TEXT-Fitch affirms Achmea's covered bonds at 'AAA'

June 19 - Fitch Ratings has affirmed Achmea Hypotheekbank N.V.'s (Achmea,
'A-'/Stable/'F2') outstanding covered bonds at 'AAA' following a review of the
programme. The outstanding covered bonds total EUR2.907bn and are guaranteed by
Achmea Covered Bond Company B.V. (the CBC), a special purpose company
established under Dutch Law.

The rating of the covered bonds is based on Achmea's Long-term Issuer Default
Rating (IDR) of 'A-' and Discontinuity Factor (D-Factor) of 17.6%, which enable
the mortgage covered bonds to be rated as high as 'AA+' on a probability of
default (PD) basis. The rating also reflects the quality of the collateral and
the over-collateralisation (OC), which is sufficient to pass 'AA+' stress
scenarios and provide for a one notch uplift for high recoveries under 'AAA'
stresses, given default of the covered bonds. All else being equal, the covered
bonds can remain at 'AAA' as long as Achmea's LT IDR is at least 'A-'.

The D-Factor is driven mainly by the strong asset segregation of the cover pool,
the 12 months extendible maturity of the covered bonds and three month interest
reserve that protect against liquidity gaps following issuer insolvency. Fitch
also analysed the contractual provisions for alternative management post-issuer
insolvency and the swap counterparty arrangements in place.

In a 'AAA' stress, expected recoveries given default of the covered bonds exceed
51%. Under Fitch's methodology, this enables Achmea to be rated 'AAA' when
giving credit to recoveries. The asset percentage (AP) supporting the assigned
ratings decreased to 75.0%, from 78.3%. The change in the AP supporting the
rating is driven by Fitch's updated Dutch mortgage loss criteria (see 'Fitch
Updates Dutch Residential Mortgage Loss & Cash Flow Assumptions ' dated 14 June
2012 at www.fitchratings.com) and the increasing level of asset and liability
mismatch in the programme. The AP supporting the rating is higher than the
highest observed AP over the past 12 months of 73.5%.

As of 30 April 2012, the cover pool consisted of 47,944 loan parts made to
22,045 borrowers, with an aggregate outstanding balance of EUR3.940bn. The
portfolio has a weighted-average (WA) original loan to foreclosure value of
82.1% and a WA current loan to market value of 78.8%. Of the cover pool, 57.7%
are interest-only mortgages, 88.1% are fixed-rate and the pool is well-seasoned
with a WA seasoning of 7.6 years. The portfolio is well-diversified over the
Dutch regions. In a 'AAA' stress scenario, Fitch has calculated the pool's
cumulative WA frequency of foreclosure to be 16.3% with a WA loss severity of
49.3%.

Fitch modelled the cover pool and covered bonds in a wind-down situation,
assuming the issuer is insolvent. Due to the shorter WA remaining time to
maturity of the covered bonds versus that of the cover pool (1.5 years versus
15.2 years), liquidity has to be raised from the pool in order to pay the
covered bonds on a timely basis. The agency assumes this will be done by selling
parts of the portfolio at a stressed cost.

The cover pool yields a mix of fixed and floating interest, while the covered
bonds are issued at a fixed rate. Interest mismatches on the cover pool are
hedged by Achmea, with Royal Bank of Scotland plc ('A'/Stable/'F1') acting as
back-up swap provider. The interest and currency mismatches on the covered bonds
are fully hedged by various external swap counterparties, which meet the minimum
thresholds under Fitch's covered bond counterparty criteria.

The level of AP supporting the rating will be affected by various factors
including the profile of the cover assets relative to outstanding covered bonds,
which can change over time, even in the absence of new issuances. Therefore it
cannot be assumed to remain stable over time.

Fitch has published an exposure draft outlining a number of enhancements to its
criteria for rating covered bonds (see 'Fitch: Exposure Draft: Global Covered
Bonds Rating Criteria' dated 30 May 2012 at www.fitchratings.com). If
implemented as proposed, the criteria changes would not impact the rating of
Achmea's covered bonds.

Additional information is available on www.fitchratings.com.

The ratings above were solicited by, or on behalf of, the issuer, and therefore,
Fitch has been compensated for the provision of the ratings.

Applicable criteria, 'Covered Bonds Rating Criteria', dated 30 May 2012,
'Covered Bonds Counterparty Criteria', dated 13 March 2012, 'EMEA Residential
Mortgage Loss Criteria Addendum - Netherlands', dated 14 June 2012 and 'EMEA
Residential Mortgage Loss Criteria', dated 7 June 2012 are available on
www.fitchratings.com.

Applicable Criteria and Related Research:
Covered Bonds Rating Criteria
Exposure Draft: Covered Bonds Counterparty Criteria
EMEA Criteria Addendum - Netherlands - Mortgage Loss and Cash Flow Assumptions
EMEA Residential Mortgage Loss Criteria