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Announcement:

Moody's confirms ratings in Dutch RMBS notes issued by HERMES XIII B.V. and HERMES XIV B.V.

24 Mar 2011

Approximately EUR 122.4 million of rated debt securities affected

London, 24 March 2011 -- Moody's Investors Service announced today that it has confirmed the ratings of all notes issued by Holland Mortgage Backed Series (HERMES) XIII B.V. and Holland Mortgage Backed Series (HERMES) XIV B.V., previously placed under review for possible downgrade. A list of the affected notes is provided at the end of this press release.

The ratings were placed on review for possible downgrade in December 2010 due to worse-than expected collateral performance.

RATINGS RATIONALE

Today's rating announcement concludes the review and takes into consideration the worse-than-expected performance of the collateral as well as the levels of credit enhancement available to absorb the future projected losses on the respective portfolios. It also reflects Moody's stable sector outlook for Dutch RMBS and the improvement of the macro-economic environment in the Netherlands.

Portfolio Expected Loss:

Moody's has reassessed its lifetime loss expectation for HERMES XIII and XIV taking into account the worse collateral performance to date as well as the current macroeconomic environment in the Netherlands. Moody's has increased its lifetime loss expectations to 0.9% of the original portfolio balance from 0.5% at closing for both HERMES XIII and HERMES XIV.

MILAN Aaa CE:

Moody's has assessed the loan-by-loan information for HERMES XIII and HERMES XIV to determine the MILAN Aaa CE. Moody's has slightly revised its MILAN Aaa CE assumptions to 5.5% in HERMES XIII and 5.0% in HERMES XIV, up from closing assumptions of 5.1%, and 4.6% respectively. The class A1 and A2 notes in Hermes XIII benefit from 8.4% credit enhancement. Class A1 and class A2 notes in Hermes XIV benefit from 8.5% credit enhancement.

Notwithstanding the increase in assumptions, Moody's has taken no rating action in the two transactions due to the current level of credit enhancement sufficiently supporting the current ratings of the notes.

TRANSACTION FEATURES

-Holland Mortgage Backed Series (HERMES) XIII B.V. closed in March 2007. Loans more than 90 days in arrears correspond to 1.09% of the current portfolio balance, while cumulative losses amount 0.15% of the original portfolio balance. The pool factor stands at 73.0%.

- Holland Mortgage Backed Series (HERMES) XIV B.V closed in September 2007. Loans more than 90 days in arrears correspond to 1.22% of the current portfolio balance, while cumulative losses amount to 0.10% of the original portfolio balance. The pool factor stands at 79.9%.

Set-off : Moody's also assessed the set-off risk on savings and current accounts as well as the life insurance policy exposure using a conservative assumption on the distribution in terms of credit quality and exposure to counterparties of insurance companies.

For details on the deal structure, please refer to the HERMES XIII, and HERMES XIV new issue reports. Both reports are available on www.moodys.com.

Please also refer to the "Dutch RMBS January 2011 Indices", which is available on www.moodys.com in the Industry / Sector Research sub-directory under the Research & Ratings tab.

Moody's ratings address the expected loss posed to investors by the legal final maturity of the notes (September 2039 and November 2039 respectively). 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.

The principal methodology Moody's used in rating these transactions is described in the Rating Methodology reports: "Moody's Updated MILAN methodology for Rating Dutch RMBS", published on 16 March 2009, "Cash Flow Analysis in EMEA RMBS: Testing Structural Features with the MARCO Model", published in January 2006, and "Revising Default/Loss Assumptions Over the Life of an ABS/RMBS Transaction," published in December 2008 which can be found at www.moodys.com.

Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months.

LIST OF AFFECTED NOTES

Issuer: Holland Mortgage Backed Series (Hermes) XIII B.V.

....EUR36.4M E Certificate, Confirmed to Ba2 (sf); previously on Dec 24, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade

Issuer: HOLLAND MORTGAGE BACKED SERIES (HERMES) XIV B.V.

....EUR54M C Certificate, Confirmed to A1 (sf); previously on Dec 24, 2010 A1 (sf) Placed Under Review for Possible Downgrade

....EUR14M D Certificate, Confirmed to Baa2 (sf); previously on Dec 24, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade

....EUR18M E Certificate, Confirmed to Ba2 (sf); previously on Dec 24, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade

London
Panayiota Koulafetis
Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

London
Barbara Rismondo
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's confirms ratings in Dutch RMBS notes issued by HERMES XIII B.V. and HERMES XIV B.V.
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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