OREANDA-NEWS. Fitch Ratings has affirmed Orange Lion 2015-11 RMBS B. V.'s (OL 11) class A notes (ISIN: NL0011275425) at 'AAAsf'. The Outlook is Stable.

OL 11 is a Dutch RMBS transaction comprising prime mortgage loans originated and serviced by ING Bank (A/Stable/F1).

KEY RATING DRIVERS

Sufficient Credit Enhancement

The class A credit enhancement, provided by the collateralised assets and the EUR 7.9m non-amortising reserve fund, represents 6.2% of the current portfolio. This is sufficient to withstand the stresses applied by Fitch's analysis, as reflected in the affirmation.

Insurance Set-off Exposure

The intention of insurance policies is that the proceeds of the investments can be used to repay the mortgage loan in full or in part at maturity. If the policy providers are no longer able to meet their obligations, for example as a result of insolvency, borrowers may seek to set-off the claim over the insurance provider against their mortgages, on the basis that the intention is for the loan to be repaid using the proceeds from the policy.

The risk that set-off could be successfully exercised depends on whether the lender and insurance policy provider are the same legal entity, or whether the mortgage and insurance policies are offered as one product. If they are, Fitch assumes a set-off probability equal to 100%. This figure is reduced to 25% if insurance provider and lender are different institutions or if the mortgage and insurance policy are not a joint product.

Currently, mortgage loans that have a life insurance policy attached represent 8% of the total pool. The derived insurance set-off exposures is accounted for in the analysis of the available CE.

NHG Loans

26.6% of the mortgage portfolio comprises loans backed by the Dutch national guarantee scheme (NHG). According to a comparative analysis performed at the transaction's close (June 2015), NHG loans did not significantly outperform non-NHG. Therefore, Fitch did not reduce the probability of default of loans backed by the scheme. On the contrary, the list of claims ING made to the Waarborgfonds Eigen Woningen between 2007 and 2014 showed that the compliance ratio was equal to the market average. Fitch has given credit to the NHG guarantee by increasing the recovery assumptions.

Payment Interruption Risk Mitigated

The risk of an interruption in payments to noteholders due to the servicer's default is mitigated by the cash reserve by an amortising liquidity facility equal to 1.5% of the outstanding class A notes. The structure's provisions guarantee timely payments of senior fees and class A notes' interest for more than one payment date under stressed Euribor assumptions.

Furthermore the servicer is obliged to use reasonable efforts to procure a replacement servicer either within 60 days from its downgrade below 'BBB' or upon request of the security trustee.

RATING SENSITIVITIES

Deterioration in asset performance may result from economic factors, in particular the effect of increasing unemployment. A corresponding increase in new defaults and associated pressure on excess spread levels and the 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. 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 ING's 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.