Fitch Affirms SAECURE 15 B.V.
Class A1 (ISIN XS1028941620): affirmed at 'AAAsf'; Outlook Stable
Class A2 (ISIN XS1028942511): affirmed at 'AAAsf'; Outlook Stable
The mortgages backing the transaction are originated by Aegon Hypotheken B.V., a wholly owned subsidiary of Aegon Nederland NV.
KEY RATING DRIVERS
The transaction closed 12 months ago, during which arrears levels remained subdued. As of end-August 2015, early-stage arrears (loans in arrears by 1-2 months) stood at 0.22% of the current portfolio balance, while the late-stage arrears were limited at 0.04% of the outstanding portfolio balance.
At transaction close in 2014, Fitch applied a lender adjustment to address the weaker performance data of Aegon Hypotheken B.V.-originated transactions compared with other lenders in the Dutch market. The lender adjustment was also used in this performance review.
As of July 2015, 71.2% of the loans in the portfolio benefit from the national mortgage guarantee scheme (NHG). Fitch did not apply a reduction in its base foreclosure frequency for the NHG portion in the portfolio, as the data provided by Aegon did not show a difference between NHG and non-NHG mortgage performance.
Fitch received up-to-date Waarborgfonds Eigen Woning (WEW) compliance data from Aegon, which indicated a 90% compliance ratio for claims made to the WEW. This ratio is higher than the market average (85%) observed by Fitch, and was used in the agency's analysis of the transaction.
Insurance Policy Set-Off
The mortgages backed by insurance policies are exposed to insurance set-off risk in case of insolvency of the policy providers. In case of policy provider insolvency, borrowers may seek to set-off their mortgage payments against premiums paid under the insurance policies. Consequently, in its analysis Fitch assumed that borrowers exercise their right to set-off by increasing the expected loss derived in its EMEA RMBS Surveillance model across all rating scenarios by the exposure amount. The analysis showed that the increased expected losses had no effect on the notes' ratings, as reflected in their affirmation.
The structure is also exposed to possible commingling of borrower payments with the bankruptcy estate in case of insolvency of the collection account owner, Aegon Hypotheken B.V. As Aegon Hypotheken B.V. is not rated by Fitch, we consider it highly probable that borrowers will be notified to pay directly into the issuer's account only after Aegon Hypotheken B.V. has become insolvent. Fitch therefore assumed a loss of one month of interest and principal payments in the analysis. The current credit support available to the notes was sufficient to withstand these stresses.
Deterioration in asset performance may result from economic factors. A corresponding increase in new foreclosures and the associated pressure on excess spread, reserve fund and the liquidity facility beyond Fitch's assumptions could lead to negative rating action.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.
Prior to the transaction closing, 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.
Prior to the transaction closing, Fitch conducted a review of a small targeted sample of Aegon's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio.
Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.