OREANDA-NEWS. June 16, 2015. Fitch Ratings has assigned Orange Lion 2015-11 B.V.'s mortgage-backed notes final ratings, as follows:

EUR750m Class A floating-rate mortgage-backed notes: 'AAAsf'; Outlook Stable
EUR37.2m Class B mortgage-backed notes: not rated
EUR7.9m Class C notes: not rated

The transaction is a true-sale securitisation of prime Dutch residential mortgage loans originated and serviced by ING Bank N.V. (ING). This is the 11th transaction in the Orange Lion series.

Credit enhancement (CE) for the class A notes is 5.7% at closing, provided by the subordination of the class B notes (4.7%) and a non-amortising cash reserve (1%) fully funded at closing.

KEY RATING DRIVERS

Lower Credit Risk
With a weighted average (WA) original loan-to-market-value (OLTMV) of 82% and a WA debt-to-income ratio (DTI) of 28.6%, this portfolio compares favourably with recent Fitch-rated Dutch RMBS transactions. It has a smaller amount of loans with an OLTMV above 100% (13.8%). The portfolio is well seasoned (74 months) and contains 56.5% of interest-only loans. Of the borrowers, 9.9% are self-employed.

NHG Loans
The portfolio comprises 31.3% of loans that benefit from a Nationale Hypotheek Garantie (NHG) guarantee. No reduction in foreclosure frequency for the NHG loans was applied, since historical data provided did not show a clear pattern of lower defaults for NHG loans. Fitch was also provided with data on historical claims, which enabled the agency to determine a compliance ratio assumption resulting in an increased recovery rate.

Liquidity Support
In addition to a non-amortising reserve fund of 1% of the class A and B notes, which is fully funded at close through the issue of the class C notes, the transaction also includes a cash advance liquidity facility equal to 1.5% of the class A notes. These features provide sufficient liquidity to meet potential interest shortfall, senior fees and principal deficiencies on the class A notes.

Basis Hedge
The issuer entered into a swap with ING, exchanging the lesser of scheduled and actual interest on the mortgages, including interest earned on the transaction account, less senior fees and excess spread of 0.5%, for interest on the class A notes. Due to the nature of the swap structure, Fitch believes replacement would be at a higher cost and assumed senior fees are not fully covered by the swap in its cash flow analysis.

Concentrated Counterparty Exposure
This deal relies strongly on the creditworthiness of ING, which fulfils a number of roles. In respect of deposit set-off and commingling risk, Fitch gave full credit to mitigating structural features embedded in the transaction.

RATING SENSITIVITIES

Material increases in the frequency of defaults and loss severity on defaulted receivables could produce losses larger than Fitch's base case expectations, which in turn may result in negative rating actions on the notes. Fitch's analysis revealed that a 30% increase in the WA foreclosure frequency, along with a 30% decrease in the WA recovery rate, would result in a model-implied-downgrade of the class A notes to 'A+sf'.

More detail on key rating drivers and rating sensitivities are further described in the accompanying new issue report which is available at www.fitchratings.com.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
For its ratings analysis, Fitch received a data template with all fields fully completed.

Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated no adverse findings material to the rating analysis.

Overall and together with the assumptions referred to above, Fitch's assessment of the asset pool 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 tape in Fitch's ResiEMEA template provided by ING as at 31 March 2015 - Transaction reporting provided by ING as at 8 June 2015
- Static and dynamic performance data on ING's mortgage loan book
- Investor reports for the existing Orange Lion transactions
- A portfolio of 7,283 foreclosed properties, representing all loans foreclosed since 2000 provided by ING
- The House Price Index from the CBS (Statistics Netherlands)

MODELS
The models below were used in the analysis. Click on the link for a description of the model.

-ResiEMEA ResiEMEA
-EMEA Cash Flow Model EMEA Cash Flow Model

To analyse the credit enhancement levels, Fitch evaluated the collateral using its default model ResiEMEA. The agency assessed the transaction cash flows using default and loss severity assumptions under various structural stresses including prepayment speeds and interest rate scenarios. The cash flow tests showed that each class of notes could withstand loan losses at a level corresponding to the related stress scenario without incurring any principal loss or interest shortfall and ran retire by the legal final maturity.

REPRESENTATIONS AND WARRANTIES
A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms to those typical for that asset class is available by accessing the appendix that accompanies the new issue report (see "Orange Lion 2015-11 RMBS B.V. - Appendix", at www.fitchratings.com). In addition refer to the special report "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions" dated 26 March 2015 available on the Fitch website."