DBRS Ratings Limited Rates Essence IV B.V.

DBRS Ratings Limited (DBRS) has today assigned a AAA (sf) rating to the Class A Notes issued by Essence IV B.V. The €597 million Class A Mortgage-Backed Notes 2011 due 2060 are backed by a portfolio of first ranking, or as the case may be first and sequentially lower ranking mortgage loans.

The rating is based upon a review by DBRS of the following analytical considerations:

•Transaction structure, proposed ratings and form and sufficiency of available credit enhancement. Credit enhancement is in the form of subordination and reserves funded through the net proceeds of the Class C Notes. Credit enhancement levels are sufficient to support a AAA (sf) rating to the Class A Notes, which will have a credit support shortly after closing of 10.07%.
•The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the rating addresses the payment of timely interest on a monthly basis and the ultimate payment of principal by the legal final maturity date.
•The transaction parties’ capabilities with regards to originations, underwriting and servicing and the ratings of NIBC Bank N.V. and RBS N.V. as GIC Provider.
•Soundness of the legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

DBRS credit analysis is performed on a loan-level basis and includes a probability of default and loss given default assessment, an originator- and servicer-specific historical performance review, an evaluation of the housing market and property price trends, and a cash flow simulation to consider the impact of stresses to prepayments, timing of defaults and recoveries and interest rates.

Note:
All figures are in Euros unless otherwise noted.

The principal methodologies applicable are Master European Residential Mortgage-Backed Securities Rating Methodology and the DBRS Legal Criteria for European Structured Finance Transactions, which can be found on our website under Methodologies.

The sources of information used for this rating include working papers and data on the Dutch economy and housing market. DBRS conducted an operational review on the origination and servicing practices of NIBC Bank N.V. NIBC provided loan-level data and historical performance of mortgage portfolio dating back to 2001. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This rating concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

The full report providing additional analytical detail is available by clicking on the link below.

For additional information on these ratings, please refer to the linking document located below.

Lead Analyst: Richard Hewitt, Senior Vice President
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 1 March 2011