London, 24 December 2010 -- Moody's Investors Service has today placed under review for possible
upgrade the following four classes of notes issued by the following Dutch
RMBS transaction:
- Stichting Eleven Cities 3 B.V.: Classes B,
C, D and E
The review was prompted by the better-than-expected performance
of the collateral backing the notes as well as credit enhancement build-up
since closing. Moody's expects to conclude its rating review
within six months.
Also Moody's Investors Service has today placed under review for
possible downgrade the following seven classes of notes issued by the
following Dutch RMBS transactions:
- Holland Mortgage Backed Series (HERMES) XIII B.V.:
Class E
- Holland Mortgage Backed Series (HERMES) XIV B.V.:
Classes C, D and E
- Candide Financing 2006 B.V.: Class E
- European Mortgage Securities VII B.V. Compartment
2007-I: Classes E and F
Moody's Investors Service has today updated loss assumptions in
the 8 Dutch RMBS transactions listed below (the affected transactions)
and has taken no rating action, in consideration of the sufficient
levels of credit enhancement currently available in the structures.
- Saecure 4 B.V.
- Saecure 5 B.V.
- Candide Financing 2005 B.V.
- Holland Mortgage Backed Series (HERMES) VIII B.V.
- Holland Mortgage Backed Series (HERMES) IX B.V.
- Holland Mortgage Backed Series (HERMES) X B.V
- Holland Mortgage Backed Series (HERMES) XI B.V.
- Holland Mortgage Backed Series (HERMES) XII B.V
Moody's has increased its lifetime loss assumption in the affected transactions,
as the performance of the underlying mortgage portfolios to date has been
worse than previously assumed. 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 in
our cash-flow model.
The review of Stichting Eleven Cities 3, Hermes XIII, Hermes
XIV, Candide Financing 2006, and European Mortgage Securities
VII B.V. Compartment 2007-I and the update of the
loss assumptions in the affected transactions follows a portfolio review
of the performance of 101 Moody's rated non-master trust
Dutch RMBS transactions (including NHG and synthetic transactions).
The list of transactions included in the portfolio review can be found
under this link
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF230105
Moody's has also factored into its analysis the stable outlook for
Dutch RMBS. The sector outlook reflects the following expectations
of key macro-economic indicators: GDP to increase by 1.8%
in 2010 and by 1.4% in 2011, unemployment to rise
to approximately 5.6% in 2010 from 4.8% in
2009 before falling to 5.3% in 2011, house prices
to remain relatively flat over the next year. For transaction specific
performance, please refer to Moody's Performance Overviews available
on www.moodys.com.
TRANSACTION OVERVIEWS
- Stichting Eleven Cities 3 B.V. closed in June 2007.
Loans more than 90 days in arrears correspond to 0.42% of
the current portfolio balance, while cumulative losses amount to
0.01% of the original portfolio balance. The transaction
has a current pool factor of 70%. The credit enhancement
of Class B notes has increased to 9.38% from 6.52%
at closing, of class C note to 6.48% from 4.51%,
of class D note to 3.60% from 2.51 and of class E
note to 1.44% from 1.01% at closing.
- Holland Mortgage Backed Series (HERMES) XIII B.V.
closed in March 2007. Loans more than 90 days in arrears correspond
to 1.08% of the current portfolio balance, while cumulative
losses amount 0.15% of the original portfolio balance (inc.
replenishments if applicable).
- 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
(inc. replenishments if applicable).
- Candide Financing 2006 B.V. closed in November
2006. Loans more than 90 days in arrears correspond to 0.75%
of the current portfolio balance, while cumulative losses amount
to 0.18% of the original portfolio balance (inc.
replenishments if applicable).
- European Mortgage Securities VII B.V. Compartment
2007-I closed in August 2007. Loans more than 90 days in
arrears correspond to 1.45% of the current portfolio balance,
while cumulative losses amount to 0.07% of the original
portfolio balance (inc. replenishments if applicable).
- Saecure 4 B.V. closed in June 2004. Loans
more than 90 days in arrears correspond to 1.04% of the
current portfolio balance, while cumulative losses amount to 0.31%
of the original portfolio balance (inc. replenishments if applicable).
Taking into account the performance of the underlying mortgage portfolio
to date, Moody's has increased its lifetime loss expectations to
0.70% of the original portfolio balance and it has maintained
its Milan AaaCE at 8.00% of the current portfolio balance.
- Saecure 5 B.V. closed in April 2005. Loans
more than 90 days in arrears correspond to 0.81% of the
current portfolio balance, while cumulative losses amount to 0.24%
of the original portfolio balance (inc. replenishments if applicable).
Taking into account the performance of the underlying mortgage portfolio
to date, Moody's has increased its lifetime loss expectations to
0.70% of the original portfolio balance and it has maintained
its Milan AaaCE at 6.79% of the current portfolio balance.
- Candide Financing 2005 B.V. closed in May 2005.
Loans more than 90 days in arrears correspond to 0.74% of
the current portfolio balance, while cumulative losses amount to
0.28% of the original portfolio balance (inc. replenishments
if applicable). Taking into account the performance of the underlying
mortgage portfolio to date, Moody's has increased its lifetime loss
expectations to 0.70% of the original portfolio balance
and it has maintained its Milan AaaCE at 7.75% of the current
portfolio balance.
- Holland Mortgage Backed Series (HERMES) VIII B.V.
closed in June 2004. Loans more than 90 days in arrears correspond
to 1.97% of the current portfolio balance, while cumulative
losses amount to 0.75% of the original portfolio balance
(inc. replenishments if applicable). Taking into account
the performance of the underlying mortgage portfolio to date, Moody's
has increased its lifetime loss expectations to 0.90% of
the original portfolio balance and it has maintained its Milan AaaCE at
7.00% of the current portfolio balance.
- Holland Mortgage Backed Series (HERMES) IX B.V.
closed in February 2005. Loans more than 90 days in arrears correspond
to 1.63% of the current portfolio balance, while cumulative
losses amount to 0.58% of the original portfolio balance
(inc. replenishments if applicable). Taking into account
the performance of the underlying mortgage portfolio to date, Moody's
has increased its lifetime loss expectations to 0.90% of
the original portfolio balance and it has maintained its Milan AaaCE at
6.42% of the current portfolio balance.
- Holland Mortgage Backed Series (HERMES) X B.V closed in
September 2005. Loans more than 90 days in arrears correspond to
1.46% of the current portfolio balance, while cumulative
losses amount to 0.58% of the original portfolio balance
(inc. replenishments if applicable). Taking into account
the performance of the underlying mortgage portfolio to date, Moody's
has increased its lifetime loss expectations to 0.90% at
closing of the original portfolio balance and it has maintained its Milan
AaaCE at 6.59% of the current portfolio balance.
- Holland Mortgage Backed Series (HERMES) XI B.V.
closed in February 2006. Loans more than 90 days in arrears correspond
to 1.27% of the current portfolio balance, while cumulative
losses amount to 0.49% of the original portfolio balance
(inc. replenishments if applicable). Taking into account
the performance of the underlying mortgage portfolio to date, Moody's
has increased its lifetime loss expectations to 0.90% of
the original portfolio balance and it has maintained its Milan AaaCE at
6.54% of the current portfolio balance.
- Holland Mortgage Backed Series (HERMES) XII B.V closed
in October 2006. Loans more than 90 days in arrears correspond
to 0.85% of the current portfolio balance, while cumulative
losses amount to 0.21% of the original portfolio balance
(inc. replenishments if applicable). Taking into account
the performance of the underlying mortgage portfolio to date, Moody's
has increased its lifetime loss expectations to 0.90% of
the original portfolio balance and it has maintained its Milan AaaCE at
6.00% of the current portfolio balance.
REVIEW PROCESS
In identifying the affected transactions, Moody's conducted
a portfolio review of 101 Moody's rated non-master trust
Dutch RMBS transactions. The list of transactions included in the
portfolio review can be found under this link.
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF230105
During the analysis, the rating agency took into account the performance
of the collateral to date, its deviation from Moody's expectations
as well as the levels of credit enhancement available to absorb the future
projected losses on the respective portfolios. Within the Dutch
RMBS sector the mortgage portfolios in the 8 affected transactions have
shown a deviation from Moody's performance expectations. After
taking into account the level of credit enhancement in each structure,
Moody's has taken no rating action on the affected transactions due to
the current level of credit enhancement sufficiently supporting the current
ratings of the notes.
The full review of the ratings of class E in Hermes XIII, classes
C, D, and E in Hermes XIV, class E in Candide Financing
2006, classes E and F in European Mortgage Securities VII B.V.
Compartment 2007-I, and classes B, C, D and E
in Stichting Eleven Cities 3 will take into account the current capital
structure of the transactions. As part of its detailed transaction
review, Moody's will reassess its lifetime loss expectation
reflecting the collateral performance to date as well as the future macro-economic
environment. Moody's will also request updated loan-by-loan
information to revise its MILAN Aaa credit enhancement. Loan-by-loan
information will also allow Moody's to validate its 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 in our cash-flow model.
LIST OF AFFECTED NOTES
Issuer: Candide Financing 2006 B.V.
....EUR5M E Certificate, Ba3 (sf) Placed
Under Review for Possible Downgrade; previously on Nov 17,
2006 Definitive Rating Assigned Ba3 (sf)
Issuer: European Mortgage Securities VII B.V. Compartment
2007-I
....EUR24.5M E Certificate, Baa1
(sf) Placed Under Review for Possible Downgrade; previously on Aug
31, 2007 Assigned Baa1 (sf)
....EUR38.55M F Certificate,
Baa3 (sf) Placed Under Review for Possible Downgrade; previously
on Aug 31, 2007 Assigned Baa3 (sf)
Issuer: Holland Mortgage Backed Series (Hermes) XIII B.V.
....EUR36.4M E Certificate, Ba2
(sf) Placed Under Review for Possible Downgrade; previously on Mar
29, 2007 Definitive Rating Assigned Ba2 (sf)
Issuer: HOLLAND MORTGAGE BACKED SERIES (HERMES) XIV B.V.
....EUR54M C Certificate, A1 (sf) Placed
Under Review for Possible Downgrade; previously on Sep 28,
2007 Definitive Rating Assigned A1 (sf)
....EUR14M D Certificate, Baa2 (sf)
Placed Under Review for Possible Downgrade; previously on Sep 28,
2007 Definitive Rating Assigned Baa2 (sf)
....EUR18M E Certificate, Ba2 (sf) Placed
Under Review for Possible Downgrade; previously on Sep 28,
2007 Definitive Rating Assigned Ba2 (sf)
Issuer: Stichting Eleven Cities No. 3
....EUR18.6M B Certificate, Aa2
(sf) Placed Under Review for Possible Upgrade; previously on Jun
7, 2007 Definitive Rating Assigned Aa2 (sf)
....EUR18.5M C Certificate, A1
(sf) Placed Under Review for Possible Upgrade; previously on Jun
7, 2007 Definitive Rating Assigned A1 (sf)
....EUR8.4M D Certificate, Baa1
(sf) Placed Under Review for Possible Upgrade; previously on Jun
7, 2007 Definitive Rating Assigned Baa1 (sf)
....EUR5.5M E Certificate, Baa3
(sf) Placed Under Review for Possible Upgrade; previously on Jun
7, 2007 Definitive Rating Assigned Baa3 (sf)
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 transactions. Other non-credit
risks have not been addressed, but may have a significant effect
on yield to investors.
Moody's will continue to monitor closely the above transactions.
The principal methodologies used in rating and/or monitoring this transaction
were Moody's Approach to Rating Dutch RMBS published in December 2004
and Revising Default/Loss Assumptions Over the Life of an ABS/RMBS Transaction
published in December 2008.
Please also refer to the "Dutch RMBS September 2010 Indices", which
is available on www.moodys.com in the Industry / Sector
Research sub-directory under the Research & Ratings tab.
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.
The ratings have 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 ratings are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, and 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 purpose of maintaining
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.
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 adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
London
Shivani Kak
Asst Vice President - 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 updates assumptions in 8 Dutch RMBS and reviews ratings in 5 Dutch RMBS
