RPT-Fitch Affirms Belfius Bank's Pandbrieven at 'AAA'; Outlook Negative

Wed Apr 16, 2014 8:48am EDT

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April 16 (Reuters) - (The following statement was released by the rating agency)

Fitch Ratings has affirmed Belfius Bank SA/NV's (A-/Negative) mortgage cover pool pandbrieven at 'AAA' with Negative Outlook.

KEY RATING DRIVERS

The affirmation follows a revision of the breakeven overcollateralisation (OC) for the 'AAA' rating to 26% from 25.5%, following the issuance of further series, including unrated N-Bonds ranking pari-passu with the outstanding pandbrieven series, and all backed by the EUR5.06bn Belgian residential mortgage loan cover pool. This compares with the 34.4% of nominal OC which Fitch relies on in it analysis, corresponding to the lowest nominal OC over the last 12 months. Fitch's breakeven OC for the rating will be affected, among other things, by changes in the assets profile in relation to the pandbrieven, which will change over time.

The rating is further based on the Long-term Issuer Default Rating (IDR) of Belfius Bank SA/NV and an unchanged Discontinuity-Cap (D-Cap) of 4 (moderate). The Negative Outlook is driven by the Negative Outlook on Belfius Bank SA/NV's IDR and the IDR uplift of 1 assigned to the programme (see 'Fitch Affirms Belgian Pandbrieven on Criteria Amendments; Revises Belfius' Pandbrieven Outlook', dated 28 March 2014) and reflect Fitch's view that a potential downgrade of the bank's IDR may not be entirely compensated by the IDR uplift of 1.

RATING SENSITIVITIES

The Pandbrieven's 'AAA' rating is vulnerable to downgrade if any of the following occurs: (i) Belfius Bank's IDR was downgraded by two notches to 'BBB'; (ii) the current D-Cap of 4 (moderate) is revised down to 2 (high) or lower; (iii) the OC drops below Fitch's breakeven level of 26% for the 'AAA' rating.

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