Fitch Ratings assigns SRMP I B.V.'s notes a final 'AAAsf' rating.
London: Fitch Ratings, a nationally recognized statistical rating organization (NRSRO) designated by the U.S. Securities and Exchange Commission, assigned SRMP I B.V.'s class A notes a final 'AAAsf' rating.
With Outlook Stable, Fitch assigned 'NR' to the class B and C notes. The transaction is true sale of a seasoned Dutch mortgage portfolio originated by Achmea Bank B.V. and its affiliates. The portfolio envisages a higher weighted-average (WA) original loan-to-value (OLTV, 95.2%) than has been observed in recent Dutch transactions, despite good affordability metrics, with the majority of borrowers in the DTI buckets 1 and 2 as well as high loan seasoning (143 months). There are no Nationale Hypotheek Garantie (NHG) loans, while the previous Achmea deals had significant shares (Dutch Residential Mortgage Portfolio (DRMP) II 57.3% and DRMP I 42.0%). The interest-only (IO) loan contribution (57.0%) is also higher.
Like other Dutch transactions, the majority of loans in the portfolio are fixed, but the liabilities are floating. While typical Dutch deals address the resulting interest rate risk with a total return swap, this transaction features a 10-year interest rate cap with a strike rate of 3.5%. After the first optional redemption date in 2023, Euribor on the notes is capped at 5% and any excess (not rated by Fitch) is subordinated in the payment waterfall. The seller is also required to maintain the interest rate of the reset loans at Euribor plus 100bp through substitutions. Both aspects constitute mitigating factors against the risk of rising interest rates after the expiry of the interest rate cap.
The interplay between the interest rate at which loans can reset and Euribor due under the notes is a material risk driver for this transaction. Hence, Fitch has tested bespoke interest rate scenarios for this transaction, which limit the benefit from the cap and under which Euribor increases after loans reset at a lower Euribor rate, and found no impact on the rating.