OREANDA-NEWS. Fitch Ratings has downgraded Holland Homes Oranje MBS B.V.'s class A notes (ISIN XS0238851827) to 'AAsf' from 'AAAsf' and removed them from Rating Watch Negative (RWN). The Outlook is Stable.

The Dutch RMBS transaction is backed by Nationale Hypotheek Garantie (NHG) residential mortgage loans originated by DBV Levensverzekeringsmaatschappij B.V. (DBV; part of SNS Bank N.V.; BBB/Stable/F3).

KEY RATING DRIVERS
Counterparty Exposure
Fitch placed the rating on RWN on 29 January 2016 to reflect exposure to payment interruption risk. The agency was subsequently informed that no remedial actions would be taken to address this risk, leading to the downgrade.

In its analysis, Fitch assessed the liquidity available in the transaction to fully cover senior fees, net swap payments and note interest in the event of servicer default. We found that the available liquidity is insufficient to provide payments to the notes for one interest payment period should the servicer default.

The named servicer of the portfolio is being changed to SNS Bank from SRLEV (BBB/Positive). However, the day-to-day servicing is carried out by the appointed sub-servicer, Stater Nederland (Stater; RPS1-). Stater is wholly owned by ABN AMRO (A/Stable/F1), and benefits from the ongoing support of its parent. As per Fitch's criteria, the rating of the senior notes is capped at three notches above the servicer's. In light of the support Stater receives from the parent entity, the rating is capped at three notches above ABN AMRO'S Long-term rating (AAsf).

Fitch will monitor the ownership structure of Stater and ABN AMRO and review the rating of the notes should there be any change.

RATING SENSITIVITIES
The class A and S notes have low credit enhancement relative to other Dutch transactions with similar pool characteristics. Hence, these tranches are more sensitive to a change in asset performance and an increase in arrears and defaults, beyond Fitch's stresses, could have a negative impact on the 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 SNS Bank as at 30 December 2015
-Transaction reporting provided by Intertrust Management B.V. as at 20 October 2015
-Discussions with the servicer dated 24 February 2016

MODELS
The ResiEMEA and EMEA RMBS Surveillance models below were used in the analysis. Click on the link for a description of the model.