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Related Issuers
Rating Action:

Moody's assigns definitive ratings to six classes of Dutch RMBS notes issued by STORM 2011-III B.V.

20 Apr 2011

Approx. EUR 744.3 million of rated debt securities affected

Frankfurt am Main, April 20, 2011 -- Moody's Investors Service has today assigned definitive credit ratings to the following classes of notes issued by STORM 2011-III B.V.:

....EUR150M A1 Notes, Definitive Rating Assigned Aaa (sf)

....EUR550M A2 Notes, Definitive Rating Assigned Aaa (sf)

....EUR13.3M B Notes, Definitive Rating Assigned Aa1 (sf)

....EUR11.1M C Notes, Definitive Rating Assigned Aa2 (sf)

....EUR12.5M D Notes, Definitive Rating Assigned A1 (sf)

....EUR7.4M E Notes, Definitive Rating Assigned Baa3 (sf)

The transaction represents the securitisation of Dutch prime mortgage loans backed by residential properties located in the Netherlands and originated by Obvion N.V. (Obvion) (not rated). The portfolio is serviced by Obvion.

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.

The expected portfolio loss of 0.65% of the portfolio at closing and the MILAN Aaa required Credit Enhancement of 7.2% 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 in line with other prime Dutch RMBS transactions which closed during the past twelve months, are (i) the weighted average loan-to-foreclosure-value (LTFV) of 93.4%, which is in line with other prime Dutch RMBS transactions, (ii) the proportion of interest-only loan parts (77.8%) which is slightly higher than for other prime Dutch RMBS transactions, (iii) the weighted average seasoning of 2.8 years, (iv) the limited possibility for the seller to substitute new loans or further advances into the subject structure, and (v) the availability of the NHG-guarantee for 3.7% of the loans in the pool.

The key drivers for the portfolio expected loss are (i) the performance of the seller's precedent transactions as well as the performance on the seller's book (ii) benchmarking with comparable transactions in the Dutch RMBS market and (iii) the current economic conditions in the Netherlands in combination with historic recovery data of foreclosures received from the seller.

Approximately 6.7% 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 48.5% of all life insurance-linked products are linked to insurance policies provided by group companies of REAAL Levensverzekeringen N.V. (A3 IFSR). Moody's considered the set-off risk in the cash flow analysis.

The transaction benefits from a non-amortising reserve fund that will be funded at 1.0% of the total class A1, A2, 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 6.0%. Apart from the reserve fund, the transaction benefits from an excess margin of 50 bps through the swap agreement. The swap counterparty is Obvion and the back-up swap counterparty is Rabobank (Aaa/P-1). Rabobank is obliged to assume the obligations of Obvion under the swap agreement in case of Obvion's default. The transaction also benefits from an amortising liquidity facility of 2% of the outstanding principal amount of the notes (including the class E notes) with a floor of 1.45% of outstanding principal amount of notes (including the class E notes) as of closing.

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 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 relates to operational risks relating to the servicing arrangement. The contractual servicer (Obvion) is not rated by Moody's. This risk is mitigated by the fact that Obvion 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. will be appointed at closing as sub-agent of Obvion and will perform the loan administration. Another source of uncertainty is the fact that the swap counterparty is unrated and that the swap will be automatically novated to the back-up swap counterparty upon certain credit events relating to the swap counterparty. The swap novation mechanism makes this transaction more complex than the standard Dutch RMBS 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: At the time the rating was assigned, the model output indicated that class A2 would have achieved Aa1 if the expected loss was as high as 1.95%, assuming Milan Aaa CE increased to 11.5% and all other factors remained constant. Class A1 would have achieved Aaa in all tested scenarios.

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, 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, Moody's Updated Methodology for Set-Off in Dutch RMBS published in November 2009 and Global Structured Finance Operational Risk Guidelines: Moody's Approach to Analyzing Performance Disruption Risk published in March 2011.

Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments in this transaction

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, and 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.

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 six classes of Dutch RMBS notes issued by STORM 2011-III B.V.
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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