OREANDA-NEWS. November 03, 2015.  Fitch Ratings has affirmed Lunet RMBS 2013-1 B.V., as follows:

Class A1 (ISIN XS0979672374) affirmed at 'AAAsf'; Outlook Stable
Class A2 (ISIN XS0979672457) affirmed at 'AAAsf'; Outlook Stable
Class B (ISIN XS0979676367) affirmed at 'AAAsf'; Outlook Stable

This Dutch RMBS transaction is backed by loans originated by F. Van Lanschot Bankiers N.V. (Van Lanschot; BBB+/Stable/F2)

KEY RATING DRIVERS
Healthy Asset Performance
The performance of the underlying loans in the portfolio has been sound and in line with the previous transactions backed by mortgage loans originated by Van Lanschot. For instance, the portion of loans in arrears by more than three months is currently at 38bp compared with 45bp and 50bp for the Citadel 2010-I and 2010-II 21 months after their respective transaction close. This is also lower than the Fitch's Dutch RMBS three-months-plus index, which currently stands at 68bp. Additionally, no loans have gone through foreclosure to date.

Interest-Only (IO) Loan Concentration
The transaction has a concentration of more than 20% of IO loans maturing within a three-year period within the lifetime of the transaction. As per its criteria, Fitch carried out a sensitivity analysis assuming a 50% default probability for these loans and found that such assumptions do not result in a material change in ratings. This view is reflected in the affirmation.

Insurance Policy Set-Off
Mortgages backed by insurance policies are exposed to insurance set-off risk in case of insolvency of the policy providers. In case of policy provider insolvency, borrowers may seek to set-off their mortgage payments against premiums paid under the insurance policies. Consequently, in its analysis Fitch assumed that borrowers exercise their right to set-off by increasing the expected loss derived in its EMEA RMBS Surveillance model across all rating scenarios by the exposure amount. The analysis showed that the increased expected losses have no effect on the notes' ratings, as reflected in the affirmation.

Deposit Set-off Risk
The deposit set-off risk exposure is currently at 3% of the outstanding portfolio balance. If the set-off amount were to exceed 6% of the outstanding balance, Van Lanschot will fund a financial collateral account (a dynamic reserve fund). Fitch sized for a potential increase in deposit set-off exposure in its analysis and found the available credit enhancement is sufficient to withstand these stresses.

RATING SENSITIVITIES
Deterioration in asset performance may result from economic factors. A corresponding increase in new foreclosures and the associated pressure on excess spread, reserve fund and liquidity facility beyond Fitch's assumptions 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's closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated missing files and errors, among others, related to the foreclosure value information. These findings were considered in this analysis through the lender adjustment and appropriate adjustments to property values.

Prior to the transaction's closing, Fitch conducted a review of a small targeted sample of Van Lanschot's 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 and together with the assumptions referred to above, 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 the European Data Warehouse as at 31 May 2015.
- Transaction reporting provided by Intertrust Management as at 26 September 2015.
- Servicing Information provided by Van Lanschot as at October 2015.

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

ResiEMEA.

EMEA RMBS Surveillance 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 Lunet 2013-1 B.V. - Appendix, dated 8 November 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.