DBRS Confirms Ratings of Oceanarium Master Issuer B.V.
RMBSDBRS Ratings Limited (DBRS) has today reviewed Oceanarium Master Issuer B.V. (the Issuer) and confirmed the ratings on the following notes:
-- Series 2011-1 Class A2 confirmed at AAA (sf)
-- Series 2011-1 Class A3 confirmed at AAA (sf)
-- Series 2011-1 Class A4 confirmed at AAA (sf)
-- Series 2011-1 Class A5 confirmed at AAA (sf)
-- Series 2011-1 Class A6 confirmed at AAA (sf)
-- Series 2011-1 Class A7 confirmed at AAA (sf)
-- Series 2011-1 Class A8 confirmed at AAA (sf)
-- Series 2011-1 Class A9 confirmed at AAA (sf)
-- Series 2011-1 Class A10 confirmed at AAA (sf)
-- Series 2011-1 Class A11 confirmed at AAA (sf)
-- Series 2011-1 Class A12 confirmed at AAA (sf)
-- Series 2011-1 Class B confirmed at AA (sf)
-- Series 2011-1 Class C confirmed at A (sf)
-- Series 2011-1 Class D confirmed at BBB (sf)
Additionally, DBRS discontinues the ratings on the following notes due to repayment in full on
28 December 2013:
-- Series 2011 Class A1, Disc.-Repaid
-- Series 2011 Class A13, Disc.-Repaid
-- Series 2011 Class A14, Disc.-Repaid
The Issuer is a EUR 25 billion, fully revolving continuous issuance programme established in October 2011 and backed by prime Dutch mortgage loans originated by subsidiaries of ABN AMRO Bank N.V. (ABN AMRO).
Confirmation of the ratings to the relevant notes is based upon the following analytical considerations:
-- Portfolio performance, in terms of defaults and level of delinquencies, as of the September 2014 payment date.
-- Current available credit enhancement to each class of rated notes to cover the expected losses for the portfolio at the respective rating level.
Delinquencies more than 90 days have been low since the transaction closed. Since March 2014, they have constantly decreased; and currently stand at a value of 0.84%. Cumulative defaults as a percentage of the initial collateral balance are also low at 0.36%.
Credit enhancement for each class of rated notes has increased since the transaction closed due to the repayment of the previously mentioned notes. As a result, credit enhancement for the collective Class A Notes has increased from the original level of 7.90% to 9.5%, the Class B Notes from 5.70% to 6.9%, the Class C Notes from 3.10% to 3.70% and the Class D Notes from 0.90% to 1.1%.
ABN AMRO is the Issuer Account Bank and Asset Swap Counterparty for the transaction. The DBRS public rating of ABN AMRO is above the Minimum Institution Rating given the rating assigned to the collective Class A Notes as described in the DBRS Legal Criteria for European Transactions and DBRS Derivative Criteria for European Structured Finance Transactions.
Notes:
All figures are in euros unless otherwise noted.
The applicable methodology is the Master European Structured Finance Surveillance Methodology. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.
This can be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies
For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS’s “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/
The sources of information used for this rating include periodic investor reports provided by ATC Financial Services and data from the European DataWarehouse. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.
DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.
The last rating action on this transaction took place on 22 April 2014, when the ratings for each class of Notes were confirmed.
Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.
To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the Base Case):
-- DBRS expected a lifetime base case Probability of Default (PD) and Loss Given Default (LGD) for the pool based on a review of the current receivables. 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 mortgages for the Issuer are 1.19% and 28.66%, respectively. At the AAA (sf) rating level the corresponding PD is 18.48% and the LGD is 48.48%. At the AA (sf) rating level the corresponding PD is 11.76% and the LGD is 41.58%. At the A (sf) rating level the corresponding PD is 8.14% and the LGD is 38.12%. At the BBB (sf) rating level the corresponding PD is 4.86% and the LGD is 32.91%.
-- 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 ratings for the Class A Notes would be expected to remain at AAA (sf), all else equal. If the PD increases by 50%, the ratings for the Class A Notes would be expected to be lowered to AA (high) (sf), all else equal. Furthermore, if both the PD and LGD increase by 50%, the ratings for the Class A Notes would be expected to decrease to A (high) (sf).
Class A Notes Risk Sensitivity (all outstanding Classes):
-25% increase in LGD, expected rating of AA (high) (sf)
-50% increase in LGD, expected rating of AA (high) (sf)
-25% increase in PD, expected rating of AA (high) (sf)
-50% increase in PD, expected rating of AA (high) (sf)
-25% increase in LGD and 25% increase in PD, expected rating of AA (high) (sf)
-25% increase in LGD and 50% increase in PD, expected rating of AA (sf)
-50% increase in LGD and 25% increase in PD, expected rating of AA (sf)
-50% increase in LGD and 50% increase in PD, expected rating of AA (low) (sf)
Class B Notes Risk Sensitivity:
-25% increase in LGD, expected rating of AA (sf)
-50% increase in LGD, expected rating of AA (sf)
-25% increase in PD, expected rating of AA (sf)
-50% increase in PD, expected rating of AA (sf)
-25% increase in LGD and 25% increase in PD, expected rating of AA (sf)
-25% increase in LGD and 50% increase in PD, expected rating of AA (sf)
-50% increase in LGD and 25% increase in PD, expected rating of AA (sf)
-50% increase in LGD and 50% increase in PD, expected rating of A (sf)
Class C Notes Risk Sensitivity:
-25% increase in LGD, expected rating of A (sf)
-50% increase in LGD, expected rating of BBB (high) (sf)
-25% increase in PD, expected rating of A (low) (sf)
-50% increase in PD, expected rating of BBB (high) (sf)
-25% increase in LGD and 25% increase in PD, expected rating of BBB (high) (sf)
-25% increase in LGD and 50% increase in PD, expected rating of BBB (sf)
-50% increase in LGD and 25% increase in PD, expected rating of BBB (sf)
-50% increase in LGD and 50% increase in PD, expected rating of BBB (sf)
Class D Notes Risk Sensitivity:
-25% increase in LGD, expected rating of BBB (sf)
-50% increase in LGD, expected rating of BBB (low) (sf)
-25% increase in PD, expected rating of BBB (sf)
-50% increase in PD, expected rating of BBB (low) (sf)
-25% increase in LGD and 25% increase in PD, expected rating of BBB (low) (sf)
-25% increase in LGD and 50% increase in PD, expected rating of BB (high) (sf)
-50% increase in LGD and 25% increase in PD, expected rating of BB (high) (sf)
-50% increase in LGD and 50% increase in PD, expected rating of BB (high) (sf)
For further information on DBRS historic default rates published by the European Securities and Markets Administration in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.
Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.
Initial Lead Analyst: Quincy Tang
Initial Rating Date: 26 October 2011
Initial Rating Committee Chair: Claire Mezzanotte
Last Rating Date: 21 April 2015
Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Diana Turner
DBRS Ratings Limited
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London
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United Kingdom
Registered in England and Wales: No. 7139960
The rating methodologies and criteria 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
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- Unified Interest Rate Model for European Securitisations
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