Underwriters formalized plans for the 1.0 billion ($1.28 billion) debut Belgian RMBS from Delta Lloyd Bank Belgium (DLBB). The lead managers are ABN Amro and Fortis Bank. Sources familiar with the deal said pricing is expected the week starting Oct. 2.

B-Arena NV/SA is the first issue of the securitization program by Delta Lloyd Bank. The transaction structure is based on the Arena Dutch RMBS transactions of Delta Lloyd N.V. with some changes made in order to adapt to the Belgian legal environment. DLBB is a financial institution based in Belgium, offering a broad range of banking products (e.g., checking and savings accounts, credit facilities and investment schemes) and insurance products via Delta Lloyd Life to its clients. DLBB was formed via a merger of Bankunie N.V., Bank van Limburg CVBA and Bank Nagelmackers 1747 N.V., and has been active in Belgium's banking market under its current name since 2001.

Unlike the issuer's Dutch structures, there is limited use of excess spread (0.40% per annum) as protection for losses. Excess spread incurred over a particular period can only be used to cover losses from that period, and cannot be used to cure past losses recorded on a PDL or to top up reserve fund. However, excess spread can be trapped to cover "estimated losses" for loans that are 60 days in arrears.

The preliminary ratings are from Standard & Poor's, Moody's Investors Service and Fitch Ratings. All tranches are five-year notes. The pool's CLTMV is 69.2% and weighted average seasoning is 27 months. The deal is structured with seven tranches. The collateral consists of loans secured by first- and sequentially lower-ranking mortgages (and mandates to create lower-ranking mortgages) over residential property in Belgium.

Approximately 150 million of the note issuance proceeds at closing date will be used in purchasing pre-funded loans from the originator. The transaction benefits from a swap with swap counterparty ABN Amro, which serves as a hedge against interest rate risk over the entire term of the transaction. The proceeds from the Class G notes will be used to fund the reserve fund. ABN Amro provides a liquidity facility adding to the liquidity provided by the excess spread and the reserve fund.

With approximately 88.4 billion in outstanding housing loans, the Belgian residential housing market is one of the smallest players in Europe due to the size of the population, coupled with Belgian low household indebtedness. But after only limited activity in the Belgian securitization market over the past two years, Moody's expects new transactions to follow Delta's debut.

"The unique features of the Belgian housing market include: the strong value placed on private home ownership in Belgian society; the highly concentrated market and the fierce competition among participants; the steady increase in house prices since the early 1980s, at levels close to the European average; and the borrower-friendly nature of Belgian legislation, particularly as regards personal insolvency, legal caps on interest rate variation and prepayment penalties," Moody's analysts said.

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