OREANDA-NEWS. Fitch Ratings has affirmed Royal Street N. V.-S. A. Compartment RS-2's EUR1.5bn class A notes at 'AAAsf'. The Outlook is Stable.

The transaction is a securitisation of prime residential mortgage loans secured by residential properties located in Belgium.

KEY RATING DRIVERS

The transaction's performance has been in line with Fitch's expectations. Cumulative gross defaults as of end-June 2016 stood at 1.76% of the initial outstanding notional balance of the loans, up from 1.22% at end-June 2015. As of end-June 2016, the transaction had recorded total cumulative recoveries given default of EUR16.8m, resulting in a net cumulative default ratio of 0.8% of the initial outstanding notional balance of the loans.

As of the last quarterly payment date, available funds were insufficient to cover for all defaults booked to the class B principal deficiency ledger (PDL), resulting in an uncleared PDL amount of EUR2.5m (0.14% of the total notes balance). The transaction does not include any stop-revolving triggers based on outstanding PDL amounts, and instead relies on a cumulative default trigger. The transaction will instead enter into early amortisation if the cumulative defaults, as a proportion of the initial portfolio balance at closing, are greater than 2.8%.

Credit enhancement for the class A notes is provided via the subordinated class B notes (16.6%) and a reserve fund corresponding to 1% of the initial notes balance and which is available for the payments of senior costs, class A interest amounts and any class A PDL amounts. As of the August quarterly investor report date, the credit enhancement available to the class A notes was 17.6%, down slightly from 17.7% a year ago, reflecting the reduced protection resulting from the uncleared class B PDL amounts.

The transaction will enter into the final year of its revolving period on 5 November 2016, following which the portfolio will become static and the notes will amortise in a sequential order.

A risk mitigation deposit, covering for one month of scheduled interest and principal collections on the assets, is available to cover for commingling risk under the transaction and can also provide protection against payment interruption risk, together with the implicit liquidity protection provided by a swap and the availability of principal available funds to cover for senior cost and class A interest amounts, if needed.

RATING SENSITIVITIES

AXA Bank Europe performs all the key counterparty roles under the transaction, including those of account bank, interest-rate swap provider and servicer. As such, deterioration in AXA Bank Europe's credit profile could affect the operational performance of the deal.

Deterioration in asset performance may result from economic factors, in particular the increasing effect of unemployment. A corresponding increase in new defaults could result in liquidity pressures and negative rating action.

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

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 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.

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 AXA Bank Europe as at 30 June 2016

-Transaction reporting provided by AXA Bank Europe as at 5 August 2016