OREANDA-NEWS. Fitch Ratings has downgraded Holland Homes Oranje MBS B. V.'s class A notes (ISIN XS0238851827) to 'A+sf' from 'AAsf'. The Outlook is Stable.

The class S (ISIN XS0729849439) and class B (ISIN XS0238855141) notes have both been affirmed at 'BBB+sf' and 'BBsf' respectively, with Stable Outlooks.

The Dutch RMBS transaction is backed by Nationale Hypotheek Garantie (NHG) residential mortgage loans originated by DBV Levensverzekeringsmaatschappij B. V. (DBV; part of SNS Bank N. V.; BBB+/Stable/F2).

KEY RATING DRIVERS

Counterparty Exposure

The downgrade reflects the application of Fitch's revised Counterparty Criteria for Structured Finance and Covered Bonds 18 July 2016 regarding counterparty exposure. Under the latest criteria, the link between the senior notes' rating and the rating of the collection account, which for this transaction is ABN Amro (A+/Stable/F1), is only applicable up to the 'Asf' category. Under the old criteria, the rating of the senior notes was previously capped at three notches above ABN Amro, which was rated 'A' at the point of the last review.

The structure continues to have insufficient liquidity to fully cover senior payment obligations in the event of a default of the servicer Stater Nederland (RPS1-), as highlighted in previous rating action commentaries (dated 29 January 2016 and 2 March 2016).

Stable Asset Performance

The transaction continues to exhibit stable asset performance, with only a marginal decline in late-stage arrears (loans that have been delinquent for over three months) of 0.02% over the last 12 months. It also continues to outperform the Fitch Netherlands All NHG Index which is currently at 0.23%, against the transaction's figure of 0.09%.

RATING SENSITIVITIES

The class S notes have low credit enhancement relative to other Dutch transactions with similar pool characteristics. Hence, this tranche is more sensitive to a change in asset performance and an increase in arrears and defaults, beyond Fitch's stresses, could have a negative impact on the ratings.

Additional liquidity in the structure would likely address payment interruption risk and lead to a positive rating action.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch 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 affected the rating 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. Fitch did not undertake a review of the information provided about the underlying asset pool ahead of the transaction's initial closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

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 SNS Bank as at 1 July 2016

-Transaction reporting provided by Intertrust Management B. V. as at 20 July 2016

-Discussions with the servicer dated 17 August 2016

MODELS

The models below were used in the analysis. Click on the link for a description of the model.