OREANDA-NEWS. April 22, 2016. Fitch Ratings has affirmed Bass Master Issuer NV/SA Series 0-2008-1. The transaction is a prime RMBS master trust programme comprising Belgian residential mortgage loans originated by BNP Paribas Fortis (Fortis; A+/Stable). The rating actions are as follows:

Class A (ISIN BE0002364363) affirmed at 'AAAsf'; Outlook Stable
Class B (ISIN BE0002365378) affirmed at 'AAsf'; Outlook Stable
Class C (ISIN BE0002366384) affirmed at 'BBB+sf'; Outlook Stable

KEY RATING DRIVERS
Stable Performance Trends
The affirmation reflects the stable performance of the EUR28bn underlying portfolio, which is in line with Fitch's expectations. Arrears levels have remained fairly flat over the last year with loans in arrears by at least three months remaining below 1% of the current portfolio balance. As of end-January 2016, cumulative gross defaults (defined as loans denounced by the servicer) as a percentage of the initial portfolio and new purchases stood at a low 1.1%. Cumulative losses represent 0.13% and have been provisioned through the principal deficiency ledgers. The transaction benefits from healthy excess spread of around 2% per annum of outstanding portfolio balance.

Consistent Loan Characteristics
Portfolio characteristics as of end-January 2016 are broadly stable from a year ago. In particular, the key parameters used to assess portfolio performance (original loan-to-value ratios, debt-to-income and other loan characteristics) have been stable. Over the last 12 months, EUR10.3bn of new loans have been purchased by the issuer. This amount is significantly higher than in previous years and is due to a prepayment wave that started in mid-2014 across Belgium as low mortgage rates led to refinancing of loans.

Monthly prepayments averaged nearly 30% (on an annualised basis) over the last 12 months but have started to return gradually towards their longer-term average (below 10%).

Sufficient Credit Enhancement
The soft bullet notes will become pass-through notes and their margins will step up in April 2018. Until then, new loans will be purchased by the issuer. In line with the approach taken at closing and when the transaction was restructured in April 2015, Fitch based its analysis on a hypothetical worst-case portfolio created in accordance with the permissible conditions for purchases of new mortgage receivables. Fitch considers the current level of credit support to be sufficient for the class A, B and C notes to withstand migration to this worst-case pool composition, together with Fitch's stresses at their respective rating levels. The current pool composition is within the limits of this worst-case portfolio.

Credit enhancement is provided by subordination and a reserve fund and totals 11% for the class A notes, 8% for the class B notes and 5% for the class C notes.

RATING SENSITIVITIES
Deterioration in asset performance may result from economic factors, in particular the increasing effect of unemployment. A corresponding increase in new defaults and associated pressure on excess spread levels and 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.

Prior to the transaction closing, Fitch did not review the results of a third party assessment conducted on the asset portfolio information. However, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information as part of the transaction's restructuring in 2013, which indicated few errors or missing data related to the interest reset date and the collateral type. These findings were not considered in this analysis as they are immaterial or deemed to have been adequately addressed by the modelling of a worst-case portfolio.

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 the servicer as at end-January 2016
-Transaction reporting provided by the servicer as at end-January 2016

MODELS
Excel-based Residential Mortgage Asset Model.
EMEA RMBS Surveillance Model.
EMEA Cash Flow Model.