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Moody's updates on BASS Master Issuer N.V.S.A. Series 0-2008-I

15 Feb 2018

Frankfurt am Main, February 15, 2018 -- Moody's Investors Service ("Moody's") stated today that the proposed restructuring (the "Proposal") will not, in and of itself, and at this time, result in a reduction or withdrawal of the current rating of the notes issued by the issuer (the "Notes"). Moody's opinion addresses only the credit impact of the Proposal, and Moody's is not expressing any opinion as to whether the Proposal has, or could have other, non-credit related effects that may have a detrimental impact on the interests of note holders and/or counterparties.

The Proposal consists of the following:

• Extension of the Revolving Period to October 2022

• Add a R&W stating "The Borrower has made at least one payment in respect of the relevant Receivable".

• Addition of two amortisation triggers

• Remove the swap in the transaction, but include a limit to the floating rate loans of a maximum of 45% of the pool.

• Add principal to pay interest for class A

• Increase fixed coupon payable on the notes

Moody's considers that the Proposal will not, in and of itself and at this time, result in a downgrade or withdrawal of the current ratings of the Notes issued by the Issuers.

Below is the detailed description and analytical considerations for the key changes presented in the Proposal.

Extension of the substitution period:

In determining the impact of the extension of the substitution period until the interest payment date falling on October 2022 on the current Moody's rating of the Notes, Moody's considered, among other things, the credit quality of the underlying mortgage and mandate loan pool, from which Moody's maintained the MILAN Credit Enhancement number of 12.30%, and the portfolio expected loss of 0.90%. Moody's has also incorporated the following changes in the replenishment criteria: (i) the removal of mandate-only loans and (ii) the reduction of the minimum proportion of mortgage receivables with a mortgage coverage ratio of at least 100% to 60% from 65%.

Addition of two amortisation events:

An amortisation event referred as to an Excess Cash Event has been added, whereby if on a quarterly payment date (i) the amount of principal available after applicable of the principal waterfall exceeds 2.5% of the outstanding principal amount of the soft bullet notes (excluding Class E notes) and (ii) such excess has been continuously outstanding on the issuer collection account for at least six months prior to the relevant interest payment date; the excess principal amount will be distributed across Class A, B, C and D soft-bullet notes sequentially or on a pro rata basis depending on whether the Pro-Rata Conditions are satisfied.

Moody's notes that an Excess Cash Event would only be triggered in the case where the substitution period is still ongoing and the seller does not have enough eligible mortgage loans to replenish the pool using scheduled principal payments and prepayments. As a result, Moody's has assessed the impact of an early amortisation by running a sensitivity scenario assuming there is no revolving period.

Increasing of the fixed coupons payable on the notes:

The final terms have been amended to increase the fixed coupons payable on the notes:

- To 0.59% from 0.31% for Class A Notes

- To 0.80% from 0.45% for Class B Notes

- To 1.00% from 0.70% for Class C Notes

- To 2.00% from 1.30% for Class D Notes

- To 7.50% from 5.00% for Class E Notes

Moody's has assessed the impact of the reduction in the fixed coupons by incorporating them in its cashflow analysis.

The principal methodology used in this rating was "Moody's Approach to Rating RMBS Using the MILAN Framework" published in September 2017. Please see the Rating Methodologies page on for a copy of this methodology.

Moody's will continue monitoring the ratings. Any change in the ratings will be publicly disseminated by Moody's through appropriate media.

This publication does not announce a credit rating action. For any credit ratings referenced in this publication, please see the ratings tab on the issuer/entity page on for the most updated credit rating action information and rating history.

Yuezhen Wang
Structured Finance Group
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454

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

Releasing Office:
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454

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