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Rating Action:

Moody's assigns provisional ratings to five classes of notes to be issued by Dutch RMBS FORDless STORM 2018 B.V.

15 Feb 2018

Frankfurt am Main, February 15, 2018 -- Moody's Investors Service ("Moody's") has assigned provisional ratings to the following classes of notes to be issued by FORDless STORM 2018 B.V.:

....EUR [•] million Senior Class A Mortgage-Backed Notes due 2054, Assigned (P)Aaa (sf)

....EUR [•] million Mezzanine Class B Mortgage-Backed Notes due 2054, Assigned (P)Aa1 (sf)

....EUR [•] million Mezzanine Class C Mortgage-Backed Notes due 2054, Assigned (P)Aa2 (sf)

....EUR [•] million Junior Class D Mortgage-Backed Notes due 2054, Assigned (P)A1 (sf)

....EUR [•] million Subordinated Class E Notes due 2054, Assigned (P)Baa3 (sf)

FORDless STORM 2018 B.V. is a static securitisation of Dutch prime residential mortgage loans. Obvion N.V. (not rated) is the originator and servicer of the portfolio.

RATINGS RATIONALE

The provisional ratings on the notes take into account, among other factors: (1) the performance of the previous transactions launched by Obvion N.V.; (2) the credit quality of the underlying mortgage loan pool; (3) legal considerations; and (4) the initial credit enhancement provided to the senior notes by the junior notes and the reserve fund.

The expected portfolio loss of [0.65]% and the MILAN CE of [5.20]% serve as input parameters for Moody's cash flow and tranching model, which is based on a probabilistic lognormal distribution, as described in the report "The Lognormal Method Applied to ABS Analysis", published in July 2000.

MILAN CE for this pool is [5.20]%, which is in line with preceding static STORM transactions and in line with other prime Dutch RMBS static transactions, owing to: (1) the availability of the NHG-guarantee for [20.40]% of the loan parts in the pool; (2) the risk of deterioration of the pool quality due to the purchase of further advances and replacement mortgage loans, although this is partly mitigated by additional purchase criteria; (3) the Moody's weighted average loan-to-foreclosure-value (LTFV) of [94.33]%, which is similar to LTFV observed in other Dutch RMBS transactions; (4) the proportion of interest-only loan parts ([48.41]%); and (5) the weighted average seasoning of [5.93] years. Moody's notes that the unadjusted current LTFV is [93.85]%. The difference is due to Moody's treatment of the property values that use valuations provided for tax purposes (the so-called WOZ valuation).

During the period starting on the closing date up to (but excluding) the Clean Up Call Option Date, the issuer will, subject to the eligibility criteria and the additional purchase criteria, purchase (1) any further advances granted by the seller to borrowers in relation to loans in the securitised pool, and (2) replacement mortgage loans for mortgage loans which have been repurchased by the seller due to a breach of the applicable representations and warranties. The risk of a deterioration of pool quality over time through the purchase of further advances and replacement mortgage loans is partly mitigated by the additional purchase criteria, which include, amongst others, that the aggregate amount of available principal funds used by the issuer over the life of the transaction for the purchase of any further advances may not exceed an amount equal to [10]% of the aggregate outstanding principal amount of all mortgage loans at the provisional pool cut-off date. Further, no new loans can be added to the pool if there is a PDL outstanding, if loans more than 3 months in arrears exceed [1.5]% of the pool, or if the aggregate realised losses incurred over any rolling period of 20 consecutive (quarterly) notes payment dates exceed [0.40]% of the initial aggregate outstanding principal amount of the mortgage loans at the closing date.

The key drivers for the portfolio's expected loss of [0.65]%, which is in line with preceding STORM transactions and with other prime Dutch RMBS transactions, are: (1) the availability of the NHG-guarantee for [20.40]% of the loan parts in the pool; (2) the performance of the seller's precedent transactions; (3) benchmarking with comparable transactions in the Dutch RMBS market; and (4) the current economic conditions in the Netherlands in combination with historic recovery data of foreclosures received from the seller.

The transaction benefits from a non-amortising reserve fund, funded at slightly below [1.3]% of the total Class A to D notes' outstanding amount at closing, building up to [1.30]% by trapping available excess spread. The initial total credit enhancement for the Aaa (sf) provisionally rated notes is [5.81]%, [4.51]% through note subordination and the reserve fund amounting to [1.30]%. The transaction also benefits from an excess margin of [50] bps provided through the swap agreement. The swap counterparty is Obvion N.V. and the back-up swap counterparty is COOPERATIEVE RABOBANK U.A. ("Rabobank"; rated Aa2/P-1). Rabobank is obliged to assume the obligations of Obvion N.V. under the swap agreement in case of Obvion N.V.'s default. The transaction also benefits from an amortising cash advance facility of [2.0]% of the outstanding principal amount of the notes (including the Class E notes) with a floor of [1.45]% of the outstanding principal amount of the notes (including the Class E notes) as of closing.

The principal methodology used in these ratings was "Moody's Approach to Rating RMBS Using the MILAN Framework" published in September 2017. Please see the Rating Methodologies page on www.moodys.com for a copy of this methodology.

The analysis undertaken by Moody's at the initial assignment of ratings for RMBS securities may focus on aspects that become less relevant or typically remain unchanged during the surveillance stage. Please see Moody's Approach to Rating RMBS Using the MILAN Framework for further information on Moody's analysis at the initial rating assignment and the on-going surveillance in RMBS.

STRESS SCENARIOS:

Moody's Parameter Sensitivities: At the time the ratings were assigned, the model output indicated that Class A notes would have achieved Aaa (sf), even if MILAN CE was increased to 8.32% from 5.20% and the portfolio expected loss was increased to 1.95% from 0.65% and all other factors remained the same.

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.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

Significantly higher losses compared with our expectations at close due to either a change in economic conditions from our central scenario forecast or idiosyncratic performance factors would lead to rating actions.

For instance, should economic conditions be worse than forecast, the higher defaults and loss severities resulting from a greater unemployment, worsening household affordability and a weaker housing market could result in a downgrade of the ratings. Downward pressure on the ratings could also stem from (1) deterioration in the notes' available credit enhancement; or (2) counterparty risk, based on a weakening of a counterparty's credit profile, particularly Obvion N.V. and Rabobank, which perform numerous roles in the transaction.

Conversely, the ratings could be upgraded: (1) if economic conditions are significantly better than forecasted; or (2) upon deleveraging of the capital structure.

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 with respect to 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.

Moody's issues provisional ratings in advance of the final sale of securities, but these ratings only represent Moody's preliminary credit opinion. Upon a conclusive review of the transaction and associated documentation, Moody's will endeavour to assign definitive ratings to the Notes. A definitive rating may differ from a provisional rating. Moody's will disseminate the assignment of any definitive ratings through its Client Service Desk. Moody's will monitor this transaction on an ongoing basis. For updated monitoring information, please contact monitor.rmbs@moodys.com.

REGULATORY DISCLOSURES

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions of the disclosure form.

The analysis relies on an assessment of collateral characteristics to determine the collateral loss distribution, that is, the function that correlates to an assumption about the likelihood of occurrence to each level of possible losses in the collateral. As a second step, Moody's evaluates each possible collateral loss scenario using a model that replicates the relevant structural features to derive payments and therefore the ultimate potential losses for each rated instrument. The loss a rated instrument incurs in each collateral loss scenario, weighted by assumptions about the likelihood of events in that scenario occurring, results in the expected loss of the rated instrument.

Moody's describes the stress scenarios it has considered for this rating action in the section "Ratings Rationale" of this press release.

For ratings issued on a program, series or category/class of debt, this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Sebastian Schranz
Asst Vice President - Analyst
Structured Finance Group
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454

Olga Gekht
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454

Yuval, Toledano
Associate Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454

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

No Related Data.
© 2018 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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