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Rating Action:

Moody's assigns provisional ratings to Dutch prime RMBS notes to be issued by Pearl Mortgage Backed Securities 4 B.V.

Global Credit Research - 14 Jul 2010

EUR 1 billion of rated debt securities affected

Paris, July 14, 2010 -- Moody's Investors Service has assigned provisional credit ratings to the class A and B notes to be issued by Pearl Mortgage Backed Securities 4 B.V. :

- [Aaa] to Euro [931,000,000] Senior Class A Mortgage-Backed Floating Rate Notes 2010 due 2047

- [Baa1] to Euro [69,000,000] Subordinated Class B Mortgage-Backed Floating Rate Notes 2010 due 2047

The transaction represents the securitisation of Dutch NHG-guaranteed residential mortgage loans originated by SNS Bank N.V ("SNS Bank") (A3/P-2)), SNS Regio Bank N.V. ("SNS Regio Bank") and BLG Hypotheekbank N.V. ("BLG") -- the last 2 entities are not rated by Moody's but are fully owned by SNS Bank. The assets supporting the Notes are prime mortgage loans secured by residential properties located in the Netherlands. The portfolio will be serviced by SNS Bank, SNS Regio Bank and BLG. SNS Bank is also the arranger of the transaction.

There is no reserve fund in the structure. Credit enhancement is provided by excess spread and for the senior Class A by the subordination of the junior notes. Excess spread of [25] bps is guaranteed through the interest rate swap. Subordination of the Class A notes is [6.9] per cent.

The key parameters used by Moody's to calibrate the loss distribution curve are a MILAN Aaa CE of [5.5]% and an expected loss of [0.15]%. These low numbers reflect primarily the benefit provided by the NHG guarantee. For the Milan Aaa CE the originators' historical NHG pay-out ratios were considered for stressed scenarios in which the originators might not be in a position anymore to honour their buy-back obligation for loans that do not meet the NHG criteria. Moody's assumed a rescission rate of 45% in the Aaa scenario. Furthermore the servicers were not able to provide loan-by-loan insurance company counterparty data and the distribution of insurance counterparty data might change over time because of the revolving nature of the transaction. This possible deterioration of the set-off exposure during the revolving period has been taken into account in Moody's analysis.

The current economic conditions in the Netherlands, with rising unemployment and consensus forecast of 7.9% in Q4 2010, is likely to drive delinquencies up in the short to medium term. Additionally house prices have been falling since their peak in end 2008. Nevertheless, given the historic performance in the Dutch market, the performance of originators' precedent transactions and the presence of NHG guarantees, Moody's believes the assumed expected loss is appropriate for this transaction.

The V-Score for this transaction is Low/Medium, which is in line with the Low/Medium V-Score assigned for the Dutch prime RMBS sector. 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 accordingly to the report "V-Scores and Parameter Sensitivities in the Major EMEA RMBS Sectors" published in April 2009.

The principal methodologies in rating the notes issued by Pearl Mortgage Backed Securities 4 B.V. were "Moody's Updated MILAN Methodology for Rating Dutch RMBS", published in March 2009, "Moody's Updated Methodology for Set-Off in Dutch RMBS", published in September 2009, "Cash Flow Analysis in EMEA RMBS: Testing Structural Features with the MARCO Model," published in January 2006, "Moody's Updated Approach to NHG Mortgages in Rating Dutch RMBS", published in March 2009 and available on www.moodys.com in the Rating Methodologies sub-directory under the Research & Ratings tab. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found in the Rating Methodologies sub-directory on Moody's website. 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.

The provisional 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 at par on or before the rated final legal maturity date. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors. Moody's issues provisional ratings in advance of the final sale of securities and these ratings represent Moody's preliminary opinion. Upon a conclusive review of the transaction and associated documentation, Moody's will endeavour to assign definitive rating to the Notes. A definitive rating may differ from a provisional rating.

To obtain a copy of Moody's Pre-Sale Report on this transaction, please see Moody's website www.moodys.com or contact our Client Service Desk in London +44-20-7772 5454. Moody's will monitor this transaction on an ongoing basis. For updated monitoring information, please contact monitor.rmbs@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.

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

Paris
Alix Faure
Asst Vice President - Analyst
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's assigns provisional ratings to Dutch prime RMBS notes to be issued by Pearl Mortgage Backed Securities 4 B.V.
No Related Data.
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