DBRS Ratings GmbH (DBRS) confirmed its rating on the Class A Notes issued by Securitised Residential Mortgage Portfolio I B.V. (the Issuer) at AAA (sf).
The rating addresses the timely payment of interest and ultimate payment of principal on or before the legal final maturity date in September 2050.
The confirmation follows an annual review of the transaction and is based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults and losses.
-- Portfolio default rate (PD), loss given default (LGD) and expected loss assumptions on the remaining receivables.
-- Current available credit enhancement (CE) to the Class A Notes to cover the expected losses at the AAA (sf) rating level.
The Issuer is a securitisation of Dutch prime residential mortgage loans originated by Achmea Bank N.V. (Achmea) and its subsidiaries. The collateral portfolio at closing of EUR 1,040.9 million comprised primarily interest-only mortgage loans (88.4% of the portfolio balance). The transaction closed on 1 June 2018 with no revolving period and a First Optional Redemption Date (FORD) in September 2023. Achmea has appointed Quion Services B.V. as its sub-agent to carry out all primary servicing activities, while retaining arrears and foreclosure management responsibilities.
The rating on the Class A Notes does not address the Class A Excess Consideration and the Class A Additional Amounts payable to the Class A noteholders on payment dates following the FORD.
As of the March 2019 payment date, loans that were 30 to 60 days and 60 to 90 days delinquent represented 0.2% and 0.02% of the outstanding principal balance, respectively, while loans more than 90 days delinquent were 0.1%. Gross cumulative defaults amounted to 0.04% of the original principal balance.
DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and has updated its base case PD and LGD assumptions on the outstanding portfolio to 7.0% and 12.8%, respectively.
CE to the Class A Notes is provided by subordination of the Class B Notes and the cash reserve, and has increased to 15.6% as of the March 2019 payment date, compared with 14.0% at closing.
The transaction benefits from a non-amortising cash reserve fund, which is available to cover senior expenses, interest payments due on the Class A Notes and to cure the Class A principal deficiency ledger (PDL) balance. This reserve was funded to EUR 15.7 million at closing using the proceeds from the issuance of the junior notes, and has always remained at its target level. The PDL mechanism in the transaction provides credit support to the Class A Notes by tracking realised losses on the collateral portfolio and any losses arising from borrower set-off.
The transaction additionally benefits from liquidity support in the form of a cash advance facility extended to the Issuer by Achmea, with a maximum drawable balance equal to 2.0% of the outstanding principal balance of the Class A and Class B Notes, with a floor of EUR 10.4 million, available to cover shortfalls on senior expenses and Class A interest payments.
N.V. Bank Nederlandse Gemeenten (BNG) acts as the account bank for the transaction, while Société Générale S.A., Amsterdam Branch (SocGen) acts as the back-up account bank. Based on the DBRS private ratings of BNG and SocGen, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS considers the risk arising from the exposure to the account banks to be consistent with the rating assigned to the Class A Notes, as described in DBRS's "Legal Criteria for European Structured Finance Transactions" methodology. In addition, there are two collection account banks in the transaction, ABN AMRO Bank N.V. (ABN AMRO) and ING Bank N.V.
ABN AMRO acts as the interest rate cap provider for the transaction. DBRS's public Long-Term Critical Obligations Rating of ABN AMRO at AA is above the First Rating Threshold as described in DBRS's "Derivative Criteria for European Structured Finance Transactions" methodology.
The transaction structure was analysed in Intex DealMaker.
All figures are in euros unless otherwise noted.
The principal methodology applicable to the rating is the “Master European Structured Finance Surveillance Methodology”.
DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.
A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent rating action.
Other methodologies referenced in this transaction are listed at the end of this press release. These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.
For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/333487/rating-sovereign-governments.pdf.
The sources of data and information used for this rating include investor and servicer reports provided by Intertrust Administrative Services B.V. (the Issuer Administrator) and loan-level data provided by the European DataWarehouse GmbH.
DBRS did not rely upon third-party due diligence in order to conduct its analysis.
At the time of the initial rating, DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.
DBRS considers the data and information available to it for the purpose of providing this rating to be of satisfactory quality.
DBRS does not audit or independently verify the data or information it receives in connection with the rating process.
This is the first rating action on this transaction since the initial rating date on 1 June 2018.
The lead analyst responsibilities for this transaction have been transferred to Daniel Rakhamimov.
Information regarding DBRS ratings, including definitions, policies and methodologies is available at www.dbrs.com.
To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios as compared with the parameters used to determine the rating (the Base Case):
-- DBRS expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The base case PD and LGD of the current pool of loans for the Issuer are 7.0% and 12.8%, respectively.
-- The risk sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), ceteris paribus. If the PD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), ceteris paribus. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to decrease to AA (high) (sf).
Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf)
For further information on DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.
Ratings assigned by DBRS Ratings GmbH are subject to EU and US regulations only.
Lead Analyst: Daniel Rakhamimov, Senior Financial Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 1 June 2018
DBRS Ratings GmbH
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Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259
The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.
-- Legal Criteria for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Servicers
-- European RMBS Insight Methodology
-- European RMBS Insight: Dutch Addendum
-- Interest Rate Stresses for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.
For more information on this credit or on this industry, visit www.dbrs.com or contact us at email@example.com.