OREANDA-NEWS. Fitch Ratings has affirmed B-Arena NV/SA Compartment N.2. class A notes at 'AAAsf' with Stable Outlook.

The prime Belgian RMBS transaction consists of residential loans originated and serviced by bank Nagelmackers NV/SA (formerly known as Delta Lloyd Bank Belgium).

KEY RATING DRIVERS
Robust Performance
The affirmations reflect the sound performance of the underlying assets. As of the January 2016 interest payment date, three-month plus arrears stood at 0.7% of the current pool balance. No losses have been reported to date.

The transaction benefits from a fully funded liquidity funding account and a reserve account, which amount respectively to 2.5% of outstanding class A, B and C notes balance and EUR10m. The liquidity funding account is available to meet any shortfalls in senior costs as well as class A notes interest following the application of the reserve account to pay senior costs, class A notes interest as well as the class A notes principal deficiency ledger.

Credit enhancement has increased to 32.2% currently from 17% at closing in 2011 and is provided by the subordination of the class B and C notes and the general reserve. The class B and C notes are not rated by Fitch.

The transaction also benefits from a guaranteed excess margin and excess spread.

RATING SENSITIVITIES
Deterioration in asset performance may result from economic factors, in particular the increasing effect of unemployment. A corresponding increase in new defaults and associated pressure on excess spread levels and reserve fund could result in negative rating action.

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. Fitch notes that information was missing on some of the loans in the pool-tapes received: some loans had inappropriate postcode and maturity date. Fitch made the following assumptions to address the missing information: properties with inappropriate postcode were assumed to be located in the region of Brussels and loans with inappropriate maturity date were assumed to have the same maturity as the one of the loan with the highest remaining term. 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 transaction closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated errors or missing data related to the debt-to-income information (DTI). A 40% DTI default value was entered when the actual DTI level was unknown. These findings were considered in this analysis by assuming a 25% stress to the DTI of loans with a DTI of 40%.

Prior to the transaction closing, Fitch conducted a review of a small targeted sample of bank Nagelmackers NV/SA 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 downloaded from EDWIN database as at 31 December 2015
-Transaction reporting provided by Intertrust Administrative Services B.V. as at 22 January 2016

MODELS
The model below was used in the analysis. Click on the link for a description of the model.
EMEA RMBS Surveillance Model