DBRS Takes Rating Actions on Belgium RMBS Transactions

DBRS Ratings Limited (DBRS) has today taken rating actions on 8 classes from 4 Belgian RMBS transactions. All the 8 classes were confirmed. The notes of all the transactions listed below have been confirmed.

The rating actions are based upon the following analytical considerations:
• The update to the Belgian Residential Mortgage Addendum published in the Master European Residential Mortgage-Backed Securities Rating Methodology on 14 February 2013. There has been a 5% increase in the MVDs across all rating categories. No changes have been made to the default assumptions or the cost of sale assumptions.
• The transaction counterparties continue to meet the minimum rating thresholds for the given roles in the transaction as described in the DBRS Legal Criteria for European Structured Finance Transactions and Swap Criteria for European Structured Finance Transactions.
• Performance of the transaction since the last rating actions.
• The continued operational effectiveness of counterparties.

The following transactions were reviewed:

• B-Arena NV/SA Compartment No 3
• Penates Funding N.V/S.A Compartment Penates -4
• Record Lion NV/SA – Compartment Record Lion RMBS I
• Belgium Lion NV/SA – Compartment Belgian Lion RMBS II

Notes:
The principal methodologies applicable are:
• Legal Criteria for European Structured Finance Transactions
• Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional
Addenda
• Master European Structured Finance Surveillance Methodology
• Operational Risk Assessment for European Structured Finance Servicers
• Swap Criteria for European Structured Finance Transactions
• Unified Interest Rate Model Methodology for European Securitisations

These can be found on dbrs.com under Methodologies. For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of
Sovereign Risk on Securitisations in the Euro Area.”

The sources of information used for this rating include investor remittance reports and performance data relating to the receivables provided by the seller. DBRS considers the information available to it for the purposes of this rating action was of satisfactory quality.

For additional information on this rating, please see linking document

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

Lead Analyst: Alastair Bigley
Rating Committee Chair: Quincy Tang