OREANDA-NEWS. November 24, 2015. Fitch Ratings has affirmed three Dutch Mortgage Portfolio Loans (DMPL) transactions. The securitised portfolios comprise mortgages originated and serviced by Achmea Bank N.V (A/Negative/F1). A full list of rating actions is at the end of this commentary.

KEY RATING DRIVERS
Sufficient Credit Enhancement (CE)
The three deals benefit from interest rate swap mechanisms, which guarantee excess spread equal to 35bps per year. The guaranteed margin, combined with limited losses, has allowed the reserve funds to remain fully funded in all transactions. Consequently, since inception, the CE available to the class A notes has increased by 2pp in DMPL 9 (11.6% of the current pool balance), 1.9pp in DMPL 10 (10.5%) and by 1.3pp in DMPL 11 (9.3%). On the class B tranches the CE has increased by 40bps in DMPL 9 (1.4%) and 20bps in DMPL 10 (1.2%) and DMPL 11 (1.2%).

The affirmations reflect that Fitch deems the CE sufficient to withstand the stresses applied in the analysis, which include the risk of set-off losses arising from the possible insolvency of life insurance providers, in particular of Achmea Pensioen en Levensverzekeringen N.V. (Achmea Leven).

Diverging Asset Performance
Over the past 12 months, late arrears (loans with more than three monthly instalments overdue, as percentage of the outstanding portfolio balance) remained stable at 0.8% and 0.3% in DMPL 10 and 11. The cumulative balance of mortgages with collateral that has been repossessed and sold accounts for 0.5% and 0.2% of the original DMPL 10 and 11 portfolios. Fitch's Dutch Prime RMBS Index currently reports late arrears and cumulative repossessions at 0.7% and 0.9%, respectively.

In DMPL 9, late arrears reached their historical peak (1.2%) in November 2014 before reverting to 0.9% in September 2015. The correction was driven by fewer new arrears in the pipeline and a 40bps increase in sold repossessions, which are currently 0.8% of the original portfolio balance. Over the past quarter, early stage arrears have started picking up again and therefore we expect the performance of DMPL 9 to remain worse than the market average. The worse asset performance of this deal can be explained by a higher original LTV (87.5%), compared with that of DMPL 10 (83.4%) and DMPL 11 (80.4%).

Payment Interruption risk Mitigated
The DMPL deals feature non-amortising and fully funded reserve funds accounting for 1% of the original class A and B notes' balance, which can be used towards the payment of senior fees, interest and principal payments on the same classes of notes. The transactions can also rely on amortising liquidity facilities sized at 2% of the outstanding class A and B notes' balance. The cash provided to the structure is sufficient to guarantee the payments of fees and notes' interest, under stressed Euribor assumptions, for more than 1 one interest payment date.

RATING SENSITIVITIES
The transactions have a concentration of more than 20% of interest-only loans maturing within a three-year period during the lifetime of the transaction. As per its criteria, Fitch carried out a sensitivity analysis assuming a 50% default probability for these loans. No rating action was deemed necessary as a result of the interest-only loan concentration.

Deterioration in asset performance may result from macroeconomic 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 actions.

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. 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 transactions 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 Achmea's origination files. In relation to DMPL 9 and 10 the agency 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. With respect to DMPL 11 Fitch discovered one error that related to missing subordinated loan parts (on a small proportion of the pool) that were excluded from the selected pool due to an error in Achmea's portfolio sizing tool. Fitch made an upwards adjustment to the lender underwriting hit to address this fact.

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 Achmea as at July (DMPL 11) and August (DMPL 9 and 10)
- Transaction reporting provided by Intertrust as at 31 August 2015

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

EMEA RMBS Surveillance Model: 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 Dutch Mortgage Portfolio Loans X B.V. - Appendix, dated 12 July 2012 and Dutch Mortgage Portfolio Loans XI B.V. - Appendix, dated 01 August 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.

The rating actions are as follows:

Dutch Mortgage Portfolio Loans IX
Class A1 (ISIN NL0009821891): affirmed at 'AAAsf'; Outlook Stable
Class A2 (ISIN NL0009821909): affirmed at 'AAAsf'; Outlook Stable

Dutch Mortgage Portfolio Loans X
Class A1 (ISIN NL0010200465): affirmed at 'AAAsf'; Outlook Stable
Class A2 (ISIN NL0010200473): affirmed at 'AAAsf'; Outlook Stable

Dutch Mortgage Portfolio Loans XI
Class A (ISIN NL0010514154): affirmed at 'AAAsf'; Outlook Stable