EUR 2,104.1 million of rated debt securities affected
Frankfurt am Main, December 23, 2010 -- Moody's Investors Service has today assigned definitive credit ratings
to the following classes of notes issued by STORM 2010-IV B.V.:
- Aaa(sf) to Euro 2,000.0 million Senior Class A Mortgage-Backed
Notes 2010 due 2052
- Aa1(sf) to Euro 25.0 million Mezzanine Class B Mortgage-Backed
Notes 2010 due 2052
- Aa2(sf) to Euro 27.1 million Mezzanine Class C Mortgage-Backed
Notes 2010 due 2052
- A1(sf) to Euro 31.2 million Junior Class D Mortgage-Backed
Notes 2010 due 2052
- Baa3(sf) to Euro 20.8 million Subordinated Class E Notes
2010 due 2052
RATINGS RATIONALE
The ratings of the notes takes 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 0.65% of the portfolio at
closing and the MILAN Aaa required Credit Enhancement of 5.8%
served 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.
The key drivers for the MILAN Aaa Credit Enhancement number, which
is slightly lower than for other prime Dutch RMBS transactions closed
in 2010, are (i) the weighted average loan-to-foreclosure-value
(LTFV) of 90.6%, (ii) the proportion of interest-only
loans (72.6%), (iii) the weighted average seasoning
of 4.1 years, (iv) the limited possibility for the seller
to substitute new loans into the subject structure, and (v) the
availability of the NHG-guarantee for 4.0% of the
loans in the pool.
The key drivers for the portfolio expected loss are (i) the performance
of the seller's precedent transactions, (ii) benchmarking with comparable
transactions in the Dutch market and (iii) the current economic conditions
in the Netherlands in combination with historic recovery data of foreclosures
received from the seller. Given the historical performance of the
Dutch RMBS market and the originator's precedent transactions (in which
pools with similar risk characteristics have been securitised),
Moody's believes the assumed expected loss is appropriate for this transaction.
Another key characteristic of this transaction is that approximately 12.2%
of the portfolio is linked to life insurance policies (life mortgage loans),
which are exposed to set-off risk in case an insurance company
goes bankrupt. The seller has provided loan-by-loan
insurance company counterparty data, whereby 50.3%
of all life insurance-linked products are linked to insurance policies
provided by group companies of REAAL Levensverzekeringen N.V.,
which is not rated by Moody's. Moody's has considered the rating
of the parent company, SNS Reaal N.V. (Baa1),
and stress tested rating levels for the purpose of modelling this risk.
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 or acquired by Obvion N.V. (not rated).
The portfolio will be serviced by Obvion N.V. The transaction
was arranged by Rabobank.
The non-amortising reserve fund will be funded at 1.0%
of the total class A, B, C and D notes outstanding at closing
and will build up to 1.3% by trapping available excess spread.
The total credit enhancement for the Aaa rated notes is 5.0%.
Apart from the reserve fund, the transaction benefits from an excess
margin of 50 bps through the swap agreement. The swap counterparty
is Obvion N.V. and the swap back-up is Rabobank (Aaa/P-1),
who is obliged to assume the obligations of Obvion N.V.
under the swap agreement in case of Obvion's bankruptcy.
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 on precedent
transactions. The primary source of uncertainty surrounding our
assumptions is the current macroeconomic environment with a potential
decline in property values and rise in unemployment. Operational
risks relating to the servicing arrangement given that the contractual
servicer (Obvion N.V.) is not rated by Moody's are another
source of uncertainty. This risk is however mitigated by the fact
that Obvion N.V. is jointly owned by Rabobank (rated Aaa/P-1)
and Stichting Pensioenfonds ABP (not rated), whereby Rabobank holds
majority voting rights (70%). In addition, Stater
Nederland N.V. was appointed at closing as sub-agent
of Obvion N.V. to perform loan administration. Furthermore,
a back-up servicer will be appointed if Rabobank loses its controlling
stake in Obvion or is downgraded below A3. Moody's has also used
an estimate for the rating of Obvion N.V. to assess the
operational risk associated with the counterparty in this transaction.
Obvion will provide Moody's with its annual financial statements during
the life of the transaction.
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 from 0.65% to 1.95% and Milan
Aaa CE increased from 5.8% to 9.3% and all
other factors were constant, the model output indicates that Classes
A would have achieved Aa2.
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 STORM 2010-IV B.V.
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, "Cash Flow Analysis in EMEA
RMBS: Testing Features with the MARCO Model (Moody's Analyser of
Residential Cash Flows)" published in January 2006, "Moody's Updated
Approach to NHG Mortgages in Rating Dutch RMBS," published in March
2009 and "Moody's Updated Methodology for Set-Off in Dutch RMBS"
published in November 2009. Other methodologies and factors that
may have been considered in the process of rating this issuer 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 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.
Additional research, including 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 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.
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 five classes of Dutch RMBS notes issued by STORM 2010-IV B.V.
