DBRS Confirms Ratings on BEST 2010 B.V.

DBRS Ratings GmbH (DBRS) confirmed the following ratings on the bonds issued by BEST 2010 B.V. (the Issuer):

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

The ratings address the timely payment of interest and ultimate payment of principal on or before the legal final maturity date.

The confirmations 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 occurred.

BEST 2010 B.V. is a securitisation 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, which allow the continuation of replenishment of receivables during the revolving period, stipulates that the 60 days’ arrears ratio is less than 2.25% (currently 0.4%), the realised loss ratio is less than 0.60% of the original portfolio balance (currently 0.06%), the Principal Deficiency Ledger is equal to zero and that there have been no drawings on the Reserve Account. All criteria are currently met.

On 13 May 2019, DBRS transferred the ongoing coverage of the rating assigned to the Issuer to DBRS Ratings GmbH from DBRS Ratings Limited. The lead analyst responsibilities for this transaction have been transferred to Shalva Beshia.

Both DBRS Ratings Limited and DBRS Ratings GmbH are registered with the European Securities and Markets Authority (ESMA) under Regulation (EC) No. 1060/2009 on Credit Rating Agencies, as amended, and are registered Nationally Recognized Statistical Rating Organization (NRSRO) affiliates in the United States and Designated Rating Organization (DRO) affiliates in Canada.

PORTFOLIO PERFORMANCE
As of April 2019, loans with two- to three-months in arrears represented 0.02% of the outstanding portfolio balance, down from 0.03% in April 2018.The 90+ delinquency ratio was 0.07%, down from 0.13% in April 2018. The cumulative default ratio was 1.0% and the cumulative loss ratio was 0.1%.

PORTFOLIO ASSUMPTIONS
DBRS conducted a loan-by-loan analysis of the pool of receivables and considered a base case PD and LGD assumptions of 2.6% and 11.9%, respectively.

CREDIT ENHANCEMENT
As of the April 2019 payment date, credit enhancement was up for each class of notes: the Senior Class A Mortgage-Backed Floating Rate Notes was 7.3%, up from 7.0% at the DBRS initial rating; the Mezzanine Class B Mortgage-Backed Floating Rate Notes was 4.3%, up from 4.0% at the DBRS initial rating; and the Junior Class C Mortgage-Backed Floating Rate Notes was 1.3%, up from 1.0% at the DBRS initial rating.

The transaction benefits from a Reserve Fund of EUR 650 million and a Liquidity Reserve Fund 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 for the transaction. Based on the account bank reference rating of AA (high), which is one notch below its DBRS Long-Term Critical Obligations Rating of AAA, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS considers the risk arising from the exposure to the account bank to be consistent with the rating assigned to the Senior Class A Mortgage-Backed Floating Rate Notes, as described in DBRS's "Legal Criteria for European Structured Finance Transactions" methodology.

The Group also acts as the swap counterparty for the transaction. DBRS's public Long-Term Critical Obligations Rating of the swap counterparty at AAA is 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 set forth in the transaction legal documents.

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/333487/rating-sovereign-governments.pdf.

The sources of data and information used for these ratings include investor reports provided by Intertrust Management B.V., 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 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 18 May 2018, when DBRS confirmed the ratings of the Junior Class C Mortgage-Backed Floating Rate Notes, Mezzanine Class B Mortgage-Backed Floating Rate Notes, Senior Class A Mortgage-Backed Floating Rate 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 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 loans for the Issuer are 2.6% and 11.9%, respectively.
-- 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 Senior Class A Mortgage-Backed Floating Rate Notes would be expected to be AA (high) (sf), assuming no change in the PD. If the PD increases by 50%, the rating of the Senior Class A Mortgage-Backed Floating Rate Notes would be expected to be AA (high) (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Senior Class A Mortgage-Backed Floating Rate Notes would be expected to fall to AA (low) (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 (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)

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

For further information on DBRS historical 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 GmbH are subject to EU and US regulations only.

Lead Analyst: Shalva Beshia, Assistant Vice President
Rating Committee Chair: Gareth Levington, Managing Director
Initial Rating Date: 18 November 2010

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

Ratings issued and monitored by DBRS Ratings GmbH are noted as such on the DBRS website; however, the language and related statements in previously published press releases in respect of the relevant ratings will not be changed retroactively and will remain as part of DBRS’s historical record. The ratings issued and monitored in the European Union are marked as such in their respective rating tables. As part of this transfer, these markings will remain unchanged on all active ratings related to the Issuer.

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 Servicers
-- European RMBS Insight Methodology
-- European RMBS Insight: Dutch Addendum
-- Derivative Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Originators

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.