OREANDA-NEWS. Fitch Ratings has affirmed Storm 2015-I B.V, a securitisation of Dutch residential mortgages originated by Obvion N.V. (Obvion), a wholly owned subsidiary of Cooperatieve Rabobank U.A. (Rabobank; AA-/Stable/F1+).

A full list of rating actions follows at the end of this rating action commentary.

KEY RATING DRIVERS

Limited Asset Performance History
As the transaction closed only a year ago, there is limited observable asset performance. Recent STORM originations (issued since 2012) have outperformed the Fitch-rated average late-stage arrears (arrears greater than three months), with Storm 2013-III exhibiting the highest level of 0.54% against the market's 0.6%.

Seven loans have been foreclosed to date in this transaction with an observed recovery of 86%.

No Credit to NHG Loans
At transaction close, the information received from the originator did not suggest better historical performance of NHG loans compared with non-NHG loans. On the contrary, for loans originated between 2007 and 2010, data suggests that NHG loans have underperformed. Therefore in the calculation of the weighted average foreclosure frequency of the pool, no credit is given to NHG loans (29% of the current portfolio)

NHG loans still benefit from a higher recovery assumption in line with Fitch criteria.

Higher Compliance Ratio
Based on our analysis of claims from Obvion-originated loans (between 2005 and 2013), Fitch has assigned a compliance ratio of 90% to the NHG portion of the portfolio. This ratio is at the higher end of what is typically observed in the Dutch market (between 80%-90%).

Insurance Set-off Risk
Within the portfolio 6.3% are loans with life insurance payment vehicles attached. Upon insolvency of the insurance provider there is a risk that borrowers may try to set-off their insurance claim against the lender. Fitch accounts for this risk by assuming a capital build-up over 30 years and then analysing the effect of a combined default of the insurance providers, factoring in the affiliation of the insurance provider to the original lender.

The most stressful scenario is found to be the one with low prepayments due to capital build-up under the insurance scheme prior to the provider's insolvency. The maximum exposure resulting from this calculation is then applied against the required credit enhancement for the various rating levels. It was found to have a minimal effect on the rating outcome.

Guaranteed Excess Spread
Under the terms of a swap with Obvion the transaction is guaranteed an excess spread of 50bps (on a notional equivalent to the outstanding balance of the notes less any balance on the principal deficiency ledger (PDL)). Interest and principal on the class E notes is entirely dependent on excess spread and as there have been minimal losses to date (0.01% of the original balance), the notes have amortised by 6% since transaction close.

RATING SENSITIVITIES
Adverse macroeconomic factors may affect asset performance. An increase in defaults and losses beyond Fitch's stresses may erode credit enhancement, leading to negative rating actions.

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

DATA ADEQUACY
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 were material to this 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, which indicated errors or missing data related to the valuation information. These findings were considered in this analysis and factored into the lender adjustment applied.

Prior to the transaction's 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 30 November 2015
-Transaction reporting provided by Intertrust Administrative Services B.V. as at 30 January 2016
-Discussions / updates from Rabobank dated 15 March 2016

MODELS
The models below were used in the analysis. Click on the link for a description of the model.

ResiEMEA.

EMEA RMBS Surveillance Model.

REPRESENTATIONS AND WARRANTIES
A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms to those typical for the asset class is available by accessing the appendix that accompanies the initial new issue report (see Storm 2015-I B.V. New Issue Report- Appendix, dated 26 March 2015 at www.fitchratings.com). In addition refer to the special report "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions" dated 12 June 2015 available on the Fitch website.

Fitch has affirmed the following ratings:

Class A (ISIN XS1197737684) affirmed at 'AAAsf'; Outlook Stable
Class B (ISIN XS1197753376) affirmed at 'AAsf'; Outlook Stable
Class C (ISIN XS1197758250) affirmed at 'A-sf'; Outlook Stable
Class D (ISIN XS1197763417) affirmed at 'BBsf'; Outlook Stable
Class E (ISIN XS1197766600) affirmed at 'BBsf'; Outlook Stable