Fitch Affirms Storm 2015-II; Outlook Stable
Class A (ISIN XS1271705177) affirmed at 'AAAsf'; Outlook Stable
Class B (ISIN XS1271705334) affirmed at 'AAsf'; Outlook Stable
Class C (ISIN XS1271705417) affirmed at 'A-sf'; Outlook Stable
Class D (ISIN XS1271705680) affirmed at 'BBsf'; Outlook Stable
Class B (ISIN XS1271705763) affirmed at 'BBsf'; Outlook Stable
The transaction is a securitisation of Dutch mortgages originated by Obvion N. V., which is wholly owned by Rabobank (AA-/Stable/F1+).
KEY RATING DRIVERS
Late-stage arrears (loans that have been delinquent for over three months) are low at 5bps of current balance. This is as we expected, given that the transaction closed less than a year ago. However, the arrears figure compares favourably with that in other Storm transactions 10-11 months after issuance.
The portfolio comprises 33% loans that benefit from a Nationale Hypotheek Garantie (NHG) guarantee. No reduction in foreclosure frequency is applied against these loans, based on historical data from Obvion's loan book.
Based on recent evidence of recoveries on NHG guaranteed loans, in its analysis of NHG guaranteed loans, Fitch applied an 85% compliance ratio.
Rabobank fulfils a number of roles in the transaction. The rating trigger and remedial actions prescribed in the transaction documentation are in line with Fitch's criteria. As such, full credit is given to structural mitigants regarding commingling risk, construction deposit set-off and the swap, all of which rely on Rabobank's creditworthiness.
Treatment of Borrowers with 'Other' Employment Type
The employment for a negligible portion of the loans was labelled as 'Other' in the loan-by-loan datatape. Fitch has classified the employment for such loans as 'Unknown' in its analysis and applied a 30% foreclosure frequency increase.
Adverse economic performance could lead to underperformance of the assets. Any resulting compression of excess spread would affect the credit enhancement available to the notes and may lead to negative rating actions.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10
Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that affected the rating analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.
Prior to the transaction closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information and concluded that there were no findings that affected the rating analysis.
Prior to the transaction closing, Fitch conducted a review of a small targeted sample of Obvion's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio.
Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.
SOURCES OF INFORMATION
The information below was used in the analysis.
- Loan-by-loan data provided by the European Data Warehouse as at 31 May 2016
- Transaction reporting provided by Intertrust Administrative Services B. V. as at 30 June 2016
- Discussions/updates from servicer as at 24 August 2016