DBRS Rates Panorama Alpha B.V. Class A Senior Notes

DBRS has today assigned a rating of 'A' (sf) to Panorama Alpha B.V. €555 Million Class A Senior Deferrable Interest Floating-Rate Notes (Senior Notes). The outstanding balance of the Senior Notes has been reduced to €505 million. There are Subordinated Deferrable Interest Floating-Rate Notes (Subordinate Notes) outstanding in the amount of €195 Million which will absorb losses prior to the Senior Notes. DBRS does not rate the Subordinate Notes.

The transaction is a commercial real-estate collateralized debt obligation (CDO) which closed in January 2009. As of January 2011, the targeted principal par amount has been achieved; however, the reinvestment period, originally scheduled to expire in January 2011, has been extended until January 2013. DBRS has assigned a rating to the Class A Senior Deferrable Interest Floating-Rate Notes based on the current and historical performance of the existing pool, as of the October 2010 remittance, and enhancements made to the transaction as a part of the Amendment and Restatement Deed dated January 31, 2011.

The transaction is collateralized primarily by commercial real-estate mortgage loans and one residential mortgage loan portfolio. Each loan in the pool was analyzed to determine the ratings, reflecting the long-term probability of loan default within the term and its refinance liquidity at maturity. Characteristics reviewed include the quality and structural features of the loans, the quality of the underlying real estate, the strength and stability of the property cash flows and the overall structure of the transaction. With the extension of the reinvestment period, DBRS also reviewed and enhanced the reinvestment criteria so as to limit ratings volatility while the transaction is being actively managed. The reinvestment criteria are loosely defined; however, DBRS analysis assumes the transaction evolves into the worst case scenario during the reinvestment period.

DBRS reviewed each of the loan’s hedging positions and accounted for this in terms of increased loss severity to the extent the SWAP position was viewed as an additional obligation of the borrower. As part of the DBRS SWAP Counter-Party criteria and the Account Bank, DBRS accepted a lower rating of both parties than currently outlined in the European Structured Finance Legal Criteria as the current criteria contemplates achievement of the highest investment-grade ratings of 'AAA'. This transaction contemplates both the SWAP Counter-Party and the Account Bank to maintain an investment-grade rating by DBRS in order to be eligible.

DBRS also reviewed the transaction structural features including the Class A Senior Par Value test which ensures a minimum credit enhancement is maintained to the Class A Senior Notes.

Notes:
All figures are in Euros unless otherwise noted.

The principal methodology applicable is European CMBS Methodology, European Structured Finance Legal Criteria and Unified Interest Rate Model which can be found on www.dbrs.com

For additional information on DBRS European CMBS Methodologies, please see European Disclosure Requirements, located at http://www.dbrs.com/research/237777.

The sources of information used for this rating include the parties involved in the rating including but not limited to NIBC Bank, N.V. as Collateral Manager and Servicer. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.