London, 08 March 2010 -- On 5 February 2010, Moody's Investors Service downgraded to A2 from
Aa3 the long-term senior unsecured debt rating of Royal Bank of
Scotland N.V. ("RBS N.V.",
formerly ABN AMRO Bank N.V.); the short-term
rating was affirmed at Prime-1. The downgrade was driven
by the de-merger of the Dutch state-acquired business of
ABN AMRO, which is now named ABN AMRO Bank N.V. Please
refer to Moody's press release dated 5 February 2010 for details
on this action.
RBS N.V. performs the role of swap counterparty in a number
of EMEA ABS, RMBS and CMBS transactions. In each of the transactions
listed at the end of this press-release, the swap agreement
requires RBS to post collateral within 30 or 45 calendar days of its rating
being downgraded below A1, unless and until it transfers the swap
to a replacement counterparty or obtains a guarantee.
Moody's understands that RBS N.V. intends to transfer
the swaps for the listed transactions to Royal Bank of Scotland Plc ("RBS
Plc", rated Aa3/P-1) and, in the meantime,
post collateral in favour of the issuers. However, in some
cases, the amount of collateral to be posted may not be fully consistent
with Moody's current published collateral formulas (see Moody's
Report, "Framework for De-Linking Hedge Counterparty Risks
from Global Structured Finance Cashflow Transactions", May 2007).
Further, for a number of the affected transactions, collateral
will not be posted pursuant to a pre-existing collateral arrangement;
rather, Moody's understands that new documentation will be
drafted with the intention of implementing Moody's criteria.
For these reasons, Moody's is not yet in a position to determine
whether, for all affected transactions, it will give value
to the proposed collateral in assessing whether the rated notes are de-linked
from the credit risk of RBS N.V.
Over the coming weeks, Moody's will closely monitor the situation
and in case the anticipated transfers to Royal Bank of Scotland are not
effected, review the degree of linkage to RBS N.V.
and any consequent rating impact. Moody's will update the market
accordingly.
List of affected transactions:
ARENA 2004-I B.V.
ARENA 2004-II B.V.
ARENA 2005-I B.V.
ARENA 2006-I B.V.
Asset-Backed European Securitisation Transaction
Asset-Backed European Securitisation Transaction Two S.r.l.
Athlon Securitisation B.V.
Atlante Finance Srl
ATOMIUM MORTGAGE FINANCE 2003-I B.V.
Auto ABS Compartiment 2004-1
Cars Alliance Auto Loans France FCC - Series 2006
Castoro RMBS S.r.l.
Darts Finance B.V.
DARTS FINANCE B.V. (Amstelhuys 2005 NHG portfolio)
DFM Vehicle Loans Securitisation 2005
DIAMOND MORTGAGE FINANCE 2006 N.V.
Dutch Mortgage Portfolio Loans V B.V. (DMPL 5)
E-MAC NL 2004-I B.V.
E-MAC NL 2004-II B.V.
E-MAC NL 2005-III B.V.
E-MAC NL 2006-II B.V.
E-MAC NL 2006-NHG I B.V.
F-E Green S.r.l.
F-E Mortgages S.r.l.
FAST 2005 Limited
GIOTTO FINANCE 2 S.p.A.
Granite Mortgages 03-2 plc
Granite Mortgages 04-2 plc
HOLLAND EURO-DENOMINATED MORTGAGE-BACKED SERIES (HERMES)
V B.V.
HOLLAND HOMES MBS 2003-1 B.V.
Magellan Mortgages No. 2 plc
Marble Arch Residential Securitisation No. 3 Limited
Money Partners Securities 2 Plc (MPS 2)
Money Partners Securities 3 Plc (MPS 3)
Money Partners Securities 4 Plc (MPS 4)
MOUND FINANCING (NO. 4) PLC
Pan-European Industrial Properties Series III SA
Pan-European Industrial Properties Series IV S.A.
(Compartment 1)
Paragon Mortgages (No. 10) PLC
Paragon Mortgages (No. 11) PLC
Paragon Mortgages (No. 12) PLC
Paragon Mortgages (No. 9) PLC
PELICAN MORTGAGES NO. 1 PUBLIC LIMITED COMPANY
PELICAN MORTGAGES NO. 2 PUBLIC LIMITED COMPANY
PERMANENT FINANCING (NO. 8) PLC
Residential Mortgage Securities 19 Plc (RMS 19)
SAECURE 2 B.V.
SAECURE 3 B.V.
SAECURE 4 B.V.
SAECURE 5 B.V.
Sound I B.V.
STICHTING ELEVEN CITIES No. 1
STICHTING ELEVEN CITIES No. 2
STICHTING HOLLAND HOMES III
STICHTING UIVER 2002
VELA HOME S.r.l. - Series 3
Vesteda Residential Funding II B.V.
Moody's principal methodologies used monitoring the ratings of RMBS transactions
referred to in this press-release are "Moody's Methodology
for Rating RMBS in Europe, Middle East and Africa (EMEA)",
October 2008, "Cash Flow Analysis in EMEA RMBS: Testing Structural
Features with the MARCO Model", January 2006, and "Revising
Default/Loss Assumptions Over the Life of an ABS/RMBS Transaction",
December 2008.
Moody's principal methodologies used in monitoring the ratings of ABS
Auto Loan transactions referred to in this press-release are "Revising
Default/Loss Assumptions Over the Life of an ABS/RMBS Transaction",
December 2008, "The Lognormal Method Applied to ABS Analysis",
20 July 2000 and "Moody's Approach to rating European Auto ABS:
More rubber set to hit European Roads", 19 November 2002.
Moody's principal methodology used in monitoring the ratings of the transaction
F-E Green S.r.l. is described in the Rating
Methodology report for EMEA ABS: "The Lognormal Method Applied to
ABS Analysis", July 2000.
Moody's principal methodologies used in monitoring the CMBS transactions
described in this press-release are "Update on Moody's Real Estate
Analysis for CMBS Transaction in EMEA", June 2005 and "Moody's Updates
on its Surveillance Approach for EMEA CMBS", March 2009.
All of the above reports are available on www.moodys.com
in the Rating Methodologies sub-directory under the Research &
Ratings tab. Other methodologies and factors that may have been
considered in the process of rating this issuer can also be found in the
Rating Methodologies sub-directory on Moody's website. 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.
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
London
Maria Divid
Senior Associate
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's updates on ABS, RMBS and CMBS transactions having swaps affected by the rating action on Royal Bank of Scotland N.V.