DBRS Confirms Ratings on the Notes Issued by BEST 2010 B.V.

DBRS Ratings Limited (DBRS) has today confirmed the ratings on the Notes issued by BEST 2010 B.V. (BEST 2010) as follows:

-- Senior Class A Mortgage-Backed Floating Rate Notes (Class A Notes) at AAA (sf)
-- Mezzanine Class B Mortgage-Backed Floating Rate Notes (Class B Notes) at AA (sf)
-- Junior Class C Mortgage-Backed Floating Rate Notes (Class C Notes) at BBB (low) (sf)

Today’s rating actions are based on the following analytical considerations, as described more fully below:

-- Portfolio performance, in terms of delinquencies and defaults as of 30 September 2016.
-- Portfolio probability of default (PD) rate, loss given default (LGD) and expected loss (EL) assumptions.
-- Substitution Criteria to allow replenishment of receivables during the revolving period are within the established thresholds.
-- Current available credit enhancement to the Notes to cover the expected losses at the AAA (sf), AA (sf), and BBB (low) (sf) rating levels.

BEST 2010 closed in November 2010 and is a securitisation of a portfolio of Dutch residential mortgages originated by local cooperative credit institution members of Rabobank Nederland (the Group, with DBRS Critical Obligations Ratings of AAA/R-1 (high)) and Rabohypotheekbank N.V. Servicing of the mortgages is conducted by the relevant local cooperative or Service Centrum Financieren (a centralised service centre which is a part of the Group). The securitisation has a revolving period (ending on the October 2020 payment date) which allows the Issuer to replenish the repaid receivables subject to the Mortgage Loan Criteria and Substitution Criteria.

Substitution Criteria to allow the continuation of replenishment of receivables during the revolving period include a 60 days arrears ratio being less than 2.25% (currently 0.28%), a realised loss ratio as a percentage of the original portfolio balance being less than 0.60% (currently 0.10%), the Principal Deficiency Ledger being equal to zero and no drawings on the Reserve Account. All criteria are currently met.

As of 30 September 2016, loans more than 90 days delinquent as a percentage of the outstanding collateral pool balance have remained low at 0.21%. The cumulative default rate and cumulative loss as a percentage of collateral balance at the transaction closing plus the cumulative loan replenishment amount also remained low at 1.10% and 0.06%, respectively. DBRS has maintained its PD, LGD and EL assumptions on the transaction.

Credit enhancement to each class of rated notes remains unchanged and is provided by their subordinated notes and the Reserve Account. Current credit enhancement is 7.30% for the Class A Notes, 4.30% for the Class B Notes and 1.30% for the Class C Notes. The Reserve Account is fully funded at a target balance equal to 1.30% of the outstanding note balance. The transaction also has a liquidity facility which can be drawn upon to cover interest shortfalls should the Reserve Account be insufficient.

The Group is the Swap Counterparty, Account Bank, Floating Rate GIC Provider and Liquidity Facility Provider to the transaction. The Group’s reference rating, being one notch below the Long-Term Critical Obligations Rating of AAA, is above the Minimum Institution Rating as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology and meets the minimum required rating as described in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology given the rating assigned to the Class A Notes.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is: Master European Structured Finance Surveillance Methodology.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

An asset and a cash flow analysis were both conducted. However, due to the inclusion of a revolving period in the transaction and no change in assumptions, the initial analysis based on worst-case replenishment criteria set forth in the transaction legal documents was assumed.

A review of the transaction legal documents was not conducted as the documents have remained unchanged since the most recent rating action

Other methodologies referenced in this transaction are listed at the end of this press release.

These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of information used for this rating include the investor reports from Intertrust Management B.V., and the loan-by-loan data from European DataWarehouse GmbH.

DBRS does not rely upon third-party due diligence in order to conduct its analysis.

DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the information available to it for the purposes of providing this rating to be of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action took place on 27 November 2015, when DBRS confirmed all the rated Notes.

Information regarding DBRS ratings, including definitions, policies and methodologies, is available on www.dbrs.com.

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the Base Case):

-- The Base Case PD and LGD at the AAA (sf) rating level are 16.49% and 45.06%, respectively; at the AA (sf) rating level, they are 9.52% and 38.92%, respectively; at the BBB (low) rating level, they are 2.88% and 29.97%, respectively.

-- The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the Base Case assumption. For example, if the LGD increases by 50%, the rating on the Class A Notes would be expected to be at AA (high) (sf), assuming no change in the PD. If the PD increases by 50%, the rating on the Class A Notes would be expected to be at AA (high) (sf), assuming no change in the LGD. Furthermore, if both the PD and the LGD increase by 50%, the rating on the Class A Notes would be expected to be at AA (sf).

Class A Notes risk sensitivity:
-- 25% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD, expected rating of AA (high) (sf)
-- 50% increase in PD, expected rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (sf)

Class B Notes risk sensitivity:
-- 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in LGD, expected rating of AA (low) (sf)
-- 25% increase in PD, expected rating of AA (sf)
-- 50% increase in PD, expected rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)

Class C Notes risk sensitivity:
-- 25% increase in LGD, expected rating of BBB (low) (sf)
-- 50% increase in LGD, expected rating of BBB (low) (sf)
-- 25% increase in PD, expected rating of BBB (low) (sf)
-- 50% increase in PD, expected rating of BBB (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BBB (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (high) (sf)

For further information on DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Lead Analyst: Kevin Ma, Assistant Vice President
Rating Committee Chair: Quincy Tang, Managing Director
Initial Rating Date: 18 November 2010

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960

The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

-- Unified Interest Rate Model for European Securitisations
-- Legal Criteria for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- Derivative Criteria for European Structured Finance Transactions

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375