(Repeat for additional subscribers)
Jan 20 (The following statement was released by the rating agency)
Fitch Ratings has affirmed of Hypenn RMBS I B.V., as follows:
Class A1 (ISIN NL0010511093) affirmed at 'AAAsf'; Outlook Stable
Class A2 (ISIN NL0010511101) affirmed at 'AAAsf'; Outlook Stable
Class A3 (ISIN NL0010511119) affirmed at 'AAAsf'; Outlook Stable
The Dutch prime RMBS transaction, which closed in July 2013, comprises loans originated by Nationale-Nedelanden Bank (NNB) and Nationale-Nederlanden Leven. The originators are unrated and indirect subsidiaries of ING Group (A/Negative/F1). The servicer is ING Bank (A+/Negative/F1+).
KEY RATING DRIVERS
The affirmations reflect the performance of the underlying assets. As of the December 2013 payment date, three-month plus arrears stood at 0.05% of the current pool balance, and no foreclosures had been reported.
The non-amortising reserve fund has been fully funded by capturing excess spread and stands at its target of 1.0% of the mortgage balance as of closing. The reserve fund is available to cover interest shortfalls and clear principal deficiency ledgers on all notes.
The transaction is in a five-year and five-month revolving period until November 2018 and Fitch expects credit enhancement to start increasing thereafter. Fitch has analysed a potential shift in portfolio characteristics during the remainder of the revolving period and modelled a worst-case scenario. The analysis showed that the available credit enhancement is sufficient to withstand these stresses. Nationale Hypotheek Garantie (NHG) Loans
The portfolio comprises 21.6% NHG loans. Fitch did not apply a reduction in base foreclosure frequency for the NHG loans, as the historical data received from the originator did not show a difference in the performance of NHG and non-NHG loans. Fitch also used historical claim data received from the Waarborgfonds Eigen Wonigen (WEW) to determine the compliance ratio assumption, which led to higher recovery rates for NHG loans.
Deterioration in asset performance may result from economic factors, in particular the increasing effect of unemployment. A corresponding increase in new foreclosures and the associated pressure on excess spread, reserve fund and liquidity facility could result in negative rating action.