Annual report 2006 - Dexia.com

9.5. SECURITIZATION
Dexia Bank Belgium and DenizBank have securization vehicles.
Dexia Bank Belgium has three securitization vehicles : Atrium-
1, Atrium-2 and MBS. This latter has six compartments.
Total assets of those vehicles amounts respectively EUR 332
million and EUR 295 million as of Dec.31, 2005 and Dec.
31,2006.
Atrium-1 is a securitization transaction of social housing
loans pursuant to a long-term credit facility between BACOB
(merged into Dexia Bank Belgium) and Domus Flandria NV
(the borrower) and guaranteed by the Flemish Region. The
guarantee of the Flemish Region was transferred to the special
purpose vehicle (SPV). The original size of the transaction was
EUR 188 million. Two classes of fixed-rate notes were issued
on April 30, 1996, both carrying a Moody’s rating equal to
that of the Flemish government (initially Aa2, currently Aa1).
As of December 31, 2006 EUR 118.6 million is still outstanding
under class A2 while class A1 has been repaid.
Atrium-2 is a securitization transaction of social housing
loans pursuant to a long term credit facility between BACOB
(merged into Dexia Bank Belgium) and Domus Flandria NV
(the borrower) and guaranteed by the Flemish Region. The
guarantee of the Flemish Region was transferred to the SPV.
The original size of the transaction was EUR 129.3 million.
Two classes of fixed-rate notes were issued on June 19, 1997,
both carrying a Moody’s rating equal to that of the Flemish
government (initially Aa2, currently Aa1). As of December 31,
2006 EUR 86 million is still outstanding under class A2.
MBS-3 is a securitization transaction of Belgian residential
mortgage loans. The transaction, which had an original
outstanding amount of EUR 371.8 million, was launched on
November 24, 1997. Four floating-rate tranches of obligations
were issued, three senior classes (called class A1 through A3
and rated Aaa/AAA by Moody’s and Fitch) and one junior class
(called class B and rated A3/A by Moody’s and Fitch). As at
December 31, 2006 there is still EUR 28.5 million outstanding.
There is 24.5 million outstanding under class A3 and EUR 3.9
million under class B (currently rated Aa1/AA by Moody’s and
Fitch).
MBS-4 is a securitization transaction of Belgian residential
mortgage loans. The transaction, which had an original
outstanding amount of EUR 272.7 million, was launched on
November 25, 1998. Four floating-rate tranches of obligations
were issued, three senior classes (called class A1 through A3
and rated Aaa/AAA by Moody’s and Fitch) and one junior class
(called class B and rated A3/A by Moody’s and Fitch). As of
December 31, 2006 there is still EUR 51.2 million outstanding.
There is EUR 46.2 million outstanding under class A3 and EUR
5.0 million under class B (currently rated Aa1/AA by Moody’s
and Fitch).
In June 2005, DenizBank completed a securitization transaction:
the “DPR (Diversified Payment Rights) Securitization”.
The bank securitizes its SWIFT MT 100 category payment
orders received primarily through foreign depository banks in
EUR, USD and GBP currencies.
The SPC “DFS Funding Corporation Cayman” issued three
tranches of series: USD 150 million Series 2005-A Floating
Rate Notes Due 2010; USD 80 million Series 2005-C Fixed
Rate Notes Due 2012; USD 70 million Series 2005-C Fixed
Rate Notes Due 2010, and bought the Diversified Payment
Rights.
As at December 31, 2006 there is still USD 300 million
outstanding.
RAPPORT DE GESTION
CONSOLIDATED
FINANCIAL STATEMENTS
COMPTES SOCIAUX
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