DBRS Confirms the Ratings on the Notes Issued by B-Arena NV/SA - Compartment 3

DBRS Ratings Limited (“DBRS”) has today confirmed and removed from Under Review with Developing Implications the AAA (sf) ratings on the Class A1 and Class A2 Notes issued by B-Arena NV/SA – Compartment 3 (the “Issuer”).

The Notes were previously placed Under Review with Developing Implications on 25 April 2014 based upon an updated analysis of the transaction given the exposure to the swap counterparty, The Royal Bank of Scotland plc (“RBS”, rated A (low)/R-1 (low)), following the breach of the Second Trigger Required Ratings, as defined in the swap documentation.

The confirmation of the ratings for the Class A1 and Class A2 Notes is based upon notification of the resolution of the remedial actions taken by the Issuer. In fact, in September 2014 the Issuer executed a Deed of Amendment and Restatement relating to the swap schedule and CSA which has resulted in lowering of both the First Trigger Required Ratings and Second Trigger Required Ratings.

The current DBRS public rating of RBS complies with the DBRS First Rating Threshold given the rating assigned to the Class A1 and A2 Notes and supported by RBS posting collateral, as described in the DBRS Derivative Criteria for European Structured Finance Transactions.

B-Arena NV/SA ‐ Compartment 3 is a securitisation of a portfolio of residential mortgage loans originated by Delta Lloyd Bank NV/SA and serviced by the same bank and its sub-agent Stater Belgium NV. The loans are secured by first ranking mortgages on residential properties located in Belgium.

Notes:
All figures are in Euro unless otherwise noted.
The principal methodology applicable is the Master European Structured Finance Surveillance Methodology. 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 investor reports provided by Intertrust Administrative Services B.V. and data provided by RBS and from European DataWarehouse. DBRS considers the information available to it for the purposes of providing this rating was 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 on this transaction took place on 12 August 2014, when DBRS extended the Under Review with Developing Implications on the Class A1 and Class A2 Notes.

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

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”):
• DBRS expected a lifetime base case Probability of Default (PD) and Loss Given Default (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 mortgages for the Issuer are 1.64% and 10.40%, respectively. At the AAA (sf) rating level, the corresponding PD is 22.67% and the LGD is 36.95%.
• 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 of the Class A1 Notes would be expected to remain at AAA (sf), assuming no change in the PD. If the PD increases by 50%, the rating for the Class A1 Notes would be expected to remain at AAA (sf), assuming no change in the LGD. Furthermore, if both PD and LGD increase by 50%, the rating of the Class A1 Notes would be expected to remain at AAA (sf).

Class A1 Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of AAA (sf)
• 50% increase in LGD, expected rating of AAA (sf)
• 25% increase in PD, expected rating of AAA (sf)
• 50% increase in PD, expected rating of AAA (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
• 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of AAA (sf)

Class A2 Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of AAA (sf)
• 50% increase in LGD, expected rating of AAA (sf)
• 25% increase in PD, expected rating of AAA (sf)
• 50% increase in PD, expected rating of AAA (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
• 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of AAA (sf)

For further information on DBRS 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.

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

Initial Lead Analyst: Konstantine Pastras
Initial Rating Date: 25 January 2012
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Diana Turner

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