OREANDA-NEWS. Fitch Ratings has affirmed Saecure 12 B. V. and Saecure 15 B. V., as follows:

Saecure 12

Class A2 (ISIN XS0808637051) affirmed at 'AAAsf'; Outlook Stable

Saecure 15

Class A1 (ISIN XS1028941620) affirmed at 'AAAsf'; Outlook Stable

Class A2 (ISIN XS1028942511) affirmed at 'AAAsf'; Outlook Stable

The transactions are securitisations of Dutch residential mortgages originated and sold by Aegon Hypotheken B. V. and/or AEGON Levensverzekering N. V. (together Aegon). Aegon is a wholly owned subsidiary of Aegon Nederland N. V., which is wholly owned by Aegon N. V. (A-/Stable/F2), one of the largest life insurance and pension companies in the Netherlands.

KEY RATING DRIVERS

Continued Strong Asset Performance

Late-stage arrears (loans that have been delinquent for over three months) have decreased by 11bp over the last year in Saecure 12 and have remained relatively stable in Saecure 15 since issuance. The decrease in Saecure 12 mirrors that in the broader Dutch market.

However, for both transactions late stage arrears are well below the level of the Fitch Netherlands All Deals index at 0.43%.

At transaction close, Fitch applied a lender adjustment to Saecure 15 to account for weaker performance data for Aegon transactions compared with other Dutch lenders. In this review, we applied the same lender adjustment (a 5% foreclosure frequency increase to the base assumptions). We did not apply this adjustment to Saecure 12, as the agency has over three years of observable data on the portfolio performance. Instead, Fitch applied a Performance Adjustment Factor of 2.0, in line with its criteria.

Despite the additional stresses applied in the analysis, Fitch deems the credit enhancement sufficient to withstand the 'AAAsf' rating stresses, as reflected in the affirmations.

NHG Loans

61.6% of Saecure 12 and 71.5% of Saecure 15's portfolios are loans backed by an NHG guarantee. This is a higher proportion than typically seen across some other Fitch-rated Dutch RMBS.

In its analysis, Fitch has not given any credit to performance; therefore no downward adjustment to the foreclosure frequency has been made. This is based on Fitch's analysis of loan foreclosure data from Aegon's book, comparing the default rate of NHG and non-NHG loans. Similarly, based on examination of the compliance ratio of Aegon's loans, the agency has applied a ratio of 85%.

Commingling Risk

One month's commingling loss has been factored into the analysis. In the agency's opinion borrowers will only be notified to re-direct payments to the issuer's account after Aegon's insolvency. Therefore, the transaction is vulnerable to the loss of any collections held at the seller's account at the time of such an event.

Fitch acknowledges that the seller (Aegon) will transfer to the issuer account (held with Bank Nederlandse Gemeenten; AA+/Stable/F1+) an amount equal to the scheduled interest, scheduled principal and 120% of the amount of prepayments received during the previous portfolio calculation period. This amount will be transferred to the issuer account on the first business day of the month. However borrower payments are also received on the first day of the month.

To address this risk, in its analysis, Fitch sized the loss of one months' worth of interest and principal collections. The analysis showed that the current credit enhancement available to the rated notes is sufficient to withstand these stresses.

Insurance Set-off Risk

Insurance loans are exposed to the risk that upon insolvency of the policy providers, borrowers may seek to set-off against their mortgages the claim over the insurance provider resulting from a loss of premium or damages.

In its analysis of the transactions, Fitch took into account the exposure to insurance loans, which account for 7.3% of Saecure 12 and only 0.8% of Saecure 15's outstanding portfolio balance.

Treatment of Borrowers with 'Other' Employment Type

The employment type for a small portion of the loans in the pools was labelled as 'Other' in the loan-by-loan datatape. Fitch has classified the employment for such loans as 'Unknown' in its analysis and applied a 30% foreclosure frequency increase.

RATING SENSITIVITIES

Adverse economic trends in excess of Fitch's stress may lead to underperformance of the assets and compression of excess spread available to the transaction. Loss of credit enhancement may lead to negative rating actions.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch 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 affected the rating 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 closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information and concluded that there were no findings that affected the rating analysis.

Prior to the transaction closing, Fitch conducted a review of a small targeted sample of Aegon'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.

SOURCES OF INFORMATION

The information below was used in the analysis.

-Loan-by-loan data provided by the European Data Warehouse as at 30 June 2016

-Transaction reporting provided by Intertrust Administrative Services B. V. as at 29 July 2016 and 30 June 2016

-Discussions/updates from servicer as at 07 September 2016

MODELS

The models below were used in the analysis. Click on the link for a description of the model.