(Repeat for additional subscribers)
Feb 27 (The following statement was released by the rating agency) Fitch Ratings has assigned Storm 2014-I B.V.'s EUR1,064m notes final ratings, as follows:
EUR1,000m Class A floating-rate notes: 'AAAsf'; Outlook Stable
EUR24.5m Class B floating-rate notes: 'AAsf'; Outlook Stable
EUR18.8m Class C floating-rate notes: 'A-sf'; Outlook Stable
EUR20.7m Class D floating-rate notes: 'BBsf; Outlook Stable
EUR10.7m Class E floating-rate notes: 'BBsf'; Outlook Stable
The RMBS notes are backed by Dutch prime mortgages originated by Obvion N.V. (not rated)
KEY RATING DRIVERS
Concentrated Counterparty Exposure
The transaction relies strongly on the creditworthiness of Rabobank Group (AA-/Negative/F1+) which fulfils a number of roles, including collection account provider, issuer account provider, cash advance facility provider and commingling guarantor. In addition, it acts as back-up swap counterparty.
The portfolio includes 32.8% of loans that benefit from the national mortgage guarantee scheme (Nationale Hypotheek Garantie or NHG). The ratings incorporate benefit given to the NHG feature although no credit was given to the foreclosure frequency, as the performance was not better than the non-NHG loans.
Standard Portfolio Characteristics
The 65-month seasoned portfolio consists of prime residential mortgage loans with a weighted-average (WA) original loan-to-market-value ratio of 87.8% and a WA debt-to-income ratio of 29.3%, both of which are typical for Fitch-rated Dutch RMBS transactions. Credit enhancement for the class A notes is 7%, provided by subordination (6%) and a non-amortising reserve fund of 1%, which is fully funded at closing.
Both the Storm series and Obvion's loan book have shown stable performance in terms of arrears and losses. The 90+ days arrears of the previous Fitch-rated Storm transactions have mostly been lower than the Dutch Index throughout the life of the deals.
Material increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than Fitch's expectations, which in turn may result in potential rating actions on the notes. Stressing our 'AAA' assumptions by 30% for both weighted average foreclosure frequency and recovery rate, could result in a downgrade of the class A notes to 'Asf'. More detailed model implied ratings sensitivity can be found in the new issue report, which will shortly be available at www.fitchratings.com.
For its ratings analysis, Fitch received a data template with all fields fully completed.
Fitch reviewed the results of an agreed-upon procedures report (AUP) conducted on the portfolio. The AUP contained no material errors which would affect Fitch's ratings analysis.
To analyse the CE levels, Fitch evaluated the collateral using its default model, details of which can be found in the reports entitled 'EMEA Residential Mortgage Loss Criteria', dated June 2013, 'EMEA RMBS Criteria Addendum - Netherlands', dated June 2013, at www.fitchratings.com. The agency assessed the transaction cash flows using default and loss severity assumptions under various structural stresses including prepayment speeds and interest rate scenarios. The cash flow tests showed that each class of notes could withstand loan losses at a level corresponding to the related stress scenario without incurring any principal loss or interest shortfall and can retire principal by the legal final maturity.
A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms to those typical for that asset class is available by accessing the appendix that accompanies the new issue report (see Storm 2014-I B.V. - Appendix, at www.fitchratings.com).