Morningstar DBRS Upgrades and Confirms Credit Ratings on BEST 2010 B.V.

DBRS Ratings GmbH (Morningstar DBRS) upgraded and confirmed its credit ratings on the bonds issued by BEST 2010 B.V. (the Issuer), as follows:
-- Senior Class A Mortgage-Backed Floating Rate Notes (Class A) confirmed at AAA (sf)
-- Mezzanine Class B Mortgage-Backed Floating Rate Notes (Class B) upgraded to AAA (sf) from AA (high) (sf)
-- Junior Class C Mortgage-Backed Floating Rate Notes (Class C) confirmed at A (sf)

The credit ratings address the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date in October 2099.

The credit rating actions follow an annual review of the transaction and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults, and losses as of the July 2024 payment date;
-- Portfolio default rate (PD), loss given default (LGD), and expected loss assumptions on the current pool of receivables; and
-- Current available credit enhancement to the notes to cover the expected losses at their respective credit rating levels.

The transaction is a securitisation of Dutch residential mortgages originated by local offices of Coöperatieve Rabobank U.A. (with a Morningstar DBRS Long-Term Critical Obligations Rating (COR) of AA (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 part of the Group). The transaction closed in November 2010 and included a 10-year revolving period that ended on the October 2021 payment date. The notes started amortising on a sequential basis after the end of the revolving period.

PORTFOLIO PERFORMANCE
As of the July 2024 payment date, loans that were two to three months in arrears represented 0.01% of the outstanding portfolio balance, down from 0.02% in July 2023; the 90+ delinquency ratio slightly increased to 0.05%, up from 0.04% in the prior-year same period; the cumulative default ratio was 0.9%, and the cumulative loss ratio was 4.5%.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the current pool of receivables and considered base case PD and LGD assumptions of 1.5% and 9.0%, respectively, slightly down from 1.8% and unchanged from 9.0%, respectively, from the previous annual review in September 2023.

CREDIT ENHANCEMENT
As of the July 2024 payment date, credit enhancements to the Class A, Class B, and Class C Notes were 10.1%, 6.0%, and 1.8%, respectively, up from 9.3%, 5.5%, and 1.7%, respectively, one year ago.

The transaction benefits from a reserve fund of EUR 650 million and a liquidity facility of EUR 731.7 million, which can be drawn upon to cover interest shortfalls should the reserve account be insufficient. The liquidity facility is currently undrawn.

Coöperatieve Rabobank U.A. acts as the account bank for the transaction. Based on the account bank's reference credit rating of AA, which is one notch below its Morningstar DBRS Long-Term COR of AA (high), the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit rating assigned to the Class A Notes, as described in Morningstar DBRS' "Legal Criteria for European Structured Finance Transactions" methodology.

Coöperatieve Rabobank U.A. also acts as the swap counterparty for the transaction and its COR of AA (high) is above the First Rating Threshold as described in Morningstar DBRS' "Derivative Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS' credit ratings on the notes also addresses the credit risk associated with the increased rate of interest applicable to the notes if the notes are not redeemed on the Optional Redemption Date (as defined in and) in accordance with the applicable transaction documents.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
Social (S) Factors
Around 15% of the pool consists of loans backed by the Dutch National Mortgage Guarantee (NHG) scheme. Morningstar DBRS considers that a relevant Social factor (Social Impact of Product & Services) as outlined within the Morningstar DBRS framework. Morningstar DBRS assumed reduced loss severity for loans backed by NHG guarantee as outlined in its "European RMBS Insight: Dutch Addendum" methodology. This is credit positive but did not affect the credit ratings. Please also refer to Morningstar DBRS' commentary on NHG for more details: https://www.dbrsmorningstar.com/research/366268/nhg-a-dutch-loan-guarantee-program-that-is-both-socially-supportive-and-credit-positive.

There were no Environmental/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings at: https://dbrs.morningstar.com/research/437781 (13 August 2024).

Morningstar DBRS analysed the transaction structure in Intex.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is the "Master European Structured Finance Surveillance Methodology" (6 August 2024), https://dbrs.morningstar.com/research/437540

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

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

In January 2024, Coöperatieve Rabobank U.A. communicated the following amendments to the transaction: extension of the FORD to July 2028 payment date and update of the replacement periods to 30 days (Cash Advance Facility) and 60 days (GIC and Bank Accounts). A review of any other transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent credit rating action.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/436000.

The sources of data and information used for these credit ratings include investor reports provided by Intertrust Administrative Services B.V., and loan-level data provided by the European DataWarehouse GmbH.

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

At the time of the initial credit ratings, Morningstar DBRS was supplied with third-party assessments. However, this did not impact the credit rating analysis.

Morningstar DBRS considers the data and information available to it for the purposes of providing these credit ratings to be of satisfactory quality.

Morningstar DBRS does not audit or independently verify the data or information it receives in connection with the credit rating process.

The last credit rating action on this transaction took place on 8 September 2023, when Morningstar DBRS confirmed its credit ratings on the Class A, Class B and Class C Notes at AAA (sf), AA (high) (sf) and A (sf), respectively.

The lead analyst responsibilities for this transaction have been transferred to Helvia Meana.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies is available at https://dbrs.morningstar.com.

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit ratings, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit ratings (the Base Case):

-- Morningstar DBRS expected a lifetime base-case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base-case assumptions and therefore have a negative effect on credit ratings.
-- The base-case PD and LGD of the current pool of loans for the Issuer are 1.5% and 9.0%, respectively.
-- The risk sensitivity overview below illustrates the credit 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 credit rating on the Class A Notes would be expected to remain at AAA (sf), assuming no change in the PD. If the PD increases by 50%, the credit rating on the Class A Notes would be expected to remain at AAA (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the credit rating on the Class A Notes would be expected to remain at AAA (sf).

Class A notes:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

Class B notes:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)

Class C notes:
-- 25% increase in LGD, expected credit rating of A (sf)
-- 50% increase in LGD, expected credit rating of A (low) (sf)
-- 25% increase in PD, expected credit rating of A (sf)
-- 50% increase in PD, expected credit rating of A (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of A (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BBB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BBB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BBB (high) (sf)

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

These credit ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Helvia Meana, Assistant Vice President
Rating Committee Chair: Rehanna Sameja, Senior Vice President
Initial Rating Date: 18 November 2010

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Tel. +49 (69) 8088 3500

Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

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

-- Legal Criteria for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435165
-- Master European Structured Finance Surveillance Methodology (6 August 2024),
https://dbrs.morningstar.com/research/437540
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024), https://dbrs.morningstar.com/research/437781
-- European RMBS Insight Methodology (25 March 2024) and European RMBS Insight Model v 9.0.0.0,
https://dbrs.morningstar.com/research/430103
-- European RMBS Insight: Dutch Addendum (11 March 2024),
https://dbrs.morningstar.com/research/429169
-- Operational Risk Assessment for European Structured Finance Servicers (6 August 2024),
https://dbrs.morningstar.com/research/437543
-- Interest Rate Stresses for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435278
-- Derivative Criteria for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435260

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

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.