OREANDA-NEWS. Fitch Ratings has affirmed Bass Master Issuer N.V. - S.A. series 0-2008-1's notes, as follows:

Series 0-2008-1 EUR25.2bn Class A Notes (ISIN BE0002364363) affirmed at 'AAAsf'; Outlook Stable
Series 0-2008-1 EUR840m Class B Notes (ISIN BE0002365378) affirmed at 'AAsf'; Outlook Stable
Series 0-2008-1 EUR840m Class C Notes (ISIN BE0002366384) affirmed at 'BBB+sf'; Outlook Stable

The transaction is a prime RMBS master trust programme secured by Belgian residential mortgage loans originated by BNP Paribas Fortis SA/NV (Fortis; A+/Stable).

KEY RATING DRIVERS
Stable Performance Trends
The affirmation reflects the stable performance of the EUR28bn underlying portfolio, in line with Fitch's expectations. Arrear levels have remained fairly stable (three-months-plus arrears remain below 1% of the current portfolio balance). As of end-January 2015, cumulative gross defaults (defined as loans denounced by the servicer) as a percentage of the initial portfolio plus new purchases, were a low 0.9%. As of the same date, the cumulative loss rate was 0.04%.

Sufficient Credit Support
The notes feature a step-up date (at which point the current soft-bullet notes will become pass-through notes) in April 2018. Until then, new loans will be purchased by the issuer. Fitch bases its analysis on a worst-case portfolio, taking into account the updated underlying portfolio limits and purchase conditions for new mortgage receivables. The portfolio conditions have notably been updated to exclude any mandate-only loans from the portfolio, as well as to reduce the minimum exposure of the portfolio to loans benefiting from a 100% mortgage security to 60% from 65%. Based on this updated worst-case portfolio analysis and with the current pool composition remaining within these limits, Fitch considers that the current credit support remains sufficient for the class A, B and C notes to withstand Fitch's stresses at their respective rating levels.

Credit enhancement of 11.1% for the class A notes, 8.1% for the class B notes and 5.1% for the class C notes - is provided by subordination and a reserve fund.

Excessive Cash Mitigant
If the amount of cash standing to the issuer collection account prior to the step-up date is greater than 2.5% of the outstanding notes (excluding the uncollateralised class E notes) and remains so for at least six months, the excess will be applied to partially amortise the soft-bullet notes, without the notes becoming pass-through.

Payment Interruption Risk
The risk of a liquidity shortage in case of servicing disruption is mitigated by the provision to set up an adequately sized cash reserve upon a downgrade of Fortis below 'A'/'F1'. In addition, the underlying borrowers will be notified to pay directly into an issuer account opened with an 'A'/'F1' institution, upon a downgrade of Fortis below 'BBB'.

RATING SENSITIVITIES
Deterioration in asset performance may result from economic factors, in particular the effect of increasing unemployment, or further declines in house prices in excess of Fitch's assumptions, leading to a fall in recovery rates.

Fortis currently performs various roles, including those of servicer, account bank provider and swap counterparty. Deterioration in Fortis's credit profile could consequently affect the transaction's performance.