Euro 4,816M of debt securities affected
London, 24 February 2011 -- Moody's Investors Service has assigned definitive long-term ratings
to one class of notes of Belgian Lion NV/SA.
Issuer: Belgian Lion N.V./S.A.
EUR4816M A Notes, Assigned Aaa (sf)
RATINGS RATIONALE
Belgian Lion NV/SA is an existing Belgian RMBS transaction that closed
on 12 January 2009 and it is the first Belgian residential mortgage-backed
notes transaction by ING Belgium NV/SA.
At closing the transaction issued Euro 4,816 million of class A
notes and Euro 514 million of Class B notes, together the notes.
The notes have not amortised. The transaction has been assessed
based on the amended structure and an estimate of the notes and portfolio
as of the next interest payment date on 25 Feb 2011. As of the
portfolio cut-off on 31 December 2011, there was Euro 225.9
million of cash that will be used to replenish the portfolio. The
ratings of the notes take into account the credit quality of the underlying
mortgage and mandate loan pool, from which Moody's determined the
MILAN Aaa Credit Enhancement and the portfolio expected loss, as
well as the transaction structure and any legal considerations as assessed
in Moody's cash flow analysis.
The portfolio consists of Belgian prime residential home loans backed
by first economic lien mortgages or mandates originated and serviced by
ING Belgium NV/SA, who also acts as interest rate swap provider.
The swap mitigates the interest rate risk relating to the fixed rate loans
which represent 75.8% of the pool and to the basis risk
related to the floating rate loans that represent 24.2%.
The swap does not provide excess spread.
A liquidity facility provided by ING Belgium covers shortfalls in interest
available to pay senior costs, amounts due to swap counterparty
and interest on class A. As of 24 February 2011, the issuer
is adding a reserve fund of 2.65% of the notes size (class
A and class B) that amortises to the higher of (i) 5.3%
of the current note balance and (ii) 0.66% of original note
balance, if various portfolio performance triggers are not breached.
The transaction has a replenishment period up to and including the payment
date in November 2012. The claw-back risk that arises from
potential repurchases is mitigated by the requirement for the issuer that
the buyers need to provide a solvency letter as a condition precedent
to the purchase (except in the case of mandatory purchases due to breach
of eligibility criteria).
The expected portfolio loss of 0.9% of original balance
of the portfolio at closing (0.9% of current balance,
given that the portfolio has not decreased and losses to date are insignificant)
and the MILAN Aaa required Credit Enhancement of 12.2% served
as input parameters for our cash flow model, which is based on a
probabilistic lognormal distribution as described in the report "Cash
Flow Analysis in EMEA RMBS: Testing Structural Features with the
MARCO Model", published in January 2006. The key drivers
for the MILAN Aaa Credit Enhancement number, which is in line with
other prime Belgian RMBS transactions, are (i) the weighted average
loan-to-value (LTV) of 78.2%, (ii) the
replenishment risk and, (iii) the substantial seasoning of more
than 4 years.
The key drivers for the portfolio expected loss are (i) the performance
of the pool currently securitized (ii) benchmarking with comparable transactions
in the Belgian market and (iii) the current economic conditions in the
Belgium in combination with historic arrears and recovery data provided
by the seller.
The rating addresses the expected loss posed to investors by the legal
final maturity of the notes. In Moody's opinion, the structure
allows for timely payment of interest and principal with respect of the
Class A notes by the legal final maturity. Moody's ratings only
address the credit risk associated with the transaction. Other
non-credit risks have not been addressed, but may have a
significant effect on yield to investors.
The V Score for this transaction is Medium, which is in line with
the score assigned for the Belgian RMBS sector. All the components
of the V score are the same than the Belgian score. The V-Score
has been assigned accordingly to the report "V-Scores and Parameter
Sensitivities in the Major EMEA RMBS Sectors" published in April 2009.
V Scores are a relative assessment of the quality of available credit
information and of the degree of dependence on various assumptions used
in determining the rating. High variability in key assumptions
could expose a rating to more likelihood of rating changes.
Moody's Parameter Sensitivities: If the portfolio expected
loss was increased to 2.7%, the model output indicates
that Class A would achieve Aa1 assuming that MILAN Aaa Credit Enhancement
remains at 12.2% and all other factors remain equal.
If the MILAN Aaa Credit Enhancement would be stressed by 1.2 times
to 14.6%, the model output for the class A notes would
be Aa1, assuming an expected loss of up to 1.3%.
Moody's Parameter Sensitivities provide a quantitative/model-indicated
calculation of the number of rating notches that a Moody's structured
finance security may vary if certain input parameters used in the initial
rating process differed. The analysis assumes that the deal has
not aged and is not intended to measure how the rating of the security
might migrate over time, but rather how the initial rating of the
security might have differed if key rating input parameters were varied.
Parameter Sensitivities for the typical EMEA RMBS transaction are calculated
by stressing key variable inputs in Moody's primary rating model.
The principal methodologies used in this rating were The Lognormal Method
Applied to ABS Analysis published in September 2000, Moody's Updated
MILAN Methodology for Rating Belgian RMBS published in September 2006
and Cash Flow Analysis in EMEA RMBS: Testing Features with the MARCO
Model (Moody's Analyser of Residential Cash Flows) published in January
2006.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or financial
instruments in this transaction.
REGULATORY DISCLOSURES
The rating has been disclosed to the rated entity or its designated agents
and issued with no amendment resulting from that disclosure.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, public information, confidential
and proprietary Moody's Investors Service information and confidential
and proprietary Moody's Analytics information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of assigning
a credit rating.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entity or its related third parties within the
three years preceding the Credit Rating Action. Please see the
ratings disclosure page www.moodys.com/disclosures on our
website for further information.
The reports mentioned above are available on www.moodys.com
in the Rating Methodologies sub-directory under the Research &
Ratings tab. Other methodologies and factors that may have been
considered in the process of rating this issuer can also be found in the
Rating Methodologies sub-directory on Moody's website.
Additional research, including the pre-sale report for this
transaction and reports for prior transactions, are available at
www.moodys.com.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entity or its related third parties within the
three years preceding the Credit Rating Action. Please see the
ratings disclosure page www.moodys.com/disclosures on our
website for further information.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
London
Frank Julia-Sala
Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Milan
Michelangelo Margaria
VP - Senior Credit Officer
Structured Finance Group
Moody's Italia S.r.l
Telephone:+39-02-9148-1100
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's Investors Service has assigned definitive long-term ratings to one class of notes of Belgian Lion NV/SA
