Fitch Affirms Lunet 2013-1 at 'AAAsf'; Outlook Stable

Van Lanschot Kempen NV

05/03/2018 16:28

(The following statement was released by the rating agency)


Fitch Ratings-London-March 05: Fitch Ratings has affirmed Lunet RMBS 2013-1 
B.V.'s class A2 (XS0979672457) and class B (XS0979676367) notes at 'AAAsf'. The 
agency has removed the notes from Rating Watch Evolving (RWE), and assigned a 
Stable Outlook.

The transaction is a securitisation of Dutch residential mortgages originated by 
F. Van Lanschot Bankiers N.V. (Van Lanschot; BBB+/Stable/F2). 

The rating action follows the application of the European RMBS Rating Criteria 
published on 27 October 2017.

KEY RATING DRIVERS

European RMBS Rating Criteria

Fitch applied its updated European RMBS Rating criteria in the analysis of the 
portfolio, leading to the resolution of the RWE.

Sound Asset Performance

Asset and transaction performance has remained stable since Fitch's last review 
in October 2017. Delinquency levels have been low and stable, with late stage 
(loans in arrears by more than three months) and total arrears below 0.1% and at 
0.4% of outstanding collateral balance as of November 2017 respectively.

Late-stage delinquencies have typically begun to re-perform, or go under 
negotiations for a repayment plan with Van Lanschot and, as such, no foreclosure 
has occurred since the last review. Cumulative foreclosures stand at 0.1% of the 
original portfolio balance, with only one foreclosure having occurred since 
closing in 2013 and no loss realised after post-foreclosure recoveries.

Fitch expects the transaction performance to remain stable in the next period, 
due to the high seasoning and the good credit quality of the portfolio.

Steady Credit Enhancement (CE) build-up

CE available to class A and B notes, provided by the collateralised assets and 
by a dynamic, non-amortising reserve fund (currently 1.6% of total notes 
balance), marginally increased to 30.8% and 23.3% respectively, after the 
December 2017 note payment date.

Fitch expects CE available to the senior notes to continue to increase, due to 
the strictly sequential amortisation of the notes.

RATING SENSITIVITIES

Adverse macroeconomic factors may affect asset performance. An increase in 
foreclosures and losses beyond Fitch's stresses may erode CE, leading to 
negative rating action. 

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10 

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in 
relation to this rating action.

DATA ADEQUACY

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 affected the rating 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. The agreed-upon 
procedures report showed a higher amount of errors than typically encountered, 
with especially high error rates for property values and income information. 
These findings were considered in the analysis at closing and in subsequent 
reviews by applying a lender adjustment of 5%, as well as a property valuation 
haircut of 12% to the valuation provided for 10% of the properties in the pool.

Prior to the transaction closing, Fitch conducted a review of a small targeted 
sample of the originator'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.

SOURCES OF INFORMATION

The information below was used in the analysis. 

-Loan-by-loan data provided by the European Data Warehouse as at 30 November 
2017.

-Transaction reporting provided by Intertrust Administrative Services B.V. as at 
28 December 2017.

MODELS

 
ResiEMEA. /a 

EMEA Cash 
Flow Model. /a 

Contacts: 

Lead Surveillance Analyst

Francesco Ronca

Analyst

+44 20 3530 1773

Fitch Ratings Limited

30 North Colonnade

London E14 5GN

Committee Chairperson 

Sanja Paic, CFA

Senior Director

+44 20 3530 1282

Media Relations: Athos Larkou, London, Tel: +44 203 530 1549, Email: 
athos.larkou@fitchratings.com.

Additional information is available at www.fitchratings.com.

Applicable Criteria 

European RMBS Rating Criteria (pub. 02 Feb 2018)

https://www.fitchratings.com/site/re/10018676

Fitch's Interest Rate Stress Assumptions for Structured Finance and Covered 
Bonds - Excel File   (pub. 02 Feb 2018)

https://www.fitchratings.com/site/re/10018863

Global Structured Finance Rating Criteria (pub. 03 May 2017)

https://www.fitchratings.com/site/re/897411

Structured Finance and Covered Bonds Counterparty Rating Criteria (pub. 23 May 
2017)

https://www.fitchratings.com/site/re/898537

Structured Finance and Covered Bonds Counterparty Rating Criteria: Derivative 
Addendum (pub. 23 May 2017)

https://www.fitchratings.com/site/re/898538

Structured Finance and Covered Bonds Interest Rate Stresses Rating Criteria 
(pub. 02 Feb 2018)

https://www.fitchratings.com/site/re/10018549

Additional Disclosures 

Dodd-Frank Rating Information Disclosure Form 

https://www.fitchratings.com/site/dodd-frank-disclosure/10022487

Solicitation Status 

https://www.fitchratings.com/site/pr/10022487#solicitation

Endorsement Policy 

https://www.fitchratings.com/regulatory

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