OREANDA-NEWS. Fitch Ratings has assigned PURPLE STORM 2016 B. V.'s notes an expected rating as follows:

Class A floating-rate notes: 'AAA(EXP)sf'; Outlook Stable

Class B floating-rate notes: not rated

Class C floating-rate notes: not rated

Class D floating-rate notes: not rated

Class Z fixed-rate notes: not rated

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 key characteristics of the portfolio are in line with typical STORM transactions. However, certain structural features in this deal are atypical for the Dutch market, such as pro-rata amortisation on the class B, C and D notes using excess spread, as well as liquidity support for the class A notes from principal funds. Fitch has not taken the turbo amortisation into account as it is positioned junior to the subordinated swap amounts in the interest waterfall.

The expected rating on the class A notes addresses timely payment of interest and full repayment of principal by legal final maturity on 22 August 2052, in accordance with the transaction documents. There are no step-up margins on the notes. The final rating is contingent upon the receipt of final documents and legal opinions conforming to the information already received.

Credit enhancement (CE) for the class A notes is 7.5% at closing, provided by the subordination of the junior notes and a cash reserve (1.5%), fully funded at closing through the class E notes. The reserve fund only starts amortising in August 2027.

KEY RATING DRIVERS

Market Average Portfolio

This is a 47-month seasoned portfolio, with a weighted average (WA) original loan-to-market-value (OLTMV) of 89.6% and a WA debt-to-income ratio of 28.7%. Of the loans, 55.2% are interest-only.

Higher Recoveries for NHG Loans

Of the loans, 32.9% benefit from a Nationale Hypotheek Garantie (NHG) guarantee. Fitch used historical claims data provided by Obvion from the WEW to determine a compliance ratio assumption, which it deemed to be in line with the market average. This results in higher recoveries for the NHG loans in the pool.

Lower Excess Spread

A margin-guaranteed total return swap provides excess spread of 0.35%. This is lower than typically observed in the STORM deals, which have guaranteed excess spread of 0.50%. Liquidity support is available from principal for the class A notes, which is atypical for the Dutch market, as well as through a cash advance facility for the class A and B notes (1.3% of the notes, floored at 0.3%).

High Servicing Fees

At 0.45%, the servicing fees are much higher than we typically observe in the market or on previous STORM deals. Fitch has therefore modelled higher stressed fees, which is a variation from its criteria stresses of 0.35% at the 'AAAsf' level. Obvion is both the servicer and swap provider and it is unlikely that a replacement could be found on the same terms, should Obvion default. Hence, Fitch stressed the senior fees covered by the swap in its analysis.

Rabobank Main Counterparty

The transaction relies strongly on the creditworthiness of Rabobank, which fulfils a number of roles. A commingling guarantee mitigates commingling risk.

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 action 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(EXP)sf'.

More details on key rating drivers and rating sensitivities are described in the accompanying presale 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 30 April 2016 provided by Obvion as at 31 May 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 Presale 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.