DBRS Assigns Rating to B-ARENA NV/SA, COMPARTMENT N°3 Notes

DBRS Ratings Limited (DBRS) has today assigned ratings to some of the notes issued under B-ARENA NV/SA, COMPARTMENT N°3 as shown below:
•AAA (sf) rating to the Class A1 notes aggregating EUR 300,000,000, paying a margin of 1.00% over 3 month Euribor;
•AAA (sf) rating to the Class A2 notes aggregating EUR 540,000,000, paying a margin of 1.00% over 3 month Euribor;

The Class B note, which is junior to the above class of notes, is not rated by DBRS.

B-Arena 3 is a securitisation of a portfolio of Belgian residential mortgages funded by the issuance of three classes of mortgage-backed notes. The mortgages were originated by Delta Lloyd Bank NV and will be serviced by Stater NV Belgium. This is the third issuance of pass-through mortgage-backed notes by Delta Lloyd Bank NV.

The rating is based upon review by DBRS of the following analytical considerations:

•The transaction’s capital structure and the form and sufficiency of available credit enhancement. Relevant credit enhancement is in the form of subordination and excess spread, if available. The Class A1 is the most senior class of notes in the structure, but shares a principal deficiency ledger with Class A2 notes. Both classes of notes are supported by a subordinated Class B note (16%) and a fully funded and non-amortising reserve fund (1%). While principal is paid sequentially, interest payments on Class A1 and Class A2 are on a pro rata and pari-passu basis. Any shortfalls in payment of senior fees and interest on Class A1 and Class A2 notes are supported by an amortising liquidity funding account (2.50%).

•Most of the loans in the mortgage portfolio pay a fixed rate to maturity (57.45%) and (42.55%) pay a short term fixed rate ranging from one year to 15 years. (The index on the variable rate loans are set by the National Bank of Belgium. The interest rates of the notes are linked to 3 month Euribor. The B-Arena 3 structure incorporates a swap to hedge the basis risk.

•The credit quality of the mortgages backing the notes and ability of the Servicer to perform collection activities on the mortgages.

•The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the transaction documents.

•The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

DBRS applied its Belgian RMBS Criteria to assess the mortgage loss on the underlying mortgage portfolio for Record Lion.

Note:
All figures are in EUR unless otherwise noted.

The principal methodologies applicable are Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda, Legal Criteria for European Structured Finance Transactions and Swap Criteria for European Structured Finance Transactions which can be found on www.dbrs.com.

The sources of information used for this rating include data relating historical performance and repossession data from Delta Lloyd Bank and performance history of publicly rated Belgian RMBS deals and mortgage default and house prices’ statistics from National Bank of Belgium. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This is a newly created financial instrument.

This is the first DBRS rating on this financial instrument.

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

For additional information on these ratings, please refer to the linking document.

Lead Analyst: Konstantine Pastras
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 23 January 2012