OREANDA-NEWS. Fitch Ratings has assigned Dutch Residential Mortgage Portfolio I B.V.'s (DRMP I) mortgage-backed notes expected ratings, as follows:

Class A1 floating-rate notes: 'AAA(EXP)sf'; Outlook Stable
Class A2 floating-rate notes: 'AAA(EXP)sf'; Outlook Stable
Class A3 fixed-rate notes: 'AAA(EXP)sf'; Outlook Stable
Class B fixed-rate notes: not rated
Class C fixed-rate notes: not rated

The transaction is a true sale securitisation of mortgage loans originated in the Netherlands by Achmea Bank N.V. and its predecessors.

The final ratings are contingent upon the receipt of final documents conforming to the information already received.

Credit enhancement (CE) for the class A notes will be 13.5% at closing, provided by the subordination of the class B notes (12%) and a non-amortising cash reserve (1.5%).

KEY RATING DRIVERS

Seasoned Portfolio
The 99-month seasoned static portfolio consists of prime residential mortgage loans with a weighted-average (WA) original loan-to-market-value (LTMV) of 86.5% and a debt-to-income ratio (DTI) 29.4%.

Missing Information
The pool provided had missing income data on 25.3% of the borrowers. Fitch has used conservative income assumptions to calculate the DTI for these borrowers. Furthermore, for 26.4% of the borrowers in the pool the employment type was not available and Fitch increased the default probability accordingly. Please see the presale report for further information on the treatment of these loans.

Group Employee Loans
The pool comprises 8.3% of mortgages where the borrower is employed by Achmea Interne Diensten, an operational entity of the Achmea group. Fitch has increased the default probability for these loans.

Lack of Swaps
The interest rate differential between the floating-rate notes and the predominantly fixed-rate mortgage loans is not hedged with a swap. Instead, the structure benefits from an interest rate cap until April 2020. Thereafter, the interest paid on the class A notes consists of a margin plus the minimum of 5% and three-month Euribor.

Strong Performance of DMPL Series
The existing Dutch Mortgage Portfolio Loans (DMPL) transactions, which are also backed by Achmea Bank-originated mortgages, have shown low levels of three-month plus (3m+) arrears and cumulative losses. The series is currently performing well compared with the Dutch Prime RMBS market (see Performance Analytics section for details).

RATING SENSITIVITIES

Material increases in the frequency of defaults and loss severity on defaulted receivables could produce losses larger than Fitch's base case expectations, which in turn may result in negative rating actions on the notes. Fitch's analysis revealed that a 30% increase in the WA foreclosure frequency, along with a 30% decrease in the WA recovery rate, would result in a model-implied-downgrade of the class A notes to 'AAsf'.

More detail on key rating drivers and rating sensitivities are further described in the accompanying new issue report which is available at www.fitchratings.com.

DATA ADEQUACY

For its ratings analysis, Fitch received a data template with all fields fully completed.

Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated no adverse findings material to the rating analysis.

Overall and together with the assumptions referred to above, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

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

-ResiEMEA ResiEMEA
-EMEA Cash Flow Model EMEA Cash Flow Model

To analyse the credit enhancement levels, Fitch evaluated the collateral using its default model ResiEMEA. The agency assessed the transaction cash flows using default and loss severity assumptions under various structural stresses including prepayment speeds and interest rate scenarios. The cash flow tests showed that each class of notes could withstand loan losses at a level corresponding to the related stress scenario without incurring any principal loss or interest shortfall and ran retire by the legal final maturity.