OREANDA-NEWS. Fitch Ratings has assigned Hypenn RMBS IV B.V.'s notes expected ratings as follows:

Class A1 floating-rate notes: 'AAA(EXP)sf'; Outlook Stable
Class A2 floating-rate notes: 'AAA(EXP)sf'; Outlook Stable
Class B Not rated

The transaction is a true sale securitisation of prime mortgage loans originated in the Netherlands by Nationale-Nederlanden Bank N.V. (NNB) and Nationale-Nederlanden Levensverzekering Maatschappij N.V. (NNL), which are wholly owned subsidiaries of NN Group N.V. This is NNB's fourth RMBS transaction.

Credit enhancement (CE) for the class A notes will be 6.5% at closing, provided by the subordination of the junior notes.

KEY RATING DRIVERS
Above-Average LTV
The 57-month seasoned static portfolio consists of prime residential mortgage loans with a weighted average (WA) original loan-to-market value (OLTMV) of 94.6% and a debt-to-income ratio (DTI) of 27.1%. The WA OLTMV is around 6% above the level typically seen in Fitch-rated Dutch RMBS transactions.

Very Long Note Maturity
Of the loans, 20.2% are perpetual interest only and do not have a final maturity date. The final legal maturity of the notes is therefore extended and adds a degree of uncertainty to the transaction.

No NHG Loan Foreclosure Adjustment
Of the loans, 26.3% benefit from a Nationale Hypotheek Garantie (NHG). Fitch has not applied a reduction in foreclosure frequency for the NHG loans, as the historical data provided did not show a clear pattern of lower defaults for the originator's NHG loans. Fitch was also provided with data on historical claims, which enabled the agency to determine a compliance ratio assumption.

Liquidity Support
A cash advance facility of 2% of the class A notes (floored at 1% of class A at close) will be available as liquidity support that can be used to meet senior costs and class A interest shortfalls. The non-amortising reserve fund will only build up after close through excess spread to its target of 1% of the class A notes at close.

Hedged Transaction
The issuer will enter into a fixed-floating interest rate swap agreement with ING Bank N.V. to hedge the mismatch between the fixed-rate loans and the floating-rate class A1 and A2 notes. Under the swap, the issuer will exchange scheduled interest on the mortgages, less senior fees and excess spread of 0.5%, in return for interest owed on the class A1 and A2 notes, less any recorded principal deficiency.

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 presale 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 rating 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. This is the same AUP report as received for the previous Hypenn III transaction, as the remaining assets of the eligible mortgage pool are being securitised in this transaction
The report indicated a higher amount of errors than typically encountered in regard to the properties' market values and borrower's income. Hence, Fitch made conservative adjustments to the properties' market values and borrowers' income for a certain proportion of the pool, reflecting the respective error rates shown in the AUP

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 NNB as at 31 July 2015
- Preliminary transaction reporting provided by NNB as at September 2015
- Static cumulative and dynamic arrears data on NNB's mortgage loan book
- Investor reports for the existing Hypenn transactions
- A portfolio of 2,186 foreclosed properties (after correcting for missing data), representing all loans foreclosed since 2005 provided by NNB
- The House Price Index from the CBS (Statistics Netherlands)