OREANDA-NEWS. Fitch Ratings has affirmed Belfius Bank SA/NV's (Belfius; BBB+/Positive/bbb+) EUR5.55bn mortgage pandbrieven at 'AAA'. The Outlook is Stable.

KEY RATING DRIVERS
The rating is based on Belfius's Long-term Issuer Default Rating (IDR) of 'BBB+', an unchanged IDR uplift of one notch, an unchanged Discontinuity Cap (D-Cap) of four notches (moderate risk) and the 33.5% OC that Fitch takes into account in its analysis, which provides more protection than the 10% 'AAA' breakeven OC.

The Stable Outlook for the pandbrieven reflects the Positive Outlook of Belfius and Fitch's view on the underlying Belgian residential loan assets.

Fitch has updated its breakeven overcollateralisation (OC) for the 'AAA' rating to 10% (from 13.5% previously), reflecting improvements in the components of breakeven OC.

The 'AAA' breakeven OC is driven by the cover pool's unchanged credit loss component of 7.3%. The reduction in the cash flow valuation to 2.9% (from 5.5% previously) is driven by the smaller gap between the stressed weighted average life (WAL) of the assets versus the liabilities in Fitch's driving scenario, of 1.7 years vs. 2.4 years previously. It also benefits from high excess spread which compensates the unhedged fixed assets and liabilities positions of the programme. The asset disposal loss is 2.7% (3.9% previously), reflecting smaller maturity mismatches between the assets and the liabilities, with the breakeven OC considering whether timely payments are met in an 'AA' scenario and testing for recoveries given default of at least 91% in a 'AAA' scenario.

RATING SENSITIVITIES
The 'AAA' pandbrieven rating would be vulnerable to a downgrade if any of the following occurs: (i) Belfius's IDR is downgraded by one notch to 'BBB' or lower; (ii) the number of notches represented by the D-Cap and the IDR uplift is reduced to four or fewer; (iii) the OC that Fitch considers in its analysis decreases below our 'AAA' breakeven level of 10%.

Fitch's breakeven OC for the pandbrieven rating will be affected, among others, by the profile of the cover assets relative to outstanding pandbrieven, which can change over time, even in the absence of new issuance. Therefore the breakeven OC to maintain the pandbrieven rating cannot be assumed to remain stable over.