OREANDA-NEWS. Fitch Ratings has assigned rates Orange Lion XII RMBS B.V.'s mortgage-backed notes as follows:

EUR4,897,500,000 Class A floating-rate mortgage-backed notes: 'AAAsf'; Outlook Stable
EUR285,000,000 Class B mortgage-backed notes: not rated
EUR51,900,000 Class C notes: not rated

This transaction is a true sale securitisation of prime Dutch residential mortgage loans originated and serviced by ING Bank N.V. (ING). This is the 12th transaction in the Orange Lion series and is fully retained by ING.

Credit enhancement (CE) for the class A notes is 6.5% at closing, provided by the subordination of the class B notes (5.5%) and a non-amortising cash reserve (1%) fully funded at closing.

KEY RATING DRIVERS

Average Portfolio Risk
This is a 44 month seasoned static portfolio, with a weighted average (WA) original loan-to-market-value (OLTMV) of 87.5% and a WA debt-to-income ratio (DTI) of 26.4%, both of which are typical for Fitch-rated Dutch RMBS transactions. Of the loans, 44.6% are interest-only. Of the borrowers, 14.4% are self-employed.

Supporting Credit Enhancement
The 6.5% credit enhancement in place for the class A notes is provided by subordination of the class B notes (5.5%), and a non-amortising reserve fund of 1% of the class A and B notes, which is fully funded at close through the issue of the class C notes.

Reduced Recoveries on NHG Loans
Of the loans in this transaction 30.1% benefit from a Nationale Hypotheek Garantie (NHG) guarantee. Fitch used historical claims data to determine a compliance ratio assumption, resulting in an increased recovery rate for NHG-backed loans. The agency observed a lower compliance ratio for loans originated since 2012, which affects about two-thirds of the NHG loans in this portfolio. Hence, a lower compliance ratio than the market average was applied.

Fitch also applied no reduction in foreclosure frequency for the NHG loans, as historical data provided did not show a clear pattern of lower defaults for NHG loans.

Basis Hedge
The issuer entered into a swap with ING, exchanging the lesser of scheduled and actual interest on the mortgages, including interest earned on the transaction account, less senior fees and excess spread of 0.5%, for interest on the class A notes.

Concentrated Counterparty Exposure
This transaction relies strongly on the creditworthiness of ING, which fulfils a number of roles. Fitch gave full credit to structural features mitigating deposit set-off and commingling risk embedded in the transaction.

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 'A-sf'.

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.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.

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.

Sources of Information:
The information below was used in the analysis:
- Loan-by-loan data tape in Fitch's ResiEMEA template provided by ING as at 31 May 2015
- Transaction reporting provided by ING as at 14 July 2015
- Static and dynamic performance data on ING's mortgage loan book
- Investor reports for the existing Orange Lion transactions
- A portfolio of 7,283 foreclosed properties, representing all loans foreclosed since 2000 provided by ING
- The House Price Index from the CBS (Statistics Netherlands)

REPRESENTATIONS AND WARRANTIES

A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms to those typical for that asset class is available by accessing the appendix that accompanies the new issue report (see "Orange Lion XII RMBS B.V. - Appendix", 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."