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Rating Action:

Moody's downgrades 1 class of notes issued by Candide Financing 2007 NHG

26 Jun 2009

Approximately EUR 300 million and 1 class downgraded

London, 26 June 2009 -- Moody's Investors Service has downgraded the rating of the senior class issued by Candide Financing 2007 NHG B.V. ("Candide 2007 NHG"). The class of notes affected by today's rating actions is:

- Class A, Downgraded to Aa2; previously on 17 March 2009 Aaa on review for possible downgrade.

For this review, "Moody's Updated Approach to NHG Mortgages in Rating Dutch RMBS" was used. As outlined in the methodology update published on 17 March 2009, the refinements to Moody's MILAN model for mortgages with a guarantee under the "Nationale Hypotheek Guarantie" ("NHG") result in higher required credit enhancement levels for Dutch RMBS pools backed by NHG mortgage loans. Candide 2007 NHG is one of the deals flagged by Moody's and the senior class of notes were placed on review for possible downgrade on 17 March 2009. Today's actions conclude a detailed review of the transaction.

Candide 2007 NHG closed in December 2007 and its current pool factor is 84.2%. The total credit enhancement, in the form of a non-amortising reserve fund is currently 1.78% (initially 1.50%). Furthermore the transaction benefits from excess spread which can be used to cover losses in a specific period or cure the principal deficiency ledger on the Class A notes. As of the June 2009 reporting date, 2.97% of current portfolio balance (CB) was reported delinquent. The 60+ delinquencies represent 0.67% of CB. The cumulative realised losses for the transaction since close have been EUR 34,366 or approximately 0.01% of the original portfolio balance. The losses have been covered through excess spread and there was no draw on the reserve fund. The transaction is performing in line with Moody's expectations.

MILAN AND PORTFOLIO EXPECTED LOSS

Following the methodology update, Moody's has assessed updated loan-by-loan information of the outstanding portfolio to determine the increase in credit support needed for a Aaa-rated senior note and the volatility of future losses. The original loan-to-foreclosure value based on the received updated pool information is 111.85% and the current loan-to-foreclosure value is 111.43%. The proportion of interest only loans is 40.81%; furthermore 57.77% of the pool is interest only with separate repayment structures either in the form of a savings insurance policy (13.18%) or in the form of a life insurance policy (44.6%).

At closing of the transaction, Moody's received loan-by-loan data on claims made to WEW under the NHG guarantee. The average pay-out ratio of these claims was better than the average Moody's observes in the Dutch market and this did not result in an increase for the rescission rate assumption in the MILAN modelling.

As a consequence of the updated modelling approach and based on the current pool composition and additional information available, Moody's has revised its MILAN Aaa CE to 3.5% from a range of 0.9% to 1.1% at closing. Moody's expected loss assumption is 0.13% as of original portfolio balance.

SET-OFF

Moody's was provided with loan-by-loan information on insurance companies linked to loan parts. Based on this data, Moody's was able to construct a distribution of insurance companies. Moody's used this distribution of insurance companies and the linked current balances of the loan parts in a Monte Carlo simulation simulating the defaults of the insurance companies, resulting in losses for the transaction due to set-off. Moody's notes that losses due to set-off are not included in the realised loss definition. Moody's therefore assumed in its cash flow model that set-off losses would crystallise at the end of the transaction.

Besides using the outcome of the Monte Carlo simulation in the cash flow model, Moody's also focussed on the proportion of loan parts linked to unrated insurance companies in comparison to the available credit enhancement under the Class A notes. 9.18% of the current balance is linked to unrated insurance companies. Moody's assumes that currently the value of the policies linked to this proportion of the pool is low, but that it will build up over time, ultimately to 9.18% of the outstanding balance. Over time, Moody's also expects that the credit enhancement under the Class A notes will increase.

The Seller of the mortgage loans (Bank of Scotland, Amsterdam branch (Aa3/P-1)) has provided an undertaking at closing that it will indemnify the issuer for losses that arise due to borrowers invoking their right of set-off. Although this undertaking might serve as a mitigant of set-off risk in the transaction, Moody's is concerned that it might not indemnify the issuer for losses that arise due to borrowers applying defences to payments under the mortgage loan (as opposed to invoking rights of set-off), following an insurance company's default. Although the legal right of set-off and such defences, might have substantially the same result in economic terms, in Moody's view there is a difference from a legal point of view. Moody's is therefore of the opinion that the undertaking made by the Seller cannot be relied upon with regards to the borrowers' defences to payment under the mortgage loans. However, even with this uncertainty with regards to the undertaking in the transaction documentation, Moody's is comfortable assigning Aa2 to the Class A notes note given the current proportion of loans linked to unrated insurance companies compared to the available credit enhancement under the Class A notes.

Moody's ratings address the expected loss posed to investors by the legal final maturity of the notes. Moody's ratings address only the credit risks associated with the transaction. Other risks have not been addressed, but may have a significant effect on yield to investors.

Moody's monitors these transactions using the rating methodology as described in the Rating Methodology reports: "Moody's Updated Approach to NHG Mortgages in Rating Dutch RMBS", published on 17 March 2009, "MILAN methodology for Rating Dutch RMBS", published on 17 March 2009, and "Cash Flow Analysis in EMEA RMBS: Testing Structural Features with the MARCO Model", published in January 2006, which can be found at www.moodys.com in the Credit Policy & Methodologies directory, in the Ratings Methodologies subdirectory. Other methodologies and factors that may have been considered in the process of rating these transactions can also be found in the Credit Policy & Methodologies directory.

For further information, please refer to www.moodys.com or contact Moody's Client Service Desk on +44-20 7772 5454.

Frankfurt
Marie-Jeanne Kerschkamp
Managing Director
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

London
Ivo Raschl
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's downgrades 1 class of notes issued by Candide Financing 2007 NHG
No Related Data.
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