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Fitch Revises Outlook on Belfius Bank's Pandbrieven to Stable; Affirms at 'AAA'
July 29, 2014 / 3:42 PM / in 3 years

Fitch Revises Outlook on Belfius Bank's Pandbrieven to Stable; Affirms at 'AAA'

(The following statement was released by the rating agency) PARIS/LONDON, July 29 (Fitch) Fitch Ratings has revised the Outlook on Belfius Bank SA/NV's (Belfius; A-/Negative/bbb+) mortgage pandbrieven to Stable from Negative. The pandbrieven have been affirmed at 'AAA'. The revision of the Outlook on the pandbrieven to Stable from Negative follows an upgrade of Belfius' Viability Rating (VR) to 'bbb+' from 'bb+' (see Fitch Affirms Belfius' IDR at 'A-'; Outlook Negative, Upgrades VR to 'bbb+', published 24 July 2014), and comes despite the Negative Outlook on the bank's Long-term Issuer Default Rating (IDR). This is because a potential downgrade of Belfius' IDR to its VR due to support reasons would be compensated by the IDR uplift of '1' assigned to the programme. The affirmation also follows a revision of Fitch's breakeven overcollateralisation (OC) for the 'AAA' rating to 23% from 26%. This was driven by the improved maturity mismatches between the assets and the liabilities under Fitch's updated cash flow analysis assumptions for the programme. KEY RATING DRIVERS The rating of the pandbrieven is based on Belfius' IDR (A-/Negative), an unchanged IDR uplift of 1 and an unchanged Discontinuity Cap (D-Cap) of 4 (moderate). In its analysis, Fitch relies on a nominal OC of 34.4%, which is the lowest observed over the last 12 months. RATING SENSITIVITIES The 'AAA' rating on the pandbrieven is vulnerable to a downgrade if any of the following occurs: (i) Belfius Bank's IDR is downgraded by two notches to 'BBB' or lower; (ii) the number of notches represented by the D-Cap and the IDR uplift is reduced to three or less; (iii) the level of OC which Fitch relies on in its analysis falls below the 'AAA' breakeven OC level. The 'AAA' breakeven OC of 23% is mainly driven by the cash flow valuation component (10.5%). The other components are the credit loss (8.5%) and the asset disposal (7.4%). As explained in the special report Breaking Down Breakeven Overcollateralisation, published on 8 July 2014, the 'AAA' breakeven OC differs from the sum of the components because the pandbrieven rating is based on recoveries of at least 91% in 'AAA', as opposed to 100%. The Fitch breakeven OC for the pandbrieven rating will be affected, among others, by the profile of the cover assets relative to outstanding pandbrieven, which can change over time, even in the absence of new issuance. Therefore the breakeven OC for the rating cannot be assumed to remain stable over time. Contact: Primary Analyst Will Rossiter Director +33 1 4429 9147 Fitch France 60 rue de Monceau 75008 Paris Secondary Analyst Francois le Roy Associate Director +33 1 4429 9175 Committee Chairperson Cosme de Montpellier Senior Director +44 20 3530 1407 Media Relations: Christian Giesen, Frankfurt am Main, Tel: +49 69 768076 232, Email: christian.giesen@fitchratings.com. Additional information is available at www.fitchratings.com. Applicable criteria, 'Covered Bonds Rating Criteria', dated 10 March 2014; 'Counterparty Criteria for Structured Finance and Covered Bonds' and 'Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum', both dated 14 May 2014; 'EMEA RMBS Master Rating Criteria', dated 28 May 2014; 'EMEA Residential Mortgage Loss Criteria', dated 28 May 2014; 'EMEA Criteria Addendum - Belgium, dated 4 June 2014; 'Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds', dated 23 January 2014; 'Covered Bonds Rating Criteria - Mortgage Liquidity and Refinancing Stress Addendum', rated 4 February 2014, are available at www.fitchratings.com. Applicable Criteria and Related Research: Covered Bonds Rating Criteria here Counterparty Criteria for Structured Finance and Covered Bonds here Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum here EMEA RMBS Master Rating Criteria here EMEA Residential Mortgage Loss Criteria here Criteria Addendum: Belgium - Residential Mortgage Loss and Cash Flow Assumptions here Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds here Covered Bonds Rating Criteria – Mortgage Liquidity and Refinancing Stress Addendum here Additional Disclosure Solicitation Status here ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: here. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

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