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Moody's Investors Service Inc.

Moody's Assigns Aaa Rating to EUR 750M Dutch Prime RMBS Notes

Strategic Insights

— 1 min read

The Moody's Investors Service has assigned a definitive rating of Aaa (sf) to the EUR 750M Class A Mortgage Backed Notes due May 2057 issued by Candide Financing 2025-1 B.V. The rating is based on the credit quality of the portfolio, the structural features of the transaction, and its legal integrity. The transaction benefits from a granular static portfolio of assets, borrowers with no adverse credit characteristics, and exposure to 67.7% NHG-guaranteed loans.

Key Takeaways:

  • The Notes are backed by a static pool of Dutch Prime residential mortgage loans originated by Lloyds Bank GmbH (A3/P-2 deposit ratings; A1(cr)/P-1(cr)), Amsterdam Branch, with a total portfolio amount of approximately EUR 781.3 million as of the end-April 2025 pool cutoff date.
  • The transaction features a 4.0% subordination and a 1.0% reserve fund, providing total credit enhancement for the Class A Notes at closing of 5.0%.
  • Moody's calculates the portfolio lifetime expected loss with LMI of 0.30% and Relative Stressed Loss with LMI of 1.90%, which are lower than the Dutch Prime RMBS sector average.
  • The expected loss with LMI captures Moody's expectations of performance considering the current economic outlook, while the Relative Stressed Loss with LMI captures the loss expected by the portfolio in the event of a severe recession scenario.
  • The principal methodology used in this rating was "Residential Mortgage-Backed Securitizations" published in October 2024.
  • The rating is primarily based on the credit quality of the portfolio, the structural features of the transaction, and its legal integrity.
  • Factors that would lead to a downgrade of the rating include increased counterparty risk, potential operational risk, or economic conditions being worse than forecast.

Statistics:

  • Total portfolio amount: approximately EUR 781.3 million
  • Subordination: 4.0%
  • Reserve fund: 1.0% of total Class A and Class B Notes
  • Total credit enhancement: 5.0%
  • Portfolio lifetime expected loss with LMI: 0.30%
  • Relative Stressed Loss with LMI: 1.90%
  • Dutch Prime RMBS sector average expected loss with LMI: higher than 0.30%
  • Dutch Prime RMBS sector average Relative Stressed Loss with LMI: higher than 1.90%

Sources:

  • Moody's Investors Service, "Residential Mortgage-Backed Securitizations" methodology, published in October 2024, available at https://ratings.moodys.com/rmc-documents/429877
  • Moody's Investors Service, "Rating Methodologies" page, available at https://ratings.moodys.com

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