OREANDA-NEWS. Fitch Ratings has affirmed three tranches of Cartesian Residential Mortgages 1 S.A. T

The transaction is an RMBS securitisation of prime Dutch residential mortgages originated by GE Artesia Bank (GEAB) via three special purpose vehicles: Quion 10 B.V. (Quion 10); Ember Hypotheken 1 B.V. (Ember 1); and Ember Hypotheken 2 B.V. (Ember 2). The securitised mortgages are serviced by Quion (RPS2/RSS2).

A full list of rating actions is available at the end of this commentary.

KEY RATING DRIVERS

Robust Performance
The affirmations reflect the robust performance of the underlying assets. As of the latest payment date in January 2015, three-month plus arrears stood at 0.18% of the current pool balance, which is significantly below the Dutch Prime RMBS index of 0.87%. Cumulative foreclosures were 0.14% of the original pool balance. Fitch expects the robust performance to continue, given the prime nature of the securitised loans and the gradual recovery of the Dutch housing market.

Reserve Fund Build-up
Excess spread has been trapped since transaction close in April 2014, thus leading to a build-up in the non-amortising reserve fund to its target level of 4% of the initial class A to E balances. It currently stands at 66% of its target level and at current pace is not expected to reach the full EUR18.9m amount within the next 12 months.

The initial level of the reserve fund in the amount of 2.3% of the initial note balance is available to cover only interest shortfalls and clear principal deficiency ledger (PDL) on the class A notes. The remaining portion of the reserve fund can be used to cover interest shortfalls on the class B, C and D notes and clear PDL on the class B and C notes.

RATING SENSITIVITIES
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, beyond Fitch's assumptions, could result in negative rating action.

The rating actions are as follows:

Cartesian Residential Mortgages 1 S.A.
Class A (ISIN XS1024418185) affirmed at 'AAAsf'; Outlook Stable
Class B (ISIN XS1024423425) affirmed at 'AA-sf'; Outlook Stable
Class C (ISIN XS1024434620) affirmed at 'Asf'; Outlook Stable