Fitch: No Negative Rating Impact on Lowland Mortgage Backed Securities No. 1 from Restructure
On 20 April 2015 the issuer announced a number of proposed changes. The proposed restructuring provides the issuer with the flexibility to invest certain amounts credited to the financial cash collateral ledger and the payment interruption ledger into repurchase transactions instead of keeping the amounts credited to the ledgers in the issuer's GIC account.
The issuer will enter into a related repurchase agreement with SNS Bank N.V. (SNS Bank; BBB+/Negative/F2). The issuer and Stichting Security Trustee Lowland Mortgage Backed Securities 1 (the security trustee) will enter into a custody agreement with ING Bank N.V. (the custodian; A+/Negative/F1+) to set up a custody account in order to periodically receive securities under the repurchase agreement, provided the custodian has a Short-term Issuer Default Rating (IDR) of 'F2' and a Long-term IDR of 'BBB'.
Securities eligible as collateral under the repurchase agreement will be government bonds issued by the Netherlands, Germany or France with a maximum maturity of 10 years and where the issuer has an IDR of at least 'AA-'.
The maximum repo amount is capped at the aggregate amount credited to the financial cash collateral ledger and the payment interruption ledger, less an amount equivalent to the interest payments made by the issuer on the previous interest payment date, which will be kept in the issuer's GIC account.
Fitch has conducted a preliminary analysis of the proposed changes and does not expect the changes to have a negative rating impact on the notes issued by Lowland Mortgage Backed Securities No. 1 B.V., which are rated as follows:
Class A1 notes, 'AAAsf', Outlook Stable
Class A2 notes, 'AAAsf', Outlook Stable
Class B notes, 'AAsf', Outlook Stable
Class C notes, 'BBB+sf', Outlook Stable
Class D notes, 'BBsf', Outlook Stable
Fitch will update its analysis of the ratings taking into account any actual changes implemented including a review of the final documentation.
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