OREANDA-NEWS. Fitch Ratings has affirmed Orange Lion XII RMBS B. V.'s (OL XII) class A notes (ISIN: NL0011333729) at 'AAAsf' with Stable Outlook

OL XII is a Dutch RMBS transaction comprising prime mortgage loans originated and serviced by ING Bank (A+/Stable/F1).

KEY RATING DRIVERS

Sufficient Credit Enhancement (CE)

The class A notes' credit enhancement, which is provided by collateralised assets and a EUR51.9m non-amortising reserve fund, represents 6.9% of the current portfolio. This is sufficient to withstand the stresses applied by Fitch's analysis, as reflected in today's affirmation.

Payment Interruption Risk Mitigated

The risk of an interruption in payments to noteholders due to a default of the servicer is sufficiently mitigated. The structure's provisions guarantee timely payments of senior fees and class A notes interest for more than one payment date under stressed Euribor assumptions. Furthermore the servicer is obliged to use reasonable efforts to appoint a replacement servicer either within 60 days from its downgrade below 'BBB' or upon request of the security trustee.

Commingling Loss Risk Mitigated

The risk of loss of funds held in the collection account bank is mitigated by the transaction's structural features. One of these features requires the seller, within 14 calendar days of a downgrade to below 'A'/'F1', to open an escrow account in the name of the issuer with an eligible counterparty and deposit an amount equal to the highest monthly value of revenue and principal funds in the last six months.

Reduced Recoveries on NHG Loans

The mortgage portfolio comprises 30.4% of loans backed by the Dutch national guarantee scheme (NHG). According to a comparative analysis performed at the transaction's close (July 2015), NHG loans did not significantly outperform non-NHG loans. Therefore, Fitch did not reduce the probability of default of loans backed by the scheme. Fitch observed a lower compliance ratio for loans originated since 2012, which affects about two-thirds of the NHG loans in this portfolio. Hence, a lower compliance ratio than the market average was applied.

RATING SENSITIVITIES

Deterioration in asset performance may result from economic factors, in particular the effect of increasing unemployment. A corresponding increase in new defaults and associated pressure on excess spread levels and the reserve fund could result in negative rating action.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY

Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

SOURCES OF INFORMATION

The information below was used in the analysis.

-Loan-by-loan data provided by ING as at 31 March 2016

-Transaction reporting provided by ING as at 30 April 2016 and 31 May 2016

-Loan enforcement details provided by ING as at 31 March 2016