DBRS Confirms Ratings on the Notes Issued by BEST 2010 B.V.

DBRS Ratings Limited (DBRS) has today confirmed the ratings on the Notes issued by BEST 2010 B.V. (BEST 2010) as follows:

-- Senior Class A Mortgage-Backed Floating Rate Notes (Class A) rating is confirmed at AAA (sf)
-- Mezzanine Class B Mortgage-Backed Floating Rate Notes (Class B) rating is confirmed at AA (sf)
-- Junior Class C Mortgage-Backed Floating Rate Notes (Class C) rating is confirmed at BBB (low) (sf)

Today’s rating actions are based on the following analytical considerations, as described more fully below:

-- Portfolio performance, in terms of delinquencies and defaults as of 1 October 2015
-- Portfolio default rate, loss given default and expected loss assumptions for the life of the transaction
-- Substitution Criteria to allow replenishment of receivables during the revolving period are within the established thresholds
-- Current available credit enhancement to the Notes to cover the expected losses at the AAA (sf), AA (sf), and BBB (low) (sf) rating level

BEST 2010 closed in November 2010 and is a securitisation of a portfolio of Dutch residential mortgages originated by local cooperative credit institution members of Rabobank Nederland (the Group) 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 a part of the Group). The securitisation has a revolving period (ending on the October 2020 payment date) which allows the Issuer to replenish repayment of receivables subject to Mortgage Loan Criteria and Substitution Criteria.

Substitution Criteria to allow the continuation of replenishment of receivables during the revolving period include a 60 days arrears ratio less than 2.25% (currently 0.30%), a realised loss ratio as a percentage of the original portfolio less than 0.60% (currently 0.08%), the Principal Deficiency Ledger being equal to zero and no drawings on the Reserve Account. All criteria are currently met.

As of 30 September 2015, loans more than 90 days delinquent as a percentage of the outstanding collateral pool balance have remained low at 0.25%. The cumulative default rate and cumulative loss also remained low at 0.86% and 0.08% respectively. DBRS did not change its default rate, loss given default and expected loss assumptions on the transaction.

Credit enhancement to the Class A Notes is provided by subordination of the Class B Notes, Class C Notes and the Reserve Account. Credit enhancement to the Class B Notes is provided by subordination of the Class C Notes and the Reserve Account. Credit enhancement of the Class C Notes is provided by the Reserve Account. Current credit enhancement as a percentage of the outstanding Notes is 7.30% for Class A, 4.30% for Class B and 1.30% for Class C. The Reserve Account is fully funded at a target balance equal to 1.30% of the outstanding Notes. The transaction also has a liquidity facility which can by drawn upon to cover interest shortfalls should the Reserve Account be insufficient.

The Group is the Swap Counterparty, Account Bank, Floating Rate GIC Provider and Liquidity Facility Provider. The DBRS public rating of the Group is above the Minimum Institution Rating given the rating assigned to the Class A Notes as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” and DBRS “Derivative Criteria for European Structured Finance Transactions” methodologies.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is the “Master European Structured Finance Surveillance Methodology”, which can be found on www.dbrs.com at http://www.dbrs.com/about/methodologies.

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

An asset and a cash flow analysis were both conducted for informational purposes; however, because of the inclusion of a revolving period in the transaction and no change in assumptions, the initial analysis based on worst-case replenishment criteria set forth in the transaction legal documents was applied.

A review of the transaction legal documents was not conducted as the documents have remained unchanged since the most recent rating action.

Other methodologies referenced in this transaction are listed at the end of this press release. This may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to DBRS’s “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/ published on 24 May 2014.

The sources of information used for these ratings include reports provided by Intertrust Management B.V. and data from the European DataWarehouse.

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

DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the information available to it for the purposes of providing these ratings 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 27 November 2014, when Class A, B and C ratings were confirmed. The lead responsibilities for this transaction have been transferred to Kevin Ma.

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

To assess the impact of 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 1.21% and 24.11%, respectively. At the AAA (sf) rating level for Class A, the corresponding PD is 16.49% and the LGD is 45.06%. At the AA (sf) rating level for Class B, the PD is 9.52% and the LGD is 38.92%. At the BBB (low) (sf) rating level for Class C, the corresponding PD is 2.88% and the LGD is 29.97%.

-- 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 on the Class A Notes would be expected to be at AA (high) (sf), assuming no change in the PD. If the PD increases by 50%, the rating on the Class A Notes would be expected to be at AA (high) (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating on the Class A Notes would be expected to be at AA (low) (sf).

Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD, expected rating of AA (high) (sf)
-- 50% increase in PD, expected rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (low) (sf)

Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD, expected rating of AA (low) (sf)
-- 50% increase in PD, expected rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)

Class C Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of BBB (low) (sf)
-- 50% increase in LGD, expected rating of BBB (low) (sf)
-- 25% increase in PD, expected rating of BBB (low) (sf)
-- 50% increase in PD, expected rating of BBB (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BBB (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (high) (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: Alessio Pignataro
Initial Rating Date: 18 November 2010
Initial Rating Committee Chair: Quincy Tang

Lead Surveillance Analyst: Kevin Ma
Rating Committee Chair: Quincy Tang

DBRS Ratings Limited
1 Minster Court, 10th Floor Mincing Lane, London EC3R 7AA
United Kingdom
Registered in England and Wales: No. 7139960

The rating methodologies used in the analyses of this transaction can be found at: http://www.dbrs.com/about/methodologies

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

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