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Rating Action:

Moody's reviews for downgrade 14 Dutch RMBS notes issued by HERMES series

23 Apr 2013

London, 23 April 2013 -- Moody's Investors Service has today placed on review for downgrade 14 mezzanine and junior notes in six transactions of the HOLLAND MORTGAGE BACKED SERIES (HERMES).

For a detailed list of affected ratings, see towards the end of the ratings rationale section.

RATINGS RATIONALE

Today's rating action takes into account collateral performance deterioration, the recent house price decline in the Netherlands, as well as the levels of credit enhancement available to absorb the future projected losses on the portfolios.

Collateral Performance Deterioration

The performance of the HERMES transactions has been deteriorating. The 60+ arrears have increased in the affected transactions over the past year, coming close to or exceeding the 3% mark. Cumulative realized losses have continued to rise, reaching 0.5% of the pool balance at issuance or above in most of the affected transactions.

This deterioration in performance will prompt Moody's reassessment of the expected loss assumptions in the portfolios during the rating review.

House Price Decline

By the end of 2012 house prices in the Netherlands have dropped by around 10% from their peak and they continue to decline. This has lead to higher loss severities on sold properties in recent quarters compared to the low levels experienced historically. Moody's expects loss severities to remain at elevated levels over the near term, contributing to the expected increase in realized losses.

Credit Enhancement

Moody's has placed on review for downgrade those notes where the available credit enhancement is insufficient to offset the potential increase in the loss assumptions due to the observed performance deterioration.

In order to complete the review, Moody's will also assess the updated loan-by-loan information to revise its MILAN Aaa credit enhancement. Loan-by-loan information will also permit us to validate our assumptions with regards to which loans have a higher default propensity. The lifetime loss and the MILAN Aaa credit enhancement are the key parameters used by Moody's to calibrate its loss distribution curve, which is one of the core inputs into our cash-flow model.

Moody's has also factored into its analysis its expectations of key macro-economic indicators in the Netherlands. In 2013, we expect GDP to contract by 0.6%, unemployment to remain above 6% and house prices to continue to decrease.

-- Other Developments May Negatively Affect the Notes

As the euro area crisis continues the ratings of the notes remain exposed to the uncertainties of credit conditions in the general economy. The deteriorating creditworthiness of euro area sovereigns as well as the weakening credit profile of the global banking sector could negatively impact the ratings of the notes. For more information please refer to the Rating Implementation Guidance published on 13 February 2012 "How Sovereign Credit Quality May Affect Other Ratings" and the special comment published on 19 January 2012 "Why Global Bank Ratings Are Likely to Decline in 2012".

Moody's describes additional factors that may affect the ratings in "Approach to Assessing Linkage to Swap Counterparties in Structured Finance Cashflow Transactions: Request for Comment" (http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF289772), published on 2 July 2012.

PRINCIPAL METHODOLOGIES

The principal methodology used in these ratings was "Moody's Approach to Rating RMBS Using the MILAN Framework", published in March 2013. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

Key modelling assumptions, sensitivities, cash-flow analysis and stress scenarios for the affected transactions have not been updated, as the rating actions have been primarily driven by assessment of credit enhancement levels.

LIST OF AFFECTED RATINGS

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

....EUR37.5M C Notes, A1 (sf) Placed Under Review for Possible Downgrade; previously on Feb 24, 2005 Definitive Rating Assigned A1 (sf)

....EUR15M D Notes, A2 (sf) Placed Under Review for Possible Downgrade; previously on Feb 24, 2005 Definitive Rating Assigned A2 (sf)

....EUR28.5M E Notes, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Feb 24, 2005 Definitive Rating Assigned Baa3 (sf)

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

....EUR20.5M C Notes, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 10, 2004 Definitive Rating Assigned Baa2 (sf)

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

....EUR31.5M C Notes, A2 (sf) Placed Under Review for Possible Downgrade; previously on Sep 30, 2005 Definitive Rating Assigned A2 (sf)

....EUR9M D Notes, A3 (sf) Placed Under Review for Possible Downgrade; previously on Sep 30, 2005 Definitive Rating Assigned A3 (sf)

....EUR27.7M E Notes, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Sep 30, 2005 Definitive Rating Assigned Baa3 (sf)

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

....EUR31.5M C Notes, A2 (sf) Placed Under Review for Possible Downgrade; previously on Feb 22, 2006 Definitive Rating Assigned A2 (sf)

....EUR9M D Notes, A3 (sf) Placed Under Review for Possible Downgrade; previously on Feb 22, 2006 Definitive Rating Assigned A3 (sf)

....EUR27.7M E Notes, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Feb 22, 2006 Definitive Rating Assigned Baa3 (sf)

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

....EUR28.6M D Notes, A2 (sf) Placed Under Review for Possible Downgrade; previously on Oct 26, 2006 Definitive Rating Assigned A2 (sf)

....EUR40.7M E Notes, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Oct 26, 2006 Definitive Rating Assigned Baa3 (sf)

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

....EUR38.65M D Notes, A2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 18, 2010 Upgraded to A2 (sf)

....EUR26.1M E Notes, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 18, 2010 Upgraded to Ba2 (sf)

REGULATORY DISCLOSURES

Moody's did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of these transactions in the past six months.

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 rating action on the support provider and in relation to each particular 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 rating action, and whose ratings may change as a result of this 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.

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.

Maria Divid
Analyst
Structured Finance Group
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

Barbara Rismondo
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Releasing Office:
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 reviews for downgrade 14 Dutch RMBS notes issued by HERMES series
No Related Data.
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