Major EMEA RMBS Sectors" published in April 2009.

Moody's Parameter Sensitivities: If the portfolio expected loss was increased to 2.4%, the model output indicates that Classes A1, A2, A3 and A4 would still achieve Aaa assuming that MILAN Aaa Credit Enhancement remains at 12.6% and all other factors remain equal. If the MILAN Aaa Credit Enhancement would be stressed by 1.2 times to 15.1%, the model output for the class A4 notes would be Aa1, assuming an expected loss of 0.80%.

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 methodologies used in rating the notes were: The Lognormal Method Applied to ABS Analysis published in September 2000, Moody's Updated MILAN Methodology for Rating Dutch RMBS published in March 2009, Moody's Updated Approach to NHG Mortgages in Rating Dutch RMBS published in March 2009, Moody's Updated Methodology for Set-Off in Dutch RMBS published in September 2009 and Cash Flow Analysis in EMEA RMBS: Testing Structural Features with the MARCO Model published in January 2006. Other methodologies and factors that may have been considered in the process of rating this notes can also be found on Moody's website.

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.

REGULATORY DISCLOSURES

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, parties not involved in the ratings, public information, confidential and proprietary Moody's Investors Service information.

Moody's Investors Service considers the quality of information available on the issuer or obligation satisfactory for the purpose 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.

Additional research, including the new issue 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 users 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.

Frankfurt am Main
Olimpia da Silva
Associate Analyst
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

London
Annabel Schaafsma
Senior Vice President
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's assigns definitive ratings to Dutch RMBS notes issued by Stichting Orange Lion IV RMBS
No Related Data.
© 2022 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S CREDIT RATINGS AFFILIATES ARE THEIR CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY’S (COLLECTIVELY, “PUBLICATIONS”) MAY INCLUDE SUCH CURRENT OPINIONS. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE APPLICABLE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS (“ASSESSMENTS”), AND OTHER OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. AND/OR ITS AFFILIATES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES ITS PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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