Today’s rating actions follow our credit and cash flow analysis of the most recent transaction information that we have received as part of our surveillance review cycle. Our analysis reflects our Dutch RMBS criteria.
The reserve fund is fully funded, and will not start to amortize until the optional redemption date in November 2013. Arrears have remained low throughout the life of the transaction, but have risen slightly since our last credit and cash flow review in June 2009, to 0.57% from 0.36%. This has resulted in a slight increase in our weighted-average foreclosure frequencies (WAFF) for each rating level; however our weighted-average loss severities (WALS) have reduced for each rating level, due to a decrease in our calculated weighted-average loan-to-foreclosure value (WALTFV) ratio, to 52.77% from 57.18% at our last review. The subsequent reduction in credit coverage, together with the increase in credit enhancement for the class A, B, and C notes, means that following the application of our Dutch RMBS criteria, the class B and C notes pass our cash flow stresses at higher ratings, and the class A notes pass at their current ratings. Therefore, we have raised our ratings on the class B and C notes and affirmed our rating on the class A notes.
We have affirmed our ‘BB+ (sf)’ rating on the class D notes in DMPL III, as this class will not be eligible to start to pay down until November 2013, using excess spread. There is a swap in place for this transaction that guarantees excess spread of 35 basis points. However, the amount of available excess spread is unpredictable, as the notional amount under the swap agreement will be reduced to the extent that there are debit balances on the principal deficiency ledgers. Therefore, we have not raised the rating to investment-grade. We will continue to monitor the excess spread over the next two years.
Cooperative Centrale Raiffeisen-Boerenleenbank B.A. (Rabobank Nederland ) is the swap provider, liquidity facility provider, and bank account provider for DMPL III. We have been informed by Rabobank Nederland that both the swap documentation and liquidity facility documentation are currently in the process of being amended to be fully compliant with our 2010 counterparty criteria (see “Counterparty And Supporting Obligations Methodology And Assumptions,” published on Dec. 6, 2010); we aim to provide a further update when this process has been completed.
The reserve fund started amortizing in September 2009, and therefore credit enhancement has not increased to the same extent as in DMPL III. The level of arrears in DMPL V is also higher than in DMPL III: Total arrears have risen to 1.06%, from 0.73% at our last credit and cash flow review in March 2009. This has resulted in an increase in our WAFF for each rating level; however, our WALS have reduced for each rating level, due to a decrease in our calculated WALTFV ratio to 62.77%, from 73.13% at the last review. Despite the reduction in required credit coverage for the class C notes, the credit enhancement available to these notes has decreased, as it is provided by the reserve fund, which started amortizing in September 2009. Following application of our Dutch RMBS criteria, our cash flow results indicate that the class C notes are unable to maintain their current rating, and we have lowered our rating on these notes accordingly. The increase in credit enhancement resulting from deleveraging of the transaction for the class A and B notes is sufficient to cover the increased required credit coverage, and our cash flow analysis indicates that the class B notes pass our stresses at a higher rating, while the class A notes can maintain their current rating. Therefore, we have raised our rating on the class B notes and affirmed our rating on the class A notes.
We also consider credit stability in our analysis, to determine whether or not an issuer or security has a high likelihood of experiencing adverse changes in the credit quality of its pool when moderate stresses are applied (see “Methodology: Credit Stability Criteria,” published on May 3, 2010). We adjusted our weighted-average foreclosure frequency (WAFF) and weighted-average loss severity (WALS) assumptions by assuming market value declines of 5% and 10%. The scenarios that we have considered under moderate stress conditions did not result in our ratings deteriorating below the maximum projected deterioration that we would associate with each relevant rating level, as outlined in our credit stability criteria.
Dutch Mortgage Portfolio Loans III and V are backed by Prime Dutch residential mortgages that Achmea Hypotheekbank N.V. originated.
STANDARD & POOR’S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor’s 17g-7 Disclosure Reports included in this credit rating report are available at
— European Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, March 14, 2012
— Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011
— Principles Of Credit Ratings, Feb. 16, 2011
— Counterparty And Supporting Obligations Update, Jan. 13, 2011
— Counterparty And Supporting Obligations Methodology And Assumptions, Dec. 6, 2010
— Methodology: Credit Stability Criteria, May 3, 2010
— Methodology And Assumptions: Update To The Cash Flow Criteria For European RMBS Transactions, Jan. 6, 2009
— Dutch RMBS Market Overview And Criteria, Dec. 16, 2005
— Cash Flow Criteria for European RMBS Transactions, Nov. 20, 2003
Dutch Mortgage Portfolio Loans III B.V.
EUR1.256 Billion Secured Floating-Rate Notes
B AAA (sf) AA+ (sf)
C AA (sf) A+ (sf)
A AAA (sf)
D BB+ (sf)
Dutch Mortgage Portfolio Loans V B.V.
EUR1.256 Billion Floating-Rate Mortgage-Backed Notes
B AAA (sf) AA (sf)
A AAA (sf)
C BBB+ (sf) A (sf)