OREANDA-NEWS. Fitch Ratings has assigned Storm 2015-I B.V.'s notes expected ratings, as follows:

EURTBD Class A floating-rate notes: 'AAA(EXP)sf'; Outlook Stable
EURTBD Class B floating-rate notes: 'AA(EXP)sf'; Outlook Stable
EURTBD Class C floating-rate notes: 'A-(EXP)sf'; Outlook Stable
EURTBD Class D floating-rate notes: 'BB(EXP)sf'; Outlook Stable
EURTBD Class E floating-rate notes: 'BB(EXP)sf'; Outlook Stable

This transaction is a true sale securitisation of Dutch prime residential mortgage loans, originated and sold by Obvion N.V. (not rated). 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 final ratings are contingent upon the receipt of final documents and legal opinions conforming to the information already received.

The expected ratings address timely payment of interest, including the step-up margin accruing from the payment date falling in June 2021, and full repayment of principal by legal final maturity in accordance with the transaction documents.

KEY RATING DRIVERS

Concentrated Counterparty Exposure
This transaction relies strongly on the creditworthiness of Rabobank, which fulfils a number of roles, including collection account provider, issuer account provider, cash advance facility provider and commingling guarantor. In addition, it acts as back-up swap counterparty.

NHG Loans
The portfolio comprises 29.5% of loans that benefit from the national mortgage guarantee scheme (Nationale Hypotheek Garantie or NHG). No reduction in foreclosure frequency for the NHG loans was applied, since historic data provided did not show a clear pattern of lower defaults for NHG loans. Fitch was also provided with data on historical claims, which enabled the agency to determine a compliance ratio assumption. In the absence of credit to the NHG guarantee, the ratings on the class A notes remain unchanged.

Market Average Portfolio
This is a 69-month seasoned portfolio consisting of prime residential mortgage loans, with a weighted average (WA) original loan-to-market-value (OLTMV) of 89% and a WA debt-to-income ratio (DTI) of 28.8%, both of which are typical for Fitch-rated Dutch RMBS transactions and in line with previous STORM transactions. The purchase of further advances into the pool is allowed after closing, subject to certain conditions.

Robust Performance
Past performance of transactions in the STORM series, as well as data received on Obvion's loan book, indicate solid historical performance in terms of low arrears and losses. Since September 2011, loans 90+ days in arrears on Obvion's mortgage book have increased to 0.6% at December 2014 from 0.3%. While relatively high compared with historical levels, in absolute terms arrears levels remain low.

Unchanged Structure
The transaction structure involving separate waterfalls, cash advance facility, a reserve fund, a margin-guaranteed total return swap is unchanged from previous Fitch-rated STORM transactions.

RATING SENSITIVITIES
Unexpected increases in the default rate and loss severity on defaulted loans could produce loss levels higher than Fitch's assumptions and could result in negative rating actions on the rated notes. Fitch evaluated the sensitivity of the expected ratings to increased credit losses over the life of the transaction. In particular, Fitch's analysis found that an increase of 30% of the default probabilities assigned to the underlying obligors could result in a downgrade of one notch for the class A notes, two notches for the class B and C notes and three notches for the class C and D notes. A decrease of 30% of the assumed recovery rates could result in a downgrade of two notches for the class A notes, for notches for the class B and C notes, while class D and E notes would not be rated.