Link to Fitch Ratings' Report: SAECURE 12 B.V.Dec 5 - Fitch Ratings has assigned SAECURE 12 B.V.'s EUR1,467.9m
mortgage-backed notes final ratings, as follows:
EUR302.3m Class A1 floating-rate notes: 'AAAsf'; Outlook Stable;
EUR1,062.8m Class A2 floating-rate notes: 'AAAsf'; Outlook Stable;
EUR29.4m Class B fixed-rate notes: 'NRsf';
EUR73.4m Class C fixed-rate notes: 'NRsf';
EUR44.0m Subordinated Class D fixed-rate notes: 'NRsf'
The final ratings are based on Fitch's assessment of the underlying collateral,
available credit enhancement, the origination and underwriting procedures used
by the sellers and the servicer and the transaction's sound legal structure.
SAECURE 12 B.V. is a securitisation of Dutch residential mortgages originated by
AEGON Levensverzekering N.V. and AEGON Hypotheken B.V.. The static portfolio
consists of prime residential mortgage loans with average seasoning of 34
months. The weighted-average original loan-to-market-value ratio of the
portfolio is 88.2%, while the weighted-average affordability or debt-to-income
ratio is 28.7%.
The transaction features a very long note maturity, as some of the mortgage
loans mature in up to 80 years. 46.5% of the portfolio matures after 2045. The
long maturities add a degree of uncertainty to the transaction.
Credit enhancement (CE) for the class A notes is provided by subordination (7%)
and by a reserve account which did equal 3% of the initial class A to C note
balance at closing. The transaction benefits from an interest rate swap and a
cash advance facility equal to the greater of 1.5% of the class A notes
outstanding and 1.0% of the class A notes at closing.
Fitch accounted for a loss of mortgage payments due to commingling, as the
sellers are not rated by the agency. The portfolio includes about 8.2% of life
mortgage loans, where the insurance policy is with AEGON group insurance
companies. Due to the concentration of the insurance policies with one group and
the specifics of the underwriting, insurance policy set-off risk is significant
in this transaction. Hence, Fitch assumed a loss due to insurance policy set-off
in the cash flow analysis.
The portfolio comprises 62.0% loan parts that benefit from the national mortgage
guarantee scheme (Nationale Hypotheek Garantie or NHG). A reduction in base
foreclosure frequency for the NHG loans was calculated, based on historical
performance data. Fitch used historical claims data to calculate an increased
pay-out ratio assumption. The agency also reviewed the transaction without
giving any credit to the NHG loans and found the ratings to be identical.
Fitch was provided with loan-by-loan information on the securitised portfolio as
of 01 October 2012. The data fields included in the pool cut were of good
quality. Fitch performed an onsite file review during which it checked a
selection of 12 mortgage files. Fitch checked if the files were complete and if
the data was identical to the information provided. During the visit, all files
were found to be complete and the data in the mortgage files matched the
information in the pool tape. Based on the received repossession data, analysis
showed that the performance was slightly better than Fitch's standard Dutch RMBS
assumptions; therefore, Fitch did not adjust its quick sale, market value
decline or foreclosure timing assumptions.
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 2012, "EMEA RMBS Criteria Addendum -
Netherlands", dated June 2012, available 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 repay principal by
the legal final maturity.
Fitch's stress and rating sensitivity analysis is detailed in the presale
report, which will shortly be available at www.fitchratings.com.
Additional information is available at www.fitchratings.com.
In addition to the source(s) of information identified in the 'EMEA RMBS
Criteria Addendum -
Netherlands', this action was additionally informed by information provided by
The ratings above were solicited by, or on behalf of, the issuer, and therefore,
Fitch has been compensated for the provision of the ratings.
Applicable criteria "EMEA Residential Mortgage Loss Criteria", dated June 2012,
"EMEA RMBS Criteria Addendum - Netherlands", dated June 2012, "EMEA RMBS Master
Rating Criteria", dated June 2012, "EMEA RMBS Cash Flow Analysis Criteria" dated
June 2012, "EMEA Cash RMBS Structural Overview", dated 6 May 2009, "Counterparty
Criteria for Structured Finance Transactions", dated May 2012, "Global Rating
Criteria for Stuctured Finance Servicers" , dated 16 August 2010, are available
Applicable Criteria and Related Research:
EMEA Residential Mortgage Loss Criteria
EMEA Criteria Addendum - Netherlands - Mortgage Loss and Cash Flow Assumptions
EMEA RMBS Master Rating Criteria
EMEA RMBS Cash Flow Analysis Criteria
EMEA Cash RMBS Structural Overview
Counterparty Criteria for Structured Finance Transactions
Global Rating Criteria for Structured Finance Servicers