Preliminary Ratings Assigned To Dutch RMBS Transaction STORM 2017-II

Stocks and Financial Services Press Releases Monday June 19, 2017 16:56
MADRID--19 Jun--S&P Global Ratings

MADRID (S&P Global Ratings) June 19, 2017--S&P Global Ratings today assignedits preliminary credit ratings to STORM 2017-II B.V.'s residentialmortgage-backed floating-rate class A, B, C, and D notes. At closing, STORM2017-II will also issue unrated class E notes (see list below).

STORM 2017-II is Obvion N.V.'s 38th securitization of Dutch mortgage loans inthe STORM series. The transaction's mechanisms are similar to its predecessor,GREEN STORM 2017 B.V. STORM 2017-II features a revolving period and before thefirst optional redemption date, it may acquire new loans, replacement loans,and the further advances that the originator may make to borrowers. The

transaction securitizes a pool of performing loans secured on first- andconsecutive-ranking Dutch mortgages, which Obvion originated and services.

Obvion is the originator and seller of the assets. Since 2012, it has been awholly owned subsidiary of Cooperatieve Rabobank U.A. Obvion has been anestablished originator and servicer in the Netherlands since 1980. Itdistributes mortgage loans through the independent intermediary channel. Its

underwriting criteria are largely determined by the Code of Conduct(introduced in January 2007 by the Dutch Association of Banks; it is updatedfrom time to time) and the National Hypotheek Garantie (NHG) guaranteecriteria for the NHG loans.

Our preliminary ratings reflect our assessment of the transaction's paymentstructure, cash flow mechanics, and the results of our cash flow analysis toassess whether the notes would be repaid under stress test scenarios. Thetransaction's structure relies on a combination of subordination, excess

spread, a cash advance facility, and a reserve fund to cover credit losses andincome shortfalls. Additionally, it benefits from payments from WaarborgfondsEigen Woningen under the NHG guarantee scheme to reduce foreclosure losses forcertain loans. Taking these factors into account, we consider the creditenhancement available to the rated notes to be commensurate with thepreliminary ratings that we have assigned.

Like its predecessors in the STORM series, the transaction's pool includesconstruction loans, which introduce credit and setoff risk in the transactionbecause the seller could fail to meet draw-down requests.

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