Fitch Ratings has today assigned ratings to BASS MASTER ISSUER N.V.-S.A.'s Series 0-2008-I residential mortgage-backed floating-rate notes, due July 2052, with respect to a second tap issue of EUR1.513bn, and affirmed the ratings of the programme's first tranches. The second tap issue has been consolidated with the prior issued tranches of Series 0-2008-I to form a single Series 0-2008-I. Fitch has also assigned Loss Severity Ratings (LS) to the notes. The ratings are as follows:

EUR17.10bn class A floating rate notes: 'AAA'; Outlook Stable; Loss Severity Rating 'LS-1'
EUR570m class B floating rate notes: 'AA'; Outlook Stable; Loss Severity Rating 'LS-2'
EUR570m class C floating rate notes: 'A'; Outlook Stable; Loss Severity Rating 'LS-2'
EUR760m class D floating rate notes: 'BBB'; Outlook Stable; Loss Severity Rating 'LS-1'

The ratings address timely payment of interest and ultimate repayment of principal at legal final maturity in accordance with the terms and conditions of the notes. The ratings reflect the quality of the collateral, available credit enhancement and excess spread, as well as the sound legal and financial structure of the transaction. The ratings also reflect the servicing and underwriting quality of the mortgage loans.

The EUR19.171bn transaction is part of a EUR30bn programme involving the securitisation of Belgian real estate loans originated by Fortis Bank N.V.-S.A.('A+'/'F1+'/Rating Watch Positive). Credit enhancement (CE) for the Series 0-2008-I, the sole series of the programme, provided by subordination and a reserve fund, totals 10.90% for the class A notes, 7.90% for the class B notes, 4.90% for the class C notes and 0.90% for the class D notes.

The underlying portfolio at closing amounted to around 368,313 loans with an average loan amount of EUR77,765 and a total outstanding amount of approximately EUR19.171bn. Seasoning is four years. The transaction initially incorporates a two-year revolving period, running until July 2010, during which the issuer may purchase new mortgage receivables from the seller. Fitch based its analysis on a worst-case pro forma portfolio, relying on the conditions for the purchase of new mortgage receivables.

At closing, the issued notes had a soft bullet payment structure and if they are not amortised by July 2010, they will then switch to a pass-through structure after the step-up date in July 2010. The transaction benefits from a reserve fund which is funded with the proceeds obtained by the issuance of unrated class E notes, equaling 0.90% of the underlying portfolio balance at closing.