Preliminary Ratings Assigned To Dutch RMBS Transaction Dutch Property Finance 2017-1

Stocks and Financial Services Press Releases Friday July 14, 2017 17:10
LONDON--14 Jul--S&P Global Ratings

LONDON (S&P Global Ratings) July 14, 2017--S&P Global Ratings today assigned preliminary credit ratings to Dutch Property Finance 2017-1 B.V.'s mortgage-backed floating-rate class A, B-Dfrd, C-Dfrd, D-Dfrd, and E-Dfrd notes. At closing, Dutch Property Finance 2017-1 will also issue unrated class F and G notes (see list below).

Our preliminary ratings reflect timely receipt of interest and ultimate repayment of principal for the class A notes. The preliminary ratings assigned to the class B-Dfrd to E-Dfrd notes are interest-deferred ratings and address the ultimate payment of interest and principal.

The transaction securitizes a pool of owner-occupied and buy-to-let mortgage loans secured on Dutch residential, mixed-use, and commercial properties. The loans were originated by the RNHB mortgage business, which has de-merged from FGH Bank N.V. into Yellow Newco B.V. (currently merged into Vesting Finance Servicing B.V.).

The preliminary collateral pool of €1,504,416,175.76 is comprised of 8,368 loans granted to 10,602 borrowers. In our view, the collateral pool is unique in that borrowers are grouped into risk groups. All borrowers within a risk group share an obligation to service the entire debt of the risk group.

At closing, a reserve fund will be funded, by the class G notes, to 2.0% of the closing balance of the class A to F notes. The reserve fund will be nonamortizing and therefore the required balance will be 2.0% of the initial balance of the class A to F notes.

Our preliminary ratings reflect our assessment of the transaction's payment structure, cash flow mechanics, and the results of our cash flow analysis to assess whether the notes would be repaid under stress test scenarios.

The transaction's structure relies on a combination of subordination, excess spread, principal receipts, and a reserve fund. Taking these factors into account, we consider the available credit enhancement for the rated notes to be commensurate with the preliminary ratings that we haveassigned.


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