OREANDA-NEWS. Fitch Ratings has affirmed Dutch Residential Mortgage Portfolio I (DRMP I) B.V. The transaction comprises a portfolio of Dutch residential mortgages originated by Achmea Bank. N.V. (A/Negative/F1).

Fitch has taken the following rating actions:
Class A1 (NL0011220041): affirmed at 'AAAsf'; Outlook Stable
Class A2 (NL0011220058): affirmed at 'AAAsf'; Outlook Stable
Class A3 (NL0011220066): affirmed at 'AAAsf'; Outlook Stable

KEY RATING DRIVERS
Stable Asset Performance
Total arrears are currently 0.53% with late-stage arrears (loans in arrears by three months or more) at 0.25%. This is roughly in line with other Achmea-originated issuance at a similar point of seasoning. There have only been two foreclosures to date and therefore total loss suffered has been minimal.

Excess Spread
In the absence of significant foreclosures and losses, excess spread generated to date has been 3.8% of the outstanding portfolio balance.

As the transaction is unhedged, there is a mismatch between predominantly fixed-rate assets and primarily floating-rate liabilities (class A3 coupon is fixed until April 2020). In its analysis, the agency has reduced the excess spread available, from its current level, making conservative assumptions on the reset of fixed- and floating-rate assets.

Unhedged Transaction
The transaction structure includes a cap (at a strike rate of 3.5%) on the notes' reference rate up to the first optional redemption date (in April 2020). Subsequently, the notes are paid a margin and the minimum of the reference rate and 5%. If EURIBOR exceeds 5% the excess consideration is paid subordinate to class A interest, class A principal deficiency ledger clearance and replenishment of the reserve fund. As the excess consideration is not an interest payment, the agency does not rate for its payment.

Data Adjustments
As at transaction close, income data was missing for a quarter of the portfolio. In this analysis, the agency applied the same income data used at transaction close, which took into account conservative assumptions when assigning the debt-to-income ratios for these borrowers.

Roughly 21% of the portfolio comprised borrowers with 'other' employment type. In line with criteria, Fitch applied a 20% foreclosure frequency (FF) stress to this portion of the pool.

Group Employee Loans
The pool includes 8.1% of mortgages where the borrower is employed by Achmea Interne Diensten, an operational entity of the Achmea group. Fitch has increased the FF for these loans by 20% in line with criteria.

As the borrowers are employees of a separate legal entity to the original lender, the risk of set-off in case of lender default is considered minimal.

RATING SENSITIVITIES
Adverse macroeconomic trends may impact both the housing market and employment, leading to poor asset performance and erosion of available credit enhancement. This in turn may result in 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 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.

Prior to the transaction's 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 transaction's closing, Fitch conducted a review of a small targeted sample of Achmea's origination files and found inconsistencies or missing data related to the rate on mortgages offered to employees. These findings were considered in this analysis by assuming the lender adjustment used at transaction closing.

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 the European Data Warehouse as at 31 March 2016
-Transaction reporting provided by Intertrust Administrative Services B.V. as at 31 March 2016
-Discussions / updates with Achmea dated 19 May 2016