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Dec 10 (Reuters) - (The following statement was released by the rating agency)
Fitch Ratings has affirmed Candide Financing 2008, 2008-2, 2011-1 and 2012-1 B.V., as follows:
Candide Financing 2008 B.V.
Class A (ISIN XS0358345592) affirmed at 'AAAsf'; Outlook Stable
Candide Financing 2008-2 B.V.
Class A (ISIN XS0392368345) affirmed at 'AAAsf'; Outlook Stable
Candide Financing 2011-1 B.V.
Class A (ISIN XS0625067680) affirmed at 'AAAsf'; Outlook Stable
Class B (ISIN XS0625071526) affirmed at 'BBsf'; Outlook Stable
Candide Financing 2012 B.V.
Class A1 (ISIN XS0786896174) affirmed at 'AAAsf'; Outlook Stable
Class A2 (ISIN XS0786896505) affirmed at 'AAAsf'; Outlook Stable
Class B (ISIN XS0786896927) affirmed at 'AAsf'; Outlook Stable
Class C (ISIN XS0786897149) affirmed at 'Asf'; Outlook Stable
The Dutch prime RMBS transactions comprise loans originated by Bank of Scotland, Amsterdam Branch, which is a 100%-owned subsidiary of Lloyds Banking Group plc (A/Stable/F1). The portfolios of securitised loans are serviced by STATER Nederland B.V. (RPS1-).
KEY RATING DRIVERS
Performance In Line With Average Dutch Prime RMBS
The affirmations reflect the relatively low arrears compared with other Dutch RMBS transactions rated by Fitch and adequate credit enhancement, despite the difficulties in the Dutch mortgage market.
As of the most recent interest payment dates, three-month plus arrears ranged from 0.26% (Candide 2011-1) to 0.87% (Candide 2008) of the current pool balance, which are below or at the level of the Dutch prime three-month plus arrears figure of 0.87%. The outstanding balance of loans with properties sold at a loss ranged between 0.18% (Candide 2011-1) and 1.24% (Candide 2008) of the initial asset balance.
Candide 2011-1 Still Revolving
Candide 2011-1 is in its revolving period until July 2014 and the agency expects credit enhancement to start increasing thereafter. Fitch has analysed potential pool mix shifts during the remaining revolving period and modelled a worst-case scenario without any material impact on the current ratings.
Reserve Funds and Liquidity Facilities
The reserve funds are fully funded in all transactions. With the exception of Candide 2012 these facilities are non-amortising. The reserve funds cover for senior fees and interest on the rated classes in the event of a payment shortfall. Once the reserve funds are drawn, the liquidity facilities can be used for payment of senior fees and interest on the class A notes. The reserve funds also provide credit enhancement to the rated tranches.
The liquidity facilities are also fully funded in all deals and are amortising in Candide 2008 and 2012 and non-amortising in Candide 2008-2 and 2011-1.
Nationale Hypotheek Garantie (NHG) Loans
NHG loans comprise 6% and 4% of Candide 2011-1 and 2012 assets, respectively. Neither of the 2008 vintage transactions contain this type of loan. No reduction in base foreclosure frequency for the NHG loans was applied, as the historical performance data showed no divergence in the performance of the two product types.
RATING SENSITIVITIES
Deterioration in asset performance may result from economic factors, in particular the increasing effect of unemployment. A corresponding increase in new repossessions and associated pressure on excess spread levels and reserve funds could result in negative rating action.
