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.
