OREANDA-NEWS. Fitch Ratings has upgraded four structured finance transactions. The rating actions are linked to recent upgrades of banks' Long-term Issuer Default Ratings (LT IDRs). A full list of rating actions is at the end of this ratings action commentary.

KEY RATING DRIVERS
Holland Homes MBS 2000-1 B.V.
The ratings of the class A and B notes have been upgraded to 'A+sf' in line with ABN Amro's LT IDR (A+/Stable/F1).

55% of the loans in the portfolio mature after the transaction's legal final maturity. At the loan reset date, the issuer has the option to sell the mortgage to a third party, which may be the original seller. If the sale is unsuccessful, the issuer can exercise its option to put the loan back to ABN Amro. Therefore, the transaction is heavily reliant on the put option provider meeting its obligations, creating excessive counterparty dependency and credit-linkage.

Dexia Secured Funding Belgium NV, Compartment DSFB-II
The EUR1,621.3m floating-rate notes due in 2040 have been upgraded to 'A-sf'/Stable to reflect the upgrade of the underlying risk presenting entity, Belfius Bank SA/NV on 14 April 2016 (see 'Fitch Upgrades Belfius to 'A-'; Outlook Stable' at www.fitchratings.com). The ratings reflect the first-demand, unconditional guarantee that Belfius Bank provides on the notes, covering complete, timely interest and principal payments on each payment date. As a result of this guarantee, noteholders do not bear the default risk of the underlying obligors.

Penates Funding N.V./S.A., Compartment Penates-4
The upgrade of the class B notes follows the upgrade of Belfius Bank's LT IDR. Belfius acts as junior swap counterparty in the transaction. The junior swap agreement does not include any triggers or replacement language. Consequently, the class B notes are capped at Belfius's rating. The Stable Outlook on the class B notes reflects the Stable Outlook on Belfius's rating.

Penates-4 is benefiting from increased credit enhancement due to the amortisation of the senior notes. Credit enhancement is provided by subordination and the reserve fund and totalled 19.6% as of February 2016. Fitch considers the available credit enhancement for the class B notes sufficient to upgrade the notes.

RATING SENSITIVITIES
Holland Homes MBS 2000-1 B.V.
The dependency of the transaction on ABN Amro's rating implies sensitivity to changes in the bank's ratings (both positive and negative).

Dexia Secured Funding Belgium NV, Compartment DSFB-II
The notes' rating is linked Belfius Bank's rating and therefore any rating action on Belfius Bank will lead to further rating action on the transaction.

Penates Funding N.V./S.A., Compartment Penates-4
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.

The ratings of the credit-capped class B notes will continue to reflect changes to Belfius's LT IDR. If Fitch considers counterparty risk has increased as a result of the weakening of Belfius Bank in its junior interest rate swap provider role then the class B notes may be placed on Rating Watch Negative and ultimately downgraded if the risk is not adequately mitigated.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to these rating actions.

DATA ADEQUACY
Holland Homes MBS 2000-1 B.V.
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. 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.

Fitch did not undertake a review of the information provided about the underlying asset pools ahead of the transactions' initial closing. The subsequent performance of the transactions 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.

Dexia Secured Funding Belgium NV, Compartment DSFB-II
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.

The majority of the underlying assets have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant Fitch groups and/or other rating agencies to assess the asset portfolio information.
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.

Penates Funding N.V./S.A., Compartment Penates-4
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. 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 closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated few errors or missing data related to the collateral information (such as the ranking of the mortgage, the mortgage or mandate amount or the property postcode) and to the borrowers' information (such as the debt-to-income or employment status). These findings were not considered in this analysis as they are immaterial.

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.

CRITERIA VARIATION
Penates Funding N.V./S.A., Compartment Penates-4
Due to the specificities of the Belgian market with regard to the security type (such as all-sum mortgages or mortgage mandates) and the products (such as credit facilities), Fitch has adjusted its original loan-to-value (OLTV) calculations in some cases to obtain figures compatible with its probability of default matrix. Such adjusted OLTV values are referred to as the OMTV. This is a variation from Fitch's Criteria Addendum: Belgium - Residential Mortgage Assumptions.

A borrower may have been granted several loans (under credit facilities) at several points in time, secured by the same security under a so called "all-sums mortgage". Moreover, in some cases, the loan that was originally granted to purchase the residential property used as security has already been repaid. In such instance, the traditional OLTV calculation will not reflect a borrower's willingness to pay on his/her property. Considering that in most cases, residential loans are fully backed by a security or an additional mechanism (comprised of a mortgage and/or a mortgage mandate), the residential loan amount can be approximated by the security registered amount - or in the case of a mandate, the potentially registered amounts - over such residential property.

In some cases, the OLTV ratio is therefore approximated by dividing the sum of the amounts specified in the mortgage registration and other security arrangements by the value of the property to which the mortgage and other security arrangement relates.

SOURCES OF INFORMATION
The information below was used in the analysis.
Rating of ABN Amro as provided by Fitch Ratings on 14 April 2016. Rating of Belfius Bank SA/NV as provided by Fitch Ratings on 14 April 2016

Penates Funding N.V./S.A., Compartment Penates-4
The information below was used in the analysis.
- Loan-by-loan data provided by the servicer as at February 2016
- Transaction reporting provided by the servicer as February 2016