EUR 909 million of rated debt securities affected
Frankfurt am Main, August 25, 2010 -- Moody's Investors Service has today assigned provisional credit ratings
to the following classes of notes to be issued by STORM 2010-III
- (P)Aaa(sf) to Euro 198,000,000 Senior Class A1 Mortgage-Backed
Notes 2010 due 2052
- (P)Aaa(sf) to Euro 657,000,000 Senior Class A2 Mortgage-Backed
Notes 2010 due 2052
- (P)Aa1(sf) to Euro 16,200,000 Mezzanine Class B Mortgage-Backed
Notes 2010 due 2052
- (P)Aa2(sf) to Euro 13,500,000 Mezzanine Class C Mortgage-Backed
Notes 2010 due 2052
- (P)A1(sf) to Euro 15,300,000 Junior Class D Mortgage-Backed
Notes 2010 due 2052
- (P)Baa3(sf) to Euro 9,000,000 Subordinated Class
E Notes 2010 due 2052
The ratings of the notes take 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 current balance
of the portfolio at closing and the MILAN Aaa required Credit Enhancement
of 7.0% 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 closed in 2010,
are (i) the weighted average loan-to-foreclosure-value
(LTFV) of 93.9%, which is in line with other Dutch
RMBS transactions, (ii) the relatively high proportion of interest-only
loans (79.5%), (iii) the weighted average seasoning
of 1.6 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 4.8% 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.
The fact that currently there are no arrears in the portfolio has been
also taken into account in the portfolio expected loss assumption.
Another key characteristic of this transaction is that approximately 5.5%
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 41.0%
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 per
cent of the total class A, B, C and D notes outstanding at
closing and will build up to 1.3 per cent by trapping available
excess spread. The total credit enhancement for the Aaa rated notes
is 6.0 per cent. 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 its 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, in which property
values are falling and unemployment continues to rise. 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 accordingly 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% of current balance to 1.95%
of current balance and Milan Aaa CE increased to 8.4% and
all other factors were constant, the model output indicates that
Classes A1 and A2 would have achieved Aaa. Class A1 would have
achieved Aaa in all tested scenarios. The model output further
indicated that the Class A2 would not have achieved Aaa with a Milan Aaa
CE of 9.8%, and expected loss of 0.65%.
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 Dutch Mortgage Portfolio Loans
VI B.V. were Moody's Updated MILAN Methodology for
Rating Dutch RMBS published in September 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 one or
more third party due diligence reports on the underlying assets or financial
instruments in this transaction and the due diligence reports had a neutral
impact on the rating.
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.
The reports mentioned above are 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.
Additional research, including the pre-sale report for this
transaction and 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 adopts all necessary measures so that the information
it uses in assigning a credit rating is of sufficient quality and from
reliable sources; however, Moody's Investors Service does not
and cannot in every instance independently verify, audit 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.
Structured Finance Group
Christophe de Noaillat
Senior Vice President
Structured Finance Group
Moody's Investors Service Ltd.
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Moody's Deutschland GmbH
Moody's assigns provisional ratings to six classes of Dutch RMBS notes to be issued by STORM 2010-III B.V.
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