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Rating Action:

Moody's takes action on 17 Dutch RMBS transactions

17 Mar 2009

Approximately EUR 14.1 billion of debt securities affected

London, 17 March 2009 -- Moody's Investors Service explains in a new rating methodology report, published 17 March 2009, "Moody's Updated Approach to NHG Mortgages in Rating Dutch RMBS", recent updates to its modelling approach to rating Dutch residential mortgage-backed securities transactions (RMBS) backed by mortgage loans benefiting from a Nationale Hypotheek Garantie (NHG Guarantee). The amendments outlined in the new report relate to updates in the methodology with regards to the (i) mismatch between the amortisation of the NHG guarantee and the actual loan amortisation, (ii) set-off risk, (iii) risks related to non compliance with NHG criteria, (iv) representations and warranties and creditworthiness of the originator, and (v) creditworthiness of the guarantee provider.

In addition, Moody's also announced that it is revising its methodology for analysing set-off risk due to insurance linked mortgage loan products and deposits in the Netherlands, which is driven by Moody's revised view on this risk. The most important changes comprise of (a) introduction of recovery rate assumptions on set-off losses; (b) a change in the assumption of the likelihood of set-off by the borrower; (c) more focus on the distribution of the insurance company counterparties; and (d) the introduction of correlation between the portfolio of mortgage loans, the insurance company counterparties and originator in the modelling. Moody's expects to publish a report on the new methodology in the second quarter of 2009.

Within the universe of transactions rated by Moody's that are backed by pools with mortgage loans benefiting from an NHG Guarantee, Moody's has flagged 15 deals. For these deals we expect the combined methodology update to typically have a one to two notch downward impact on senior notes, although on a transaction by transaction basis the downward impact could be larger (single-A range) depending on single or combined exposures to unrated insurance companies in relation to the available credit enhancement. Because the NHG transactions generally have limited credit protection in the form of reserve fund and/or subordination, these type of transactions are especially vulnerable to the risk of set-off than Dutch RMBS backed by regular mortgages with more structural credit protection.

Moody's has today put under review for downgrade the following tranches:

Candide Financing 2007 NHG B.V.

- Class A, Aaa placed under review for possible downgrade, previously on 18 December 2007 assigned Aaa

Issuer: DARTS Finance B.V.

- Class A, Aaa placed under review for possible downgrade; previously on 1 November 2004 assigned Aaa

Issuer: DARTS Finance B.V. (Amstelhuys 2005 NHG portfolio)

- Class A, Aaa placed under review for possible downgrade; previously on 10 November 2005 assigned Aaa

Issuer: E-MAC NL 2005-NHG II B.V.

- Class A, Aaa remains on review for possible downgrade; previously on 10 July 2008 Aaa placed under review for possible downgrade

Issuer: E-MAC NL 2006-NHG I B.V.

- Class A, Aaa remains on review for possible downgrade; previously on 10 July 2008 Aaa placed under review for possible downgrade

Issuer: E-MAC Program B.V. / Compartment NL 2007-NHG II

- Class A, Aaa remains on review for possible downgrade; previously on 10 July 2008 Aaa placed under review for possible downgrade

- Class B, Ba3 remains on review for possible downgrade; previously on 10 July 2008 downgraded to Ba3 and placed under review for possible downgrade

Issuer: E-MAC Program B.V. / Compartment NL 2007-NHG V

- Class Class A, Aaa remains on review for possible downgrade; previously on 10 July 2008 Aaa placed under review for possible downgrade

- Class B, Ba3 remains on review for possible downgrade; previously on 10 July 2008 downgraded to Ba3 and placed under review for possible downgrade

Issuer: PEARL Mortgage Backed Securities 1 B.V.

- Class A, Aaa placed under review for possible downgrade; previously on 18 September 2006 assigned Aaa

- Class B, Baa2 placed under review for possible downgrade; previously on 18 September 2006 assigned Baa2

Issuer: PEARL Mortgage Backed Securities 2 B.V.

- Class A, Aaa placed under review for possible downgrade; previously on 08 June 2007 assigned Aaa

- Class B, Baa2 placed under review for possible downgrade; previously on 08 June 2007 assigned Baa2

Issuer: SOLID 2005-1 B.V.

- Class A, Aaa placed under review for possible downgrade; previously on 31 October 2005 assigned Aaa

Issuer: Sound I B.V.

- Class A, Aaa placed under review for possible downgrade; previously on 13 October 2005 assigned Aaa

- Class B, Aa3 placed under review for possible downgrade; previously on 13 October 2005 assigned Aa3

- Class C, A2 placed under review for possible downgrade; previously on 13 October 2005 assigned A2

- Class D, Baa2 placed under review for possible downgrade; previously on 13 October 2005 assigned Baa2

- Class E, Ba2 placed under review for possible downgrade; previously on 13 October 2005 assigned Ba2

Issuer: Sound II B.V.

- Class A, Aaa placed under review for possible downgrade; previously on 26 September 2007 assigned Aaa

- Class B, A3 placed under review for possible downgrade; previously on 26 September 2007 assigned A3

Issuer: STRONG 2005 B.V.

- Class A, Aaa placed under review for possible downgrade; previously on 30 August 2005 assigned Aaa

Issuer: STRONG 2006 B.V.

- Class A, Aaa placed under review for possible downgrade; previously on 18 December 2006 assigned Aaa

Issuer: STRONG 2007 B.V.

- Class A, Aaa placed under review for possible downgrade; previously on 18 December 2007 assigned Aaa

Moody's has today affirmed the ratings on the following tranches:

Issuer: European Mortgage Securities VIII B.V.

- Class A, affirmed at Aaa; previously on 29 October 2008 assigned Aaa

- Class B, affirmed at Aa3; previously on 29 October 2008 assigned Aa3

Stichting Guaranteed Mortgage Securities 2004-I

- Class A-1, affirmed at Aaa; previously on 03 June 2004 assigned Aaa

The rating affirmation of the two abovementioned transactions are due to sufficient subordination in the transaction either as from closing (European Mortgages Securities VIII) or due to deleveraging of the transaction over time (Stichting Guaranteed Mortgage Securities 2004-I).

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 non-credit risks have not been addressed, but may have a significant effect on yield to investors.

The rating reviews will be concluded over the course of the next three months following a detailed review and remodelling with updated data for each transaction.

Moody's monitors this transaction using the rating methodology for rating Dutch RMBS as described in the rating methodology reports " Moody's Updated Approach to NHG Mortgages in Rating Dutch RMBS " published in March 2009 and " Moody's Updated MILAN Methodology for Rating Dutch RMBS " published in March 2009, which can be found at www.moodys.com in the Credit Policy & Methodologies directory, the Ratings Methodologies subdirectory. Other methodologies and factors that may have been considered in the process of monitoring this issue can also be found in the Credit Policy & methodologies directory.

To obtain a copy of Moody's New Issue Report or Performance Overviews, please see Moody's website www.moodys.com or contact Moody's Client Service Desk in London (+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
Neal Shah
Managing Director
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's takes action on 17 Dutch RMBS transactions
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