OREANDA-NEWS. Fitch Ratings has assigned STORM 2015-II B.V.'s notes expected ratings as follows:

Class A floating-rate notes: 'AAA(EXP)sf'; Outlook Stable
Class B floating-rate notes: 'AA(EXP)sf'; Outlook Stable
Class C floating-rate notes: 'A-(EXP)sf'; Outlook Stable
Class D floating-rate notes: 'BB(EXP)sf'; Outlook Stable
Class E floating-rate notes: 'BB(EXP)sf'; Outlook Stable

The transaction is a true sale securitisation of prime Dutch residential mortgage loans originated and serviced by Obvion N.V. Since May 2012, Obvion has been 100% owned by Rabobank Group and has an established track record as a mortgage lender and issuer of securitisations in the Netherlands.

The expected ratings address timely payment of interest, including the step-up margin accruing from the payment date falling in September 2021, and full repayment of principal by legal final maturity in accordance with the transaction documents. The final ratings are contingent upon the receipt of final documents and legal opinions conforming to the information already received.

Credit enhancement (CE) for the class A notes will be 7.0% at closing, provided by the subordination of the junior notes and a non-amortising cash reserve (1%), fully funded at closing through the class E notes.

KEY RATING DRIVERS
Market Average Portfolio
The 46-month seasoned portfolio consists of prime residential mortgage loans, with a weighted average (WA) original loan-to-market-value of 90.7% and a WA debt-to-income ratio of 28.8%, both of which are typical for Fitch-rated Dutch RMBS transactions and in line with previous STORM transactions.

NHG Loans
32.8% of the loans benefit from a Nationale Hypotheek Garantie (NHG) guarantee. Fitch received historical claims data to determine a compliance ratio assumption, which it deemed to be in line with the market average. Fitch did not apply a reduction in foreclosure frequency for the NHG loans, since historical data provided did not show a clear pattern of lower defaults for NHG loans. Fitch also tested the transaction without giving any credit to the NHG guarantee and found the ratings on the class A notes to be identical.

Structure Unchanged
CE will be provided by the subordination of junior notes and a non-amortising reserve of 1%, funded through the class E notes. The transaction also contains a liquidity facility (2% of the notes, floored at 1.45%) and a margin-guaranteed total return swap, which is unchanged from previous Fitch-rated STORM transactions.

Rabobank Main Counterparty
The transaction relies strongly on the creditworthiness of Rabobank, which fulfils a number of roles. Fitch gave full credit to the structural features in place, including those mitigating construction deposit set-off and commingling risk embedded in the transaction.

Robust Performance
The past performance of transactions in the STORM series, as well as data received on Obvion's loan book, indicate good historical performance in terms of low arrears and losses.

RATING SENSITIVITIES
Material increases in the frequency of defaults and loss severity on defaulted receivables could produce losses larger than Fitch's base case expectations, which in turn may result in negative rating actions on the notes. Fitch's analysis revealed that a 30% increase in the WA foreclosure frequency, along with a 30% decrease in the WA recovery rate, would result in a model-implied-downgrade of the class A notes to 'Asf'.

More detail on key rating drivers and rating sensitivities are further described in the accompanying presale report which is available at www.fitchratings.com.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
For its rating analysis, Fitch received a data template with all fields fully completed.

Fitch reviewed the results of a third party assessment conducted on the asset portfolio information. Each year, an internationally recognised accounting firm conducts the report on a single eligible mortgage pool, which will be used for all transactions in the respective year. The report indicated no adverse findings material to the rating analysis.

Overall and together with the assumptions referred to above, Fitch's assessment of the asset pool 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:
- Preliminary loan-by-loan data tape in Fitch's ResiEMEA template provided by Obvion as at 1 July 2015
- Preliminary transaction reporting provided by Obvion as at August 2015
- Static vintage defaults, loss figures and dynamic performance data on Obvion's mortgage loan book
- Investor reports for the existing STORM transactions
- A portfolio of 3,072 foreclosed properties (after correcting for missing data), representing all loans foreclosed since 2002 provided by Obvion
- The House Price Index from the CBS (Statistics Netherlands)