DBRS Confirms Ratings on the Class A Notes Issued by Belgian Lion SME II

DBRS Ratings Limited (“DBRS”) has today confirmed the AAA (sf) rating on the EUR 2,286,500,000 Class A1 and EUR 2,489,500,000 Class A2 Asset Backed Floating Rate Notes due November 2039 (the “Class A Notes”), issued by Belgian Lion NV / SA (Compartment Belgian Lion SME II) (the “Issuer”). The transaction is a cash flow securitisation collateralised by a portfolio of loans granted to self-employed, small and medium sized enterprises (“SMEs”) and corporate borrowers based in Belgium. The loans were originated by ING Belgium NV / SA (“ING”).

The rating on the Class A Notes addresses the timely payment of interest and the ultimate payment of principal on or before the Maturity Date in November 2039.

ING acts as the Swap Counterparty, Originator, Servicer and the Manager of the portfolio, and, as such, collects all payments from the borrowers before transferring the proceeds to the Issuer Account, which is also held by ING in its role as Account Bank (“GIC Provider”).

The Manager is using the replenishment period, that is scheduled to end in February 2015, to reinvest available proceeds as per the replenishment, portfolio and eligibility criteria. The rating confirmation reflects, among other considerations, that the composition of the current portfolio has not materially worsened since closing. To account for the replenishment period DBRS constructed a theoretical worst case portfolio where each individual replenishment criteria was stressed to its extreme value.

The credit enhancement for the Class A Notes is still enough to withstand our stress scenarios under the AAA (sf) rating. The aggregate current balance of the defaulted loans as of 12 August 2013 and after the last replenishment is 0.53 per cent of the current portfolio amount at the closing date. It does not exceed the stop replenishment event of 2.5 per cent. Overall, none of the stop replenishment events are triggered.

Notes:
All figures are in Euros unless otherwise noted.

The principal methodology applicable is “Master European Granular Securitisations (SME CLOs)”. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.

The sources of information used for this rating include the Issuer and ING.

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 extent of any factual investigation or independent verification depends on facts and circumstances.

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

This is the first rating action since the Initial Rating Date and as such there is no last rating date.

To assess the impact of the 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”):

• Probability of Default Rates used: Base Case PD assumed at 1.08%, a 10% and 20% increase in the base case PD.
• Recovery Rates used: Base Case Recovery Rate of 24.50% at the AAA (sf) stress level, a 10% and 20% decrease in the base case Recovery Rate.

DBRS concludes that a hypothetical increase of the base case PD by either 10% or 20% or a hypothetical decrease of the Recovery Rate either by 10% or 20%, ceteris paribus, would lead to a downgrade of the Notes to AA (high). A scenario combining both an increase in the PD by 10% and a decrease in the Recovery Rate by 10% would also lead to a downgrade of the Notes to AA (high).

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

For further information on DBRS’s historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

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

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

The lead responsibilities for this transaction have been transferred to Alfonso Candelas.

Initial Lead Analyst: Mudasar Chaudhry
Initial Rating Date: 14 August 2012
Initial Rating Committee Chair: Jerry Van Koolbergen

Lead Surveillance Analyst: Alfonso Candelas
Rating Committee Chair: Simon Ross

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

“Legal Criteria for European Structured Finance Transactions”
“Master European Structured Finance Surveillance Methodology”
“Master European Granular Corporate Securitisations (SME CLOs)”
“Unified Interest Rate Model for US and European Structured Credit”
“Derivative Criteria for European Structured Finance Transactions”