OREANDA-NEWS. Fitch Ratings has affirmed B-Arena NV/SA, Compartment 2's Class A notes (BE0002402742) at 'AAAsf' with a Stable Outlook.

The prime Belgian RMBS transaction consists of residential loans originated and serviced by Delta Lloyd Bank Belgie (Delta Lloyd).

KEY RATING DRIVERS
Good Asset Performance
The affirmations reflect the good performance of the underlying assets, which is in line with Fitch's initial expectations. As of the January 2015 interest payment date, three-month plus arrears stood at 0.4% of the current pool balance. A default is defined as the principal balance of a loan that has been foreclosed and sold. Although 0.12% of loans have entered the foreclosure process, none of them has yet been repossessed and sold. Hence, no defaults have been reported to date.

Build-up in Credit Enhancement
The reserve fund remains fully funded and is not allowed to amortise. The agency expects the guaranteed excess margin of 40bps to cover any realised loss, thus no reserve fund draws are likely to occur in the near term. The non-amortising reserve fund combined with the sequential amortisation of the notes will assist further build-up of credit enhancement.

Sufficient Liquidity in the Structure
In addition, the transaction benefits from a liquidity facility, with a floor of EUR10m, which can be used to cover revenue shortfalls. Fitch's analysis also assumed that the liquidity reserve and reserve fund would be available to mitigate payment interruption and set-off risks.

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 could result in negative rating action.