OREANDA-NEWS. Fitch Ratings has affirmed Green Apple B.V., as follows:

Class A (XS0322161026): affirmed at 'A-sf'; Outlook Stable
Class B (XS0322161299): affirmed at 'BBBsf'; Outlook Stable
Class C (XS0322161372): affirmed at 'BBB-sf'; Outlook Stable

The Dutch RMBS transaction is fully-backed by Nationale Hypotheek Garantie (NHG) mortgages originated by Argenta Spaarbank N.V. (Argenta).

KEY RATING DRIVERS
Redemption of Notes
Fitch has been informed that the issuer intends to exercise its right to redeem the notes in full on the next interest payment date on 25 January 2016.

Solid Performance
The volume of loans in arrears has reduced over the past 12 months, in line with the trend across Dutch NHG transactions. Loans in arrears by one to two months decreased to 0.2% of the current collateral balance from 0.3% in October 2014, while the volume of loans in arrears by three months or more reduced to 0.1% of the current pool balance from 0.5% in October 2014. Fitch notes that the declining levels of late-stage arrears are primarily driven by an increase in properties being foreclosed rather than loans becoming re-performing.

NHG-Guaranteed Loans
Fitch has not applied a reduction in its base foreclosure frequency (FF) for the NHG loans, as no data was provided by Argenta that would support such an adjustment.

Fitch did not receive any up-to-date WEW compliance data for Argenta since the restructuring of the transaction in 2012. As a result, we reduced the compliance ratio applied in the analysis to the market average of 85% from 87.5% at the time of the restructuring. The reduced ratio was applied to the rating scenarios above Argenta's credit strength, while a ratio of 100% was assumed in the lower rating scenarios as a result of Argenta's repurchase commitment for non-compliant loans in the portfolio.

Insurance Set-off
The mortgages backed by capital insurance policies are exposed to the risk that upon insolvency of the policy providers, borrowers may seek to set-off against their mortgages the claim over the insurance provider resulting from a loss of premium or damages. Further to this, borrowers could seek to exercise defences following the insolvency of their insurance provider and request cancellation of parts of the loans corresponding to the lost capital. Fitch incorporated in its analysis the risk that the borrowers might exercise such defences following the failure of insurance providers. The agency estimated the set-off exposure and accounted for it in its EMEA RMBS Surveillance Model.

Interest-only Concentration
Fitch has analysed the concentration of interest-only (IO) loan maturities to assess the effect of a period of limited lending availability coinciding with a significant proportion of expected bullet repayments. The IO loans maturing between 2036 and 2038 account for more than 20% of the portfolio balance. To account for this risk we conducted a sensitivity analysis by increasing the foreclosure frequency on the concentrated portion of loans to 50%. Fitch deemed that no adjustment to the ratings was necessary based on the outcome of the sensitivity analysis, since the exposure will only occur after the expected redemption of the notes in January 2016.

Counterparty Exposure
The Royal Bank of Scotland (RBS; BBB+/Stable/F2) is account bank and liquidity facility provider in the transaction. Following its downgrade on 19 May 2015, RBS did not uphold the triggers defined in the transaction documentation with respect to its role as a direct counterparty and thus no remedial actions were taken. However, in line with Fitch's criteria, RBS is currently eligible to perform the roles of an account bank and liquidity facility provider for notes rated up to 'Asf', resulting in the affirmation.

In addition, in March 2012, following the restructuring of the transaction, the interest rate swap provider replacement trigger was set at 'BBB+'/'F2'. Since then the notes are capped at 'A+sf' for the lifetime of the transaction.

Sufficient Credit Enhancement
Following the restructuring of the transaction in March 2012, a commingling ledger was established in order to mitigate commingling and potential deposit and insurance set-off exposures. Any amounts remaining in the ledger after covering for commingling and set-off losses will also be available for principal redemption of the notes. For this reason, the current commingling ledger sized at 1.95% of the outstanding note balance has been incorporated in the credit enhancement for each tranche. The commingling exposure of one month of collections has not been deducted from the credit enhancement, since Fitch views the risk of a jump-to-default of the collection account banks in the following two months to be limited.

RATING SENSITIVITIES
Fitch notes that if the notes are not redeemed at the next payment date in January 2016, we will reassess the credit risk of the transaction.

A change in RBS's rating could trigger a change in the notes' ratings.

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.

Fitch did not undertake a review of the information provided about the underlying asset pool 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.

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 September 2015
- Transaction reporting provided by Intertrust as at 23 October 2015