OREANDA-NEWS. Fitch Ratings has assigned GREEN STORM 2016 B. V.'s notes final ratings as follows:

Class A EUR500m floating-rate notes: 'AAAsf'; Outlook Stable

Class B EUR8m floating-rate notes: 'AAsf'; Outlook Stable

Class C EUR6m floating-rate notes: 'Asf'; Outlook Stable

Class D EUR6.8m floating-rate notes: 'BBBsf'; Outlook Stable

Class E EUR5.4 floating-rate notes: 'BBsf'; Outlook Stable

This transaction is a true sale securitisation of prime Dutch residential mortgage loans originated and serviced by Obvion N. V. Since May 2012, Obvion has been 100%-owned by Rabobank Group and has an established track record as a mortgage lender and issuer of securitisations in the Netherlands. The portfolio includes mortgage loans funding energy-efficient (green) properties.

The ratings address timely payment of interest, including the step-up margin accruing from the payment date falling in July 2022, and full repayment of principal by legal final maturity, in accordance with the transaction documents.

Credit enhancement (CE) for the class A notes is 5% at closing, provided by the subordination of the junior notes and a non-amortising cash reserve (1%), fully funded at closing through the class E notes.

KEY RATING DRIVERS

Mortgages with "Green" Label

This is a 39-month seasoned portfolio consisting of mortgage loans funding "green" properties, ie, the top 15% of the Dutch residential mortgage market in terms of energy efficiency, or those that have shown at least a 30% improvement in energy efficiency. The portfolio has a weighted average (WA) original loan-to-market-value (OLTMV) of 90.3% and a WA debt-to-income ratio (DTI) of 27.9%.

Obvion does not differentiate mortgage rates based on energy efficiency, and the portfolio's credit characteristics are comparable to previous STORM transactions rated by Fitch. Hence, the agency did not differentiate in its analysis between energy efficient and non-energy efficient borrowers.

Higher Proportion of NHG Loans

Of the loans, 50.6% benefit from a Nationale Hypotheek Garantie (NHG) guarantee, compared to 32.6% in the previous STORM deal. Fitch used historical claims data to determine a compliance ratio assumption, which it deemed to be in line with the market average. No reduction in foreclosure frequency for the NHG loans was applied.

Lower Credit Enhancement (CE)

The overcollateralisation provided through assets and the non-amortising reserve of 1%, funded through the class E notes, provide CE of 5%, which is lower than the 7% typically seen in the STORM series. The transaction also contains a liquidity facility (2% of the notes, floored at 1.45%) and a margin-guaranteed total return swap, which is unchanged from previous Fitch-rated STORM transactions.

Rabobank Main Counterparty

This transaction relies strongly on the creditworthiness of Rabobank, which fulfils a number of roles. Fitch gave full credit to the structural features in place, including those mitigating the construction deposit set-off and commingling risk embedded in the transaction.

Robust Performance

Past performance of transactions in the STORM series, as well as data received on Obvion's loan book, indicates good historical performance in terms of low arrears and losses.

RATING SENSITIVITIES

A material increase in the frequency of defaults and loss severities experienced on defaulted receivables could produce losses larger than Fitch's base case expectations, which in turn may result in negative rating actions on the notes. Fitch's analysis revealed that a 30% increase in the WA foreclosure frequency, along with a 30% decrease in the WA recovery rate, would result in a model-implied-downgrade of the class A notes to 'A-sf', the class B notes to 'BBBsf', the class C notes to 'BBsf' and the class D and E notes to below 'Bsf'.

More details on key rating drivers and rating sensitivities are described in the accompanying new issue report, which is available at www. fitchratings. com or by clicking the link in this report.

DUE DILIGENCE USAGE

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

DATA ADEQUACY

For its ratings analysis, Fitch received a data template with all fields fully completed.

Fitch reviewed the results of a third-party assessment conducted on the asset portfolio information. Each year, an internationally recognised accounting firm conducts the report on a single eligible mortgage pool, which is used for all transactions in the respective year. The report indicated no adverse findings material to the rating analysis.

Overall and together with the assumptions referred to above, Fitch's assessment of the asset pool information which it relied upon for its 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 tape in Fitch's ResiEMEA template as of 1 June 2016 provided by Obvion as at 13 June 2016

- static vintage defaults, loss figures and dynamic performance data on Obvion's mortgage loan book between 2002 and 2015

- investor reports for the existing STORM transactions

- a portfolio of 3,525 foreclosed properties (after correcting for missing data), provided by Obvion, representing all loans foreclosed since 2002

Models

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

- ResiEMEA

ResiEMEA

- EMEA Cash Flow Model

EMEA Cash Flow 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 New Issue report, available at www. fitchratings. com. In addition, refer to the Special Report Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions, dated 31 May2016 and available on the Fitch web site.