Link to Fitch Ratings' Report: STORM 2012-V B.V.Fitch Ratings has assigned STORM 2012-V B.V.'s notes final ratings, as follows:
EUR1,500,000,000 floating-rate senior class A mortgage-backed notes: 'AAAsf';
EUR29,100,000 floating-rate mezzanine class B mortgage-backed notes: 'AA-sf';
EUR23,800,000 floating-rate mezzanine class C mortgage-backed notes: 'BBB+sf';
EUR26,800,000 floating-rate junior class D mortgage-backed notes: 'BB+sf';
EUR15,800,000 floating-rate non-collateralised class E notes: 'BBsf'; Outlook
The transaction closed on 17 October 2012 and the final documents conformed to
information already received. The final ratings are based on Fitch's assessment
of the underlying collateral, available credit enhancement, the origination and
underwriting procedures used by the seller and the servicer and the
transaction's sound legal structure.
The transaction is a true sale securitisation of Dutch residential mortgage
loans, originated and sold by Obvion N.V. (not rated). Since 10 May 2012, Obvion
has been 100% owned by Rabobank Group ('AA'/Stable/'F1+') and has an established
track record as a mortgage lender and issuer of securitisations in the
Netherlands. This is the 22nd transaction issued under the STORM series since
Credit enhancement for the class A notes is 6.0%, which is provided by
subordination and a non-amortising reserve fund equal to 1.0% at closing. The
transaction benefits from an amortising liquidity facility of 2.0% at closing, a
build-up of the reserve fund to 1.3% and an interest rate swap providing an
excess margin of 50 basis points.
The transaction is backed by a 3.6 year seasoned non-revolving portfolio
consisting of prime residential mortgage loans with a weighted-average (WA)
original loan-to-market-value of 86.0% and a WA debt-to-income ratio of 30.5%,
both of which are typical for Fitch-rated Dutch RMBS transactions. The
provisional pool composition is similar to the previous STORM transactions. The
purchase of further advances into the pool is allowed after closing subject to
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
transactions have been mostly lower than the Dutch Index throughout the life of
Rabobank fulfils a number of roles, including collection account provider,
guaranteed investment contract provider, liquidity facility provider and
commingling guarantor and therefore this transaction relies strongly on the
creditworthiness of Rabobank. In addition, Rabobank acts as back-up swap
counterparty through its London branch. Fitch considers that the swap provides a
certain degree of liquidity and credit support in this transaction and the
replacement of the swap would likely be at a high cost, due to the nature of the
swap structure, which in turn may affect the interest waterfall.
Although the notification trigger is set below the 'A' level, the agency did not
consider the risk of a loss of funds due to commingling or disruption of
payments in the cash flow analysis, as Fitch considers that this risk is
mitigated by means of a commingling guarantee provided by Rabobank. In addition,
the transaction is not exposed to the risk of deposit set-off or other claims.
Fitch considers further set-off risks in this transaction are minimal due to the
structural mitigants in place in relation to construction deposit, savings and
investment set-off as well as the limited proportion of insurance loans included
in the provisional portfolio. For the 6.4% insurance loans included in the
provisional pool, Fitch incorporated in its analysis the risk that borrowers
might exercise set-off following the failure of insurance providers.
Obvion provided Fitch with loan-by-loan information on the provisional portfolio
as of 30 September 2012. All of the data fields included in the pool cut were of
good quality and Obvion provided additional information for mortgage loans based
on the income of two borrowers. Fitch reviewed an Agreed Upon Procedures report
regarding the data provided by the arranger. The agency believes the sample
size, the relevance of the tested fields, and the limited number of material
error findings suggests the originator provided an acceptable quality of data.
In addition, Fitch relied on its own file review undertaken for a prior
transaction (STORM 2012-IV) on 25 July 2012, which consisted of 15 loans
selected from the provisional transaction portfolio. This was considered a very
good proxy for STORM 2012-V, given the similar asset characteristics and recent
timing. The agency discovered no errors or unexpected results.
Fitch relied on repossession data that represented loans foreclosed between 2004
and 2010. Further foreclosure data was also provided up to 2012, although the
omission of original valuation information reduced the usefulness of this data
set. Based on the repossession data analysis, the performance was in line with
Fitch's assumptions; therefore, Fitch did not adjust its QSA, 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 7 June 2012, "EMEA RMBS Criteria Addendum -
Netherlands", dated 14 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 retire principal by
the legal final maturity.
Fitch's stress and rating sensitivity analysis is detailed in the new issue
report which will shortly be available at www.fitchratings.com.
Additional information is available at www.fitchratings.com. The ratings above
were solicited by, or on behalf of, the issuer, and therefore, Fitch has been
compensated for the provision of the ratings.
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 originator Obvion and the arranger Rabobank.
Applicable criteria "EMEA Residential Mortgage Loss Criteria", dated 7 June
2012, "EMEA RMBS Criteria Addendum - Netherlands", dated 14 June 2012, "EMEA
RMBS Master Rating Criteria", dated 7 June 2012, "EMEA RMBS Cash Flow Analysis
Criteria" dated 7 June 2012, "EMEA Cash RMBS Structural Overview", dated 6 May
2009, "Counterparty Criteria for Structured Finance Transactions", dated 30 May
2012, and "Global Stuctured Finance Rating Criteria", dated 6 June 2012, are
available at www.fitchratings.com.
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 Structured Finance Rating Criteria