OREANDA-NEWS. Fitch Ratings has affirmed the Saecure RMBS series. A full list of rating actions is at the end of this rating action commentary.

The mortgages in the series were originated by Aegon Hypotheken B.V. Saecure 13 and Saecure 14 are fully-backed by Nationale Hypotheek Garantie (NHG) mortgages, while Saecure 12 comprises 56.6% NHG loans.

KEY RATING DRIVERS
Higher Than Expected Defaults
Loans in arrears by more than three months have remained low, ranging between 0.11% (Saecure 14) and 0.28% (Saecure 12) of the current collateral balance as of October 2015 compared with the three months plus index for NHG transactions at 0.43%. Fitch has observed higher than expected foreclosure levels across the three transactions. As of the last payment date, cumulative foreclosures stood at 0.98%, 1.17% and 0.69% of the original performance balance in Saecure 12, 13 and 14, respectively. The agency notes that despite high foreclosures reported, losses have remained subdued.

Performance Adjustment Factor
To account for the high levels of foreclosures, Fitch adjusted its 'Bsf' foreclosure frequency in its analysis of the three deals by increasing the performance adjustment factor suggested by its EMEA RMBS surveillance model. Fitch has benchmarked the defaults to date against the evenly-distributed default curve in its analysis.

NHG-Guaranteed Loans
Fitch did not apply a reduction in its base foreclosure frequency for the NHG loans as the latest data provided by Aegon did not did not support an adjustment.

Fitch received up-to-date Waarborgfonds Eigen Woning (WEW) compliance data from Aegon, which indicated a 90% compliance ratio for claims made to the WEW. This ratio is higher than the market average (85%) observed by Fitch, and was used in the agency's analysis of the transaction.

Insurance Policy Set-Off
The 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 had no effect on the notes' ratings, as reflected in their affirmation.

Commingling Risk
The structure is also exposed to possible commingling of borrower payments with the bankruptcy estate in case of insolvency of the collection account owner, Aegon Hypotheken B.V. As Aegon Hypotheken B.V. is not rated by Fitch, we consider it highly probable that borrowers will be notified to pay directly into the issuer's account only after Aegon Hypotheken B.V. has become insolvent. Fitch therefore assumed a loss of one month of interest and principal payments in the analysis. The current credit support available to the notes was sufficient to withstand these stresses.

RATING SENSITIVITIES
Further deterioration in asset performance in combination with lower recoveries on foreclosed properties than those captured by Fitch's assumptions could lead to further 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 the originator'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, 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 European Data Warehouse as at 30 June (Saecure 12 and 14) and 31 July 2015 (Saecure 13)
- Transaction reporting provided by Intertrust as at 31 August (Saecure 12 and 13) and 30 September 2015 (Saecure 14)
- WEW Data provided by Aegon as 19 May 2015

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 Saecure 12 B.V. - Appendix, Saecure 13 NHG B.V. - Appendix and Saecure 14 NHG B.V. - Appendix dated 3 December 2012, 11 April 2013 and 17 March 2014 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:

Saecure 12 B.V.
Class A1 (XS0808637135): affirmed at 'AAAsf'; Outlook Stable
Class A2 (XS0808637051): affirmed at 'AAAsf'; Outlook Stable

Saecure 13 NHG B.V.
Class A1 (XS0898705180): affirmed at 'AAAsf'; Outlook Stable
Class A2 (XS0898707475): affirmed at 'AAAsf'; Outlook Stable

Saecure 14 NHG B.V.
Class A1 (XS1033756906): affirmed at 'AAAsf'; Outlook Stable
Class A2 (XS1033757201): affirmed at 'AAAsf'; Outlook Stable