OREANDA-NEWS. S&P Global Ratings today assigned its credit ratings to PURPLE STORM 2016 B. V.'s residential mortgage-backed floating-rate class A, B, C, and D notes. At closing, PURPLE STORM 2016 also issued unrated class Z notes (see list below).

PURPLE STORM 2016 is Obvion N. V.'s 34th securitization of Dutch mortgage loans in the STORM series. The transaction securitizes a pool of performing loans secured on first - and consecutive-ranking Dutch mortgages, which Obvion originated and services.

PURPLE STORM 2016's structure is quite different from previous transactions in the STORM series. There is no optional call date in this transaction and the issuer has the ability to use excess spread to partially redeem the class B, C, and D notes. As a consequence, to the extent there is excess spread, the transaction will be overcollateralized during its life.

The cash reserve was fully funded, from the proceeds of the swap, at closing (and does not increase through excess spread as in previous STORM transactions, but provided more credit enhancement at closing compared with previous Storm transactions) and amortizes only after the August 2027 interest payment date (IPD). The amortization of the cash reserve is not subject to performance conditions.

The cash advance facility is only available for the class A and B notes, subject to certain principal deficiency ledgers (PDL) conditions. In addition, the issuer can use principal receipts to mitigate any shortfalls in senior fees or in the class A notes' interest.

The excess spread guaranteed by the interest swap provider (Obvion) is 0.35% per year of the principal amount outstanding of the performing assets, rather than 0.50% per year of the principal amount outstanding of each class of notes as in previous STORM series.

In this transaction the issuer does not benefit from a construction deposit guarantee from Cooperatieve Rabobank U. A. (Rabobank), under which the issuer would have been able to draw an amount equal to the aggregate outstanding construction deposits, if the seller were to become insolvent. The amount of construction deposits at closing was zero, but construction deposit amounts could increase up to €3.0 million according to the further advance criteria during the life of the transaction. We have therefore factored in this amount in our cash flow analysis.

In line with previous STORM transactions, PURPLE STORM 2016 benefits from Waarborgfonds Eigen Woningen (WEW)'s payments under the Nationale Hypotheek Garantie (NHG) guarantee scheme, which reduces the risk of foreclosure losses, if NHG's eligibility criteria are met. We have also conducted our analysis without considering any potential payments under the NHG guarantee. Under this scenario, the class A notes still achieve a 'AAA (sf)' rating.

Our 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, a cash advance facility, principal receipts, and a reserve fund to cover credit losses and income shortfalls. Additionally, it benefits from payments from WEW under the NHG guarantee scheme to reduce foreclosure losses for certain loans. Taking these factors into account, we consider the credit enhancement available to the rated notes to be commensurate with the ratings that we have assigned.