OREANDA-NEWS. Fitch Ratings has revised the Outlook on three tranches of Orange Lion 2013-10 RMBS BV (OL 10), while affirming all its ratings. The agency has also affirmed Stichting Orange Lion IV RMBS (OL 4), Stichting Orange Lion V RMBS (OL 5), Stichting Orange Lion 2011-6 RMBS BV (OL 6), Orange Lion VII RMBS BV (OL 7), Orange Lion 2013-8 RMBS BV (OL 8), and Orange Lion 2013-9 RMBS BV(OL 9).

The Orange Lion are Dutch RMBS transactions comprising prime mortgage loans originated and serviced by ING Bank (A/Stable/F1) (OL 4, 5, 6, 7 and 9) and WestlandUtrecht Bank, a wholly owned subsidiary of Nationale-Nederlanden Bank, (OL 8 and 10).

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

KEY RATING DRIVERS
Sufficient Credit Enhancement
The affirmation reflects sufficient credit enhancement (CE) available across the structures, which currently spans from 1.8% of the collateral balance (class E, OL 10) to 26.2% (class A, OL 4). With respect to OL 10, CE has benefitted from the steady amortisation of the class A notes as well as the replenishing reserve (1.2% of the original notes balance). The reserve will be funded by excess spread until it reaches its target level of 1.85% of the original notes balance. The CE build-up in the transaction is also the reason for today's Outlook revision on the class C, D and E notes.

Performance within Expectations
Over the past 12 months, late stage arrears (loans with more than three monthly payments overdue) have decreased in all transactions but OL 8 and 10. Late stage arrears in the latter two transactions are currently reported at between 0.2% of the current portfolio balance (OL 10) and 1.9% (OL 4). Earlier vintages, with the exception of OL 6, are performing worse than the Dutch Prime RMBS Index (0.73%), while deals originated in 2013 remain below the market average.

The outstanding balance of mortgages whose collateral has been repossessed and sold, expressed in percentage of the original pool balance, has remained broadly stable in OL 6 (0.2%), OL 8 (0.3%), OL 9 and 10 (0.1%). Again, older deals are performing worse: repossessions increased 40bps in OL 4 and 60bps in OL 5 and 7 and now account for 1% and 0.9% of the original pool balance, respectively. Similarly, realised losses widened 11bps, 16 bps and 17bps in OL 4, 5 and 7, respectively while the increase in the rest of the deals was lower than 5bps. Fitch observes that the recent increase in foreclosures and realised losses is in line with the market trend and the result of Dutch home price recovery, which encourages the sale of properties that were repossessed in previous periods.

Payment Interruption Risk Mitigated
The risk of an interruption in payments to noteholders due to the servicer's default is mitigated by fully funded liquidity facilities in OL 4 (EUR245.2m), OL 5 (EUR166.7m), and OL 7 (EUR409.2m). In OL 6, OL 8 and OL 9 reserve funds are the only source of liquidity. Although the reserves could be depleted by realised losses, given their position in the priority of payments (senior to the class B noted principal deficiency ledger) and the asset performance of these deals, Fitch considers payment interruption risk sufficiently mitigated.

The reserve fund in OL 10 serves as first loss protection to the structure. However, at closing payment interruption risk was considered mitigated by the class A liquidity reserve, which must be funded by the swap counterparty upon its downgrade below 'A' and 'F1'. Furthermore the servicer is obliged to use reasonable efforts to procure a replacement servicer either within 60 days from its downgrade below 'BBB' or upon request of the security trustee.

RATING SENSITIVITIES
Deterioration in asset performance may result from economic factors, in particular the effect of increasing unemployment. A corresponding increase in new defaults and associated pressure on excess spread levels and the 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 pools and the transactions. Seller's employees were not identified in the current pool cuts therefore the analyst used the information provided for the past review. 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.

Relevant for OL 4 and 5: Fitch did not undertake a review of the information provided about the underlying asset pools ahead of the transaction's initial closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

Relevant for OL 6, 7, 8, 9 and 10: Prior to the transactions closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated errors or missing data. The findings were considered in this analysis by increasing the underwriting adjustment.

Relevant for the entire series: Prior to the transactions closing, Fitch conducted a review of a small targeted sample of the origination files and found the information contained in the reviewed files to be adequately consistent with the originators' policies and practices and the other information provided to the agency about the asset portfolios.

SOURCES OF INFORMATION
The information below was used in the analysis.
-Loan-by-loan data provided by ING as at 31 July 2015 (OL 4), 20 August 2015 (OL 5, 7, 8 and 9) and 31 August 2015 (OL 6 and 10)
-Transaction reporting provided by ING as at 31 June 2015 (OL 6), 31 August 2015 (OL 4, 5, 7, 8 and10) and 25 September 2015 (OL 9)

MODELS
ResiEMEA and EMEA RMBS Surveillance models below were used in the analysis. Click on the link for a description of the model.

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 Orange Lion 2011 - 6 RMBS B.V. - Appendix, dated 01/12/2011; Orange Lion VII RMBS B.V. - Appendix, dated 14/06/2012; Orange Lion 2013 - 8 RMBS B.V. - Appendix, dated 29/01/2013; Orange Lion 2013 - 9 RMBS B.V. - Appendix, dated 13/03/2013; Orange Lion 2013 - 10 RMBS B.V. - Appendix, dated 02/07/2013 at www.fitchratings.com). In addition refer to the special report "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions" dated 12 June 2015 available on the Fitch website.

Fitch has affirmed the following ratings:

Stichting Orange Lion IV RMBS
Class A2 (ISIN NL0009689108) affirmed at 'AAAsf'; Outlook Stable
Class A3 (ISIN NL0009689116) affirmed at 'AAAsf'; Outlook Stable
Class A4 (ISIN NL0009689124) affirmed at 'AAAsf'; Outlook Stable

Stichting Orange Lion V RMBS
Class A1 (ISIN NL0009689140) affirmed at 'AAAsf'; Outlook Stable
Class A2 (ISIN NL0009689157) affirmed at 'AAAsf'; Outlook Stable
Class A3 (ISIN NL0009689165) affirmed at 'AAAsf'; Outlook Stable
Class A4 (ISIN NL0009689173) affirmed at 'AAAsf'; Outlook Stable

Stichting Orange Lion 2011-6 RMBS
Class A1 (ISIN NL0010016200) affirmed at 'AAAsf'; Outlook Stable
Class A2 (ISIN NL0010016218) affirmed at 'AAAsf'; Outlook Stable

Orange Lion VII RMBS
Class A1 (ISIN NL0010159455) affirmed at 'AAAsf'; Outlook Stable
Class A2 (ISIN NL0010159463) affirmed at 'AAAsf'; Outlook Stable
Class A3 (ISIN NL0010159471) affirmed at 'AAAsf'; Outlook Stable
Class A4 (ISIN NL0010159547) affirmed at 'AAAsf'; Outlook Stable
Orange Lion 2013-8 RMBS
Class A (ISIN NL0010365896) affirmed at 'AAAsf'; Outlook Stable

Orange Lion 2013-9 RMBS
Class A (ISIN NL0010395133) affirmed at 'AAAsf'; Outlook Stable

Orange Lion 2013-10 RMBS
Class A (ISIN NL0010525457) affirmed at 'AAAsf'; Outlook Stable
Class B (ISIN NL0010525465) affirmed at 'AA+sf'; Outlook Stable
Class C (ISIN NL0010525473) affirmed at 'A+sf'; Outlook Revised to Positive from Stable
Class D (ISIN NL0010525481) affirmed at 'BBB+sf'; Outlook Revised to Positive from Stable
Class E (ISIN NL0010525499) affirmed at 'BB+sf'; Outlook Revised to Positive from Stable