DBRS Confirms Ratings on BEST 2010 B.V.

DBRS Ratings Limited (DBRS) took the following rating actions on the Notes issued by BEST 2010 B.V. (the Issuer):

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

The ratings on the Class A Notes, Class B Notes, and Class C Notes address the timely payment of interest and ultimate payment of principal on or before the legal final maturity date.

The rating actions follow an annual review of the transaction and are based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies, defaults and losses.
-- Portfolio default rate (PD), loss given default (LGD) and expected loss assumptions on the remaining receivables.
-- Current available credit enhancement to the notes to cover the expected losses at their respective rating levels.
-- No revolving termination events have occured.

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 Coöperatieve Rabobank U.A. (the Group, with DBRS Long-Term Critical Obligations Ratings (COR) of AAA/R-1 (high)) 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 part of the Group). The securitisation has a revolving period ending on the October 2020 payment date, which allows the Issuer to replenish the repaid receivables subject to the Mortgage Loan Criteria and Substitution Criteria.

The Substitution Criteria allow the continuation of replenishment of receivables during the revolving period subject to certain triggers, including the 60 days arrears ratio being less than 2.25% (currently 0.2%), the realised loss ratio as a percentage of the original portfolio balance being less than 0.60% (currently 0.1%), the Principal Deficiency Ledger being equal to zero and no drawings being made from the Reserve Account. All criteria are currently met.

PORTFOLIO PERFORMANCE AND ASSUMPTIONS
As of April 2018, loans in two- to three-month arrears represented 0.03% of the outstanding portfolio balance, down from 0.1% in April 2017. The 90+ delinquency ratio was 0.1%, down from 0.2% one year prior. Furthermore, as of April 2018, the cumulative default ratio was 1.1% and the cumulative loss ratio was 0.1%. DBRS has updated its base case PD and LGD assumptions to 2.8% and 12.9%, respectively, for this review following the analysis on the latest loan-by-loan data.

CREDIT ENHANCEMENT AND RESERVE FUND
Credit enhancement to each class of rated notes remained unchanged and is provided by their subordinated notes and the Reserve Account. As of April 2018, credit enhancement was 7.30% for the Class A Notes, 4.30% for the Class B Notes and 1.30% for the Class C Notes. The transaction benefits from a Reserve Account and is currently at its EUR 650 million target amount, which is equal to 1.30% of the total outstanding balance of the rated notes. The transaction also has a liquidity facility of EUR 1,010 million which can be drawn upon to cover interest shortfalls should the Reserve Account be insufficient.

The Group acts as the Account Bank and the Swap Counteparty for the transaction. The Account Bank reference rating of AA (high) - being one notch below the Group’s DBRS public Long-Term COR of AAA - is consistent with 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" methodology. The Group's public Long-Term COR is also above the First Rating Threshold as described in DBRS's "Derivative Criteria for European Structured Finance Transactions" methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is the “Master European Structured Finance Surveillance Methodology”. 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. Due to the inclusion of a revolving period in the transaction, the analysis continues to be based on the worst-case replenishment criteria.

A review of the transaction legal documents was not conducted as the legal 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. These 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 “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/319564/rating-sovereign-governments.pdf

The sources of data and information used for these ratings include investor reports provided by Intertrust Administrative Services B.V., the Issuer Administrator., and loan-level data provided by the European DataWarehouse GmbH.

DBRS did not rely upon third-party due diligence in order to conduct its analysis. At the time of the initial rating, DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on this transaction took place on 19 May 2017, when DBRS confirmed the ratings of the all the rated notes.

Information regarding DBRS ratings, including definitions, policies and methodologies is available at www.dbrs.com.

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios as compared with the parameters used to determine the rating (the “Base Case”):

-- DBRS expected a lifetime base case PD and LGD for the pool based on a review of the revolving pool. 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 for the revolving collateral pool are 2.8% and 12.9%, respectively. At the AAA (sf) rating level, the corresponding PD and LGD are 19.5% and 27.9%, respectively. At the AA (sf) rating level, the corresponding PD and LGD are 16.3% and 23.5%, respectively. At the BBB (low) (sf) rating level, the corresponding PD and LGD are 7.8% and 14.5%, respectively.

-- The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumptions. 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 the LGD increase by 50%, the rating on the Class A Notes would be expected to be at A (high) (sf).

Senior Class A Mortgage-Backed Floating Rate Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf).
-- 50% increase in LGD, expected rating of AA (high) (sf).
-- 25% increase in PD, expected rating of AAA (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 (low) (sf).
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf).
-- 50% increase in PD and 50% increase in LGD, expected rating of A (high) (sf).

Mezzanine Class B Mortgage-Backed Floating Rate Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (high) (sf).
-- 50% increase in LGD, expected rating of A (high) (sf).
-- 25% increase in PD, expected rating of A (high) (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 (low) (sf).
-- 50% increase in PD and 25% increase in LGD, expected rating of A (low) (sf).
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf).

Junior Class C Mortgage-Backed Floating Rate Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of BB (high) (sf).
-- 50% increase in LGD, expected rating of BB (high) (sf).
-- 25% increase in PD, expected rating of BB (high) (sf).
-- 50% increase in PD, expected rating of BB (high) (sf).
-- 25% increase in PD and 25% increase in LGD, expected rating of BB (high) (sf).
-- 25% increase in PD and 50% increase in LGD, expected rating of BB (sf).
-- 50% increase in PD and 25% increase in LGD, expected rating of BB (low) (sf).
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (low) (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Authority (“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 and US regulations only.

Lead Analyst: Kevin Ma, Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 18 November 2010

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The rating methodologies 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
-- Operational Risk Assessment for European Structured Finance Originators
-- Operational Risk Assessment for European Structured Finance Servicers
-- European RMBS Insight Methodology
-- European RMBS Insight: Dutch Addendum
-- Derivative Criteria for European Structured Finance Transactions
-- Interest Rate Stresses for European Structured Finance Transactions

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.

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