DBRS Ratings Limited Confirms Rating of Class A Notes Issued By Essence IV B.V.

DBRS Ratings Limited (DBRS) has confirmed that certain changes to the underlying pool of mortgage loans will not in and of themselves result in a reduction or withdrawal of the AAA (sf) rating currently assigned to the €597,000,000 Class A Mortgage-Backed Notes 2011 due 2060 issued by Essence IV B.V.

The changes to the loan pool will result, inter alia, in the loan to foreclosure value increasing from 93.48% to 95%, the percentage of advisor-verified mortgages dropping from 3.64% to 2.80% and the percentage of mortgages covered by the NHG guarantee increasing from 6.35% to 13.27%. The portfolio will continue to comply with portfolio criteria specified in transaction documentation. The proposed changes will not have a material impact on transaction cashflows.

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.

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

For additional information on DBRS European ABS 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