20.06.2012 16:51
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Moody's assigns provisional ratings to Dutch RMBS notes to be issued by Dutch Mortgage Portfolio Loans X B.V. (DMPL 10)

Approximately EUR 848.3 million of rated debt securities affected

London, 20 June 2012 -- Moody's Investors Service has today assigned provisional credit ratings to the following classes of notes to be issued by Dutch Mortgage Portfolio Loans X B.V. (DMPL 10):

....EUR168.0M A1 Notes, Assigned (P)Aaa (sf)

....EUR615.7M A2 Notes, Assigned (P)Aaa (sf)

....EUR64.6M B Notes, Assigned (P)Baa2 (sf)

The transaction represents the securitisation of Dutch prime mortgage loans backed by residential properties located in the Netherlands. The portfolio will be serviced by Achmea Hypotheekbank N.V. (AHB) (not rated).

RATINGS RATIONALE

The ratings of the notes take into account the credit quality of the underlying mortgage loan pool, from which Moody's determined the MILAN Aaa Credit Enhancement and the portfolio expected loss.

The expected portfolio loss of 0.60% of the portfolio at closing and the MILAN Aaa required Credit Enhancement of 8.6% served as input parameters for Moody's cash flow model, which is based on a probabilistic lognormal distribution as described in the report "The Lognormal Method Applied to ABS Analysis", published in July 2000.

The key drivers for the MILAN Aaa Credit Enhancement number, which is in line with other prime Dutch RMBS transactions which closed during the past twelve months, are (i) the weighted average loan-to-foreclosure-value (LTFV) of 85.9%, which is slightly lower than observed in other Dutch RMBS transactions; (ii) the proportion of interest-only loan parts (71.6%) which is slightly higher than for other prime Dutch RMBS transactions; (iii) the weighted average seasoning of 5.1 years; and (iv) the limited possibility for the seller to substitute new loans into the subject structure.

The key drivers for the portfolio expected loss are (i) the performance of the seller's precedent transactions as well as the performance on the seller's book; (ii) benchmarking with comparable transactions in the Dutch RMBS market, and (iii) the current economic conditions in the Netherlands in combination with historic recovery data of foreclosures received from the seller.

Approximately 15.1% of the portfolio is linked to life insurance policies (life mortgage loans), which are exposed to set-off risk in case an insurance company goes bankrupt. The seller has provided loan-by-loan insurance company counterparty data, whereby approximately 61% of all life insurance-linked products are linked to insurance policies provided by group companies of Achmea Pensioen & Levensverzekeringen N.V., which is not rated by Moody's. Moody's made an assessment of the credit profile of this entity for the purpose of modelling the set-off risk in the cash flow analysis.

The transaction benefits from a non-amortising reserve fund that will be fully funded at approximately 1% of the total rated notes (EUR8.5 million) at closing. The total credit enhancement for the Aaa rated notes is 8.6%. Apart from the reserve fund, the transaction benefits from an excess margin of 35 bps through the swap agreement. The swap counterparty is Rabobank International. Furthermore, there is a liquidity facility (provided by Bank Nederlandse Gemeenten N.V. (Aaa/P-1)) of 2% of the outstanding notes which amortizes to a floor of 1%. ATC Financial Services B.V. (not rated) acts as the issuer administrator in this transaction.

Moody's Parameter Sensitivities: At the time the rating was assigned, the model output indicated that class A2 would have achieved Aa2 if the expected loss was as high as 0.90% assuming MILAN Aaa CE increased to 10.3% and all other factors remained the same. Class A1 would have achieved Aaa in all tested scenarios.

Moody's Parameter Sensitivities provide a quantitative/model-indicated calculation of the number of rating notches that a Moody's structured finance security may vary if certain input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged and is not intended to measure how the rating of the security might migrate over time, but rather how the initial rating of the security might have differed if key rating input parameters were varied. Parameter Sensitivities for the typical EMEA RMBS transaction are calculated by stressing key variable inputs in Moody's primary rating model.

The Foreign Account Tax Compliance Act (FATCA), a US legislation, may impact the transaction. The regulations implementing the Act are still in draft form and Moody's is currently reviewing the potential impact of FATCA. Should this transaction become subject to US withholding tax under FATCA the rating of the Notes may be negatively impacted.

The V Score for this transaction is Low/Medium, which is in line with the V Score assigned for the Dutch RMBS sector, mainly due to the fact that it is a standard Dutch prime RMBS structure for which we have over 10 years of historical performance data on precedent transactions. The primary source of uncertainty is due to operational risks relating to the servicing arrangement. The servicer (AHB) is not rated by Moody's. This risk is mitigated by (i) liquidity support in case of servicer disruption; and (ii) the fact that the transaction documentation provides that upon a borrower assignment notification event the security trustee and the issuer will use best efforts to select a back-up servicer. Moody's has conducted an analysis of Achmea Hypotheekbank N.V. to assess the operational risk associated with this counterparty in the transaction.

V Scores are a relative assessment of the quality of available credit information and of the degree of dependence on various assumptions used in determining the rating. High variability in key assumptions could expose a rating to more likelihood of rating changes. The V Score has been assigned according to the report "V Scores and Parameter Sensitivities in the Major EMEA RMBS Sectors" published in April 2009.

The principal methodology used in this rating was Moody's Approach to Rating RMBS in Europe, Middle East, and Africa published in June 2012. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

In rating this transaction, Moody's used ABSROM to model the cash flows and determine the loss for each tranche. The cash flow model evaluates all default scenarios that are then weighted considering the probabilities of the lognormal distribution assumed for the portfolio default rate. In each default scenario, the corresponding loss for each class of notes is calculated given the incoming cash flows from the assets and the outgoing payments to third parties and noteholders. Therefore, the expected loss or EL for each tranche is the sum product of (i) the probability of occurrence of each default scenario; and (ii) the loss derived from the cash flow model in each default scenario for each tranche.

As such, Moody's analysis encompasses the assessment of stressed scenarios.

The rating addresses the expected loss posed to investors by the legal final maturity of the notes. In Moody's opinion, the structure allows for timely payment of interest and ultimate payment of principal with respect to the notes by the legal final maturity. Moody's ratings only address the credit risk associated with the transaction. Other noncredit risks have not been addressed, but may have a significant effect on yield to investors.

Moody's issues provisional ratings in advance of the final sale of securities, but these ratings only represent Moody's preliminary credit opinion. Upon a conclusive review of the transaction and associated documentation, Moody's will endeavour to assign definitive ratings to the Notes. A definitive rating may differ from a provisional rating. Moody's will disseminate the assignment of any definitive ratings through its Client Service Desk. Moody's will monitor this transaction on an ongoing basis. For updated monitoring information, please contact monitor.rmbs@moodys.com.

As the Euro area crisis continues, the rating of the structured finance notes remain exposed to the uncertainties of credit conditions in the general economy. The deteriorating creditworthiness of euro area sovereigns as well as the weakening credit profile of the global banking sector could negatively impact the ratings of the notes. For more information please refer to the Rating Implementation Guidance published on 13 February 2012 "How Sovereign Credit Quality May Affect Other Ratings". Please also refer to the recent rating actions on Dutch banks published on 15 June 2012, (please see " Moody's downgrades Dutch banking groups; most outlooks now stable").

REGULATORY DISCLOSURES

For ratings issued on a program, series or category/class of debt, this announcement provides relevant regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides relevant regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides relevant regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

The rating has been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.

Information sources used to prepare the rating are the following: parties involved in the ratings, public information, and confidential and proprietary Moody's Investors Service information.

Moody's did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments in this transaction.

Further information on the representations and warranties and enforcement mechanisms available to investors are available on http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF289196.

Moody's considers the quality of information available on the rated entity, obligation or credit satisfactory for the purposes of issuing a rating.

Moody's adopts all necessary measures so that the information it uses in assigning a rating is of sufficient quality and from sources Moody's considers to be reliable including, when appropriate, independent third-party sources. However, Moody's is not an auditor and cannot in every instance independently verify or validate information received in the rating process.

Moody's Investors Service may have provided Ancillary or Other Permissible Service(s) to the rated entity or its related third parties within the two years preceding the credit rating action. Please see the special report "Ancillary or other permissible services provided to entities rated by MIS's EU credit rating agencies" on the ratings disclosure page on our website www.moodys.com for further information.

Please see the ratings disclosure page on www.moodys.com for general disclosure on potential conflicts of interests.

Please see the ratings disclosure page on www.moodys.com for information on (A) MCO's major shareholders (above 5%) and for (B) further information regarding certain affiliations that may exist between directors of MCO and rated entities as well as (C) the names of entities that hold ratings from MIS that have also publicly reported to the SEC an ownership interest in MCO of more than 5%. A member of the board of directors of this rated entity may also be a member of the board of directors of a shareholder of Moody's Corporation; however, Moody's has not independently verified this matter.

Please see Moody's Rating Symbols and Definitions on the Rating Process page on www.moodys.com for further information on the meaning of each rating category and the definition of default and recovery.

Please see ratings tab on the issuer/entity page on www.moodys.com for the last rating action and the rating history.

The date on which some ratings were first released goes back to a time before Moody's ratings were fully digitized and accurate data may not be available. Consequently, Moody's provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on our website www.moodys.com for further information.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Jeroen Robrecht Heijdeman Asst Vice President - Analyst Structured Finance Group Moody'sInvestors Service Ltd. One Canada SquareCanary WharfLondon E14 5FA United Kingdom JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 Michelangelo Margaria VP - Senior Credit Officer Structured Finance Group Telephone:+39-02-9148-1100 Releasing Office: Moody's Investors Service Ltd. One Canada SquareCanary WharfLondon E14 5FA United Kingdom JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 (C) 2012 Moody's Investors Service, Inc. and/or its licensors and affiliates (collectively, "MOODY'S"). All rights reserved.

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MIS, a wholly-owned credit rating agency subsidiary of Moody's Corporation ("MCO"), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MIS have, prior to assignment of any rating, agreed to pay to MIS for appraisal and rating services rendered by it fees ranging from $1,500 to approximately $2,500,000. MCO and MIS also maintain policies and procedures to address the independence of MIS's ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading "Shareholder Relations -- Corporate Governance -- Director and Shareholder Affiliation Policy."

Any publication into Australia of this document is by MOODY'S affiliate, Moody's Investors Service Pty Limited ABN 61 003 399 657, which holds Australian Financial Services License no. 336969. This document is intended to be provided only to "wholesale clients" within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY'S that you are, or are accessing the document as a representative of, a "wholesale client" and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to "retail clients" within the meaning of section 761G of the Corporations Act 2001.

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