Ratings Affirmed In Dutch RMBS Transactions SAECURE 12, SAECURE 14 NHG, And SAECURE 15 Following Criteria Update

Stocks and Financial Services Press Releases Thursday July 14, 2016 16:22
LONDON--14 Jul--S&P Global Ratings

LONDON (S&P Global Ratings) July 14, 2016--S&P Global Ratings today affirmedits 'AAA (sf)' credit ratings on SAECURE 12 B.V., SAECURE 14 NHG B.V., andSAECURE 15 B.V.'s class A1 and A2 notes (see list below).

Upon publishing our updated criteria for Dutch residential mortgage-backedsecurities (Dutch RMBS criteria), we placed those ratings that couldpotentially be affected "under criteria observation" (see "Dutch RMBSMethodology And Assumptions," published on Dec. 24, 2015, and "Dutch RMBSRatings Placed Under Criteria Observation Due To New Criteria," published onJan. 18, 2016).

Following our review of these transactions, our ratings that could potentiallybe affected by the criteria are no longer under criteria observation.
Today's affirmations follow our credit and cash flow analysis of thetransactions and the application of our Dutch RMBS criteria.

In our opinion, the current outlook for the Dutch residential mortgage andreal estate market is benign (see "Outlook Assumptions For The DutchResidential Mortgage Market," published on Dec. 24, 2015). The generallyfavorable economic conditions support our view that the performance of Dutch

RMBS collateral pools will remain stable in 2016. Given our outlook on theDutch economy, we consider the base-case expected losses of 0.5% at the 'B'rating level for an archetypical pool of Dutch mortgage loans, and the otherassumptions in our Dutch RMBS criteria, to be appropriate.

Delinquencies of 90+ days are in line with our expectations at closing, and at0.22%, 0.14%, and 0.09% for SAECURE 12, SAECURE 14 NHG, and SAECURE 15,respectively, as of Q1 2016 are well below our Dutch RMBS index level of 0.47%(see "Dutch RMBS Index Report Q1 2016: Improved Performance Reflects EconomicGrowth And The Strengthening Housing Market," published on June 22, 2016).Cumulative losses are negligible in all these three transactions.

Available credit enhancement for the class A1 and A2 notes in SAECURE 12,SAECURE 14 NHG, and SAECURE 15 has improved since closing, due to principalrepayments and the presence of nonamortizing reserve funds. However, theincrease in the available credit enhancement has been somewhat limited due toa high proportion of interest-only loans and the issuer's ability to include

further advances.

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