OREANDA-NEWS. Fitch Ratings has affirmed three tranches of Courtine RMBS 2013-I B.V. This transaction is an RMBS securitisation of prime Dutch residential mortgages originated by F. Van Lanschot Bankiers N.V. (Van Lanschot; A-/Negative/F2) and CenE Bankiers. The underlying loans are serviced only by Van Lanschot.

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

KEY RATING DRIVERS
Performance of Underlying Assets
The affirmation reflects the fairly low arrears of underlying assets in the portfolio and sufficient credit enhancement (CE) available to the rated tranches.

As of the most recent interest payment date in December 2014, three-months plus arrears stood at 1.0% of the outstanding collateral balance, which is slightly above the Dutch prime three-months plus arrears figure of 0.84%. In Fitch's view, the arrears in these transactions may be overstated by the more conservative reporting style of Van Lanschot compared with those seen in other Fitch-rated Dutch RMBS. In particular, the arrears reported by Van Lanschot include delinquencies on all borrower claims as opposed to balances relating to mortgages in arrears.

No losses or foreclosures have been reported since closing. Loans in arrears by more than three months are moved to a recovery division for special attention and a tailor-made repayment plan is set up for each of its high net worth borrowers. The servicer has therefore been able to achieve a higher-than-average cure rate for arrears by liquidating other assets owned by its clients.

Reserve Fund
The non-amortising reserve fund is fully funded and stands at its target of 1.5% of the original outstanding balance of the notes (excluding the class E notes). The reserve fund is available to cover interest shortfalls and clear principal deficiency ledgers on the class A notes. Given the relatively low level of arrears, Fitch expects foreclosures and subsequent losses to remain limited, thus leaving the reserve fund at its target level in the coming payment dates.

Revolving Period
The transaction is in a five-year revolving period until August 2018. Based on the most recent loan-by-loan level data, Fitch found that the pool composition has not changed materially since close. In line with the initial analysis, the agency modelled a worst-case scenario, to test the ability of the transaction structure to withstand deterioration in the pool quality. The analysis showed the CE for the three rated tranches is sufficient to withstand these stresses.

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.

The rating actions are as follows:

Courtine RMBS 2013-1 B.V.
Class A1 (XS0956213689) affirmed at 'AAAsf'; Outlook Stable
Class A2 (XS0956213846) affirmed at 'AAAsf'; Outlook Stable
Class B (XS0956214141) affirmed at 'AAAsf'; Outlook Stable.