OREANDA-NEWS. June 23, 2015. Fitch Ratings has affirmed Arena 2012-I B.V., Arena NHG 2014-I B.V. and Arena NHG 2014-II B.V., a series of Dutch prime RMBS transactions. The securitised mortgages were originated by Amstelhuys N.V. (a subsidiary of Delta Lloyd N.V.) and are serviced by Delta Lloyd N.V.

A full list of rating actions is at the end of this commentary.

KEY RATING DRIVERS
Stable Asset Performance
The affirmations reflect the stable performance of the underlying assets in the portfolio and the sufficient credit enhancement (CE) available to the rated tranches.

As of the most recent payment date, three-month plus arrears ranged from 0.08% (Arena NHG 2014-II B.V.) to 0.50% (Arena 2012-I B.V.) of the outstanding collateral balance, compared with the average three-month plus arrears for Fitch-rated Dutch RMBS of 0.80%. In addition, the number of foreclosures across the series remains limited to 0.21% of Arena 2012-I B.V.'s original portfolio balance. To date, no properties have been foreclosed in the other two Arena transactions. Fitch expects the stable performance to continue due to the good quality of securitised loans and gradual recovery in the Dutch housing market.

Fully Funded Reserve Funds
The non-amortising reserve funds remain fully funded. Their current size is 1.5% of the outstanding note balance. Fitch expects the transactions to generate sufficient levels of annualised gross excess spread to cover any realised loss expected on the upcoming payment dates, thus no reserve fund draws are likely to occur in the near term.

National Hypotheek Garantie (NHG) Loans
NHG loans comprise 33% of the underlying portfolio in Arena 2012 B.V. and 100% in the other two transactions. In Fitch's view, the comparison of non-NHG and NHG asset performance did not warrant a reduction in base foreclosure frequency for the NHG loans.

Fitch also used historical claim data to determine the compliance ratio assumption, which led to higher recovery rates for NHG loans.

The analysis of the transactions showed that the current credit enhancement available to the rated tranches is sufficient to withstand the combined stresses, resulting in the affirmation of the 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 funds 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 reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated no adverse findings material to the rating analysis.

Prior to the transactions closing, Fitch conducted a review of a small targeted sample of origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset 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 Delta Lloyd N.V.as at January 2015 for Arena 2012-I B.V. and March 2015 for Arena NHG 2014-I and II B.V.
- Transaction reporting provided by Intertrust Group as at May 2015 for Arena 2012-I B.V. and April 2015 for Arena NHG 2014-I and II B.V.

MODELS
The model below was used in the analysis. Click on the link for a description of the model.

ResiEMEA.

REPRESENTATIONS AND WARRANTIES
A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms to those typical for the asset class is available by accessing the appendix that accompanies the initial new issue report (see New Issue - Appendix, dated 21 December 2012 for Arena 2012-I B.V., 29 August 2014 for Arena NHG 2014-I B.V. and 27 November for Arena NHG 2014-II B.V. at www.fitchratings.com). In addition refer to the special report "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions" dated 26 March 2015 available on the Fitch website.

The rating actions are as follows:

Arena 2012-I B.V.
Class A1 (XS0857684178) affirmed at 'AAAsf'; Outlook Stable
Class A2 (XS0857685225) affirmed at 'AAAsf'; Outlook Stable
Class B (XS0857685738) affirmed at 'AAAsf'; Outlook Stable
Class C (XS0307266116) affirmed at 'AA-sf'; Outlook Stable
Class D (XS0307268207) affirmed at 'BBB-sf'; Outlook Stable
Class E (XS0307266546) affirmed at 'BB-sf'; Outlook Stable

Arena NHG 2014-I B.V.
Class A1 (XS1079817489) affirmed at 'AAAsf'; Outlook Stable
Class A2 (XS1079818883) affirmed at 'AAAsf'; Outlook Stable
Class A3 (XS1079819691) affirmed at 'AAAsf'; Outlook Stable

Arena NHG 2014-II B.V.
Class A1 (XS1135365788) affirmed at 'AAAsf'; Outlook Stable
Class A2 (XS1135365515) affirmed at 'AAAsf'; Outlook Stable
Class A3 (XS1135366240) affirmed at 'AAAsf'; Outlook Stable