OREANDA-NEWS.  Fitch Ratings has downgraded two of the three tranches of Holland Homes MBS 2000-1 B.V. This Dutch RMBS transaction is backed by loans originated by DBV Levensverzekeringsmaatschappij B.V. (DBV), now part of SNS Bank N.V. ('BBB+'/Negative Outlook/'F2'). The loans in the portfolio are serviced by SNS, which has appointed Stater Nederland (RPS1-) as a sub-servicer. The rating actions are as follows:

Class A (ISIN XS0119750031): RWN resolved; downgraded to 'A+sf' from 'AAAsf'; Outlook revised to Negative from Stable;
Class B (ISIN XS0119750114): RWN resolved; downgraded to 'A+sf' from 'AA+sf'; Outlook revised to Negative from Stable;
Class C (ISIN XS0119750460): RWN resolved; affirmed at 'A+sf'; Outlook revised to Negative from Stable.

KEY RATING DRIVERS

Excessive Reliance On Put Option Counterparty

The maturity dates of 55% of the loans in the portfolio are after the securitisation's legal final maturity in September 2030. Most of these loans are interest only (IO) and the recent prepayment rates (cumulative prepayment rate of 5.1% as of November 2014) suggest these loans are unlikely to repay before the deal maturity.

The loans in the portfolio have an interest rate reset date at which the issuer attempts to sell the relevant mortgage to a third party, which can be the original seller. If such a sale is unsuccessful, the issuer will exercise its option to put the loan to ABN AMRO (rated 'A+'/Negative/'F1+'), acting as a put option provider. To date the successor to the original seller, SNS Bank, has repurchased loans at their reset dates. However, it is under no contractual obligation to continue to do so.

Consequently, the structure relies heavily on the put option provider meeting its obligations, thus creating a counterparty dependency on ABN Amro that Fitch considers excessive. As a result, Fitch views these notes as being credit-linked to ABN Amro's long-term issuer default rating of 'A+'.

Portion of the Portfolio Not Providing Credit Enhancement

In addition, 1.9% of the portfolio does not have an interest rate reset date before the transaction legal final maturity. The majority of these loans are IO so there is no mechanism to recover principal on these loans before the end of the securitisation. This particularly affects the Class C notes that have a lower level of credit enhancement (CE). Further analysis was conducted to assess the negative impact on the Class C CE. Fitch reduced the current credit enhancement of the notes to account for this exposure and the adjusted CE was found to be sufficient to withstand the 'A+sf' rating stresses. This led Fitch to affirm the Class C at 'A+sf'.

RATING SENSITIVITIES

The current Negative Outlook on ABN Amro's Long-term IDR reflects Fitch's concern over the clear intention to ultimately reduce the implicit state support for financial institutions in the EU. As the notes are credit-linked to ABN Amro's rating, a downgrade of the bank would lead to a similar rating action on the notes.