Fitch Affirms Three and Upgrades Two Tranches of Green Lion I B.V.

Fitch Ratings has affirmed three and upgraded two tranches of Green Lion I B.V. The securitised mortgages were originated and are serviced by Westland Utrecht Bank (WUB) which is part of ING Bank ('A+'/Negative/'F1+').

A full list of rating actions is available at the end of this commentary.

KEY RATING DRIVERS

Stable Performance

The affirmations reflect the performance of the underlying assets. As of the March 2015 payment date, three-month plus arrears stood at 0.91% of the outstanding collateral balance, which is marginally above the Dutch prime three-month plus arrears figure of 0.84%. The outstanding balance of loans with properties sold at or without a loss stood at 0.64% of the initial collateral balance. Fitch has calculated the average recovery rate for the loans as 67% of the outstanding loan amount. Fitch expects the performance to remain stable due to an improved economic environment and house price growth in the Netherlands.

The upgrades of class B and C are driven by the levels of credit enhancement available to the rated tranches which are sufficient to withstand higher rating stresses.

Reserve Fund

The transaction structure allows for the provisioning of realized loss once the sale of the repossessed property occurs. At the last payment date in March 2015, gross excess spread and recoveries were insufficient to fully cover the period realized losses. As a result, the reserve fund presently stands at 99.6% of its targets. However, given the continuing house price growth and recovery rate seen to date together with the guaranteed excess spread of 0.25% per annum Fitch expects the reserve fund to replenish to its target level in the coming payment dates.

RATING SENSITIVITIES

Deterioration in asset performance may result from economic factors, in particular the increasing effect of unemployment. A corresponding increase in new defaults and associated pressure on excess spread levels and reserve fund could result in negative rating action, particularly for the junior tranches.

Fitch has taken the following rating actions:

Green Lion I B.V.

--Class A2 (NL0009704147) affirmed at 'AAAsf'; Outlook Stable;

--Class A3 (NL0009704154) affirmed at 'AAAsf'; Outlook Stable;

--Class A4 (NL0009704162) affirmed at 'AAAsf'; Outlook Stable;

--Class B (NL0009704170) upgraded to 'AAAsf' from 'AA-sf'; Outlook Stable;

--Class C (NL0009701488) upgraded to 'BBB+sf' from 'BBBsf''; Outlook Stable.

Additional information is available at www.fitchratings.com.

Sources of information - Investor and Servicer reports were provided by Intertrust Group and loan-by-loan data by European Data Warehouse.

Applicable criteria, 'Global Structured Finance Rating Criteria' dated 4 August 2014, 'Counterparty Criteria for Structured Finance and Covered Bonds' dated 13 May 2014, 'Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum' dated 13 May 2014, , 'EMEA Criteria Addendum - Netherlands - Mortgage Loss and Cash Flow Assumptions' dated 03 June 2014, 'EMEA Residential Mortgage Loss Criteria' dated 28 May 2014, 'EMEA RMBS Cash Flow Analysis Criteria' dated 28 May 2014, 'EMEA RMBS Master Rating Criteria' dated 28 May 2014 and 'Global Criteria for Lenders' Mortgage Insurance in RMBS' dated 23 June 2014 are available at www.fitchratings.com.

Applicable Criteria and Related Research:

EMEA Residential Mortgage Loss Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=749272

EMEA RMBS Cash Flow Analysis Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=749273

EMEA RMBS Master Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=749271

Global Criteria for Lenders' Mortgage Insurance in RMBS

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=749070

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389

Counterparty Criteria for Structured Finance and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744175

Criteria Addendum: Netherlands - Residential Mortgage Loss and Cash Flow Assumptions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=749548

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=981953

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