DBRS Rates Candide Financing 2007 NHG B.V.

DBRS, Inc. (DBRS) has today assigned a final rating of A (high) (sf) to the Class A mortgage-backed notes issued by Candide Financing 2007 NHG B.V. The DBRS rating is a second rating on an existing transaction issued in December 2007. The notes are indirectly secured by a pledge over a pool of mortgage loans which have the benefit of an NHG Guarantee. At the close of the transaction in December 2007, the collateral balance stood at €356 million. As of the last Interest Payment Date (June 2011) the collateral balance was €216 million. The originator and servicer of this transaction is Bank of Scotland Netherlands. Bank of Scotland Netherlands has appointed Stater to carry out the handling and servicing of the loans.

Candide Financing 2007 NHG B.V. issued two classes of notes (Class A and Class B). DBRS rates Class A notes only. As of the last Interest Payment Date, the size of the rated Class A note was €216.804 million. The Class A currently has 2.47% credit enhancement from the reserve fund (€5.35 million) which was originally funded by the issuance of the Class B notes. Additionally, all of the mortgage loans have the benefit of guarantees under the NHG Guarantee.

The ratings are based upon DBRS review of the following analytical considerations:
•Transaction capital structure and form and sufficiency of available credit enhancement.
•Relevant credit enhancement is in the form of excess spread and a funded reserve fund.
•The benefit of the NHG Guarantee on the underlying mortgage loans.
•The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to terms in which they have invested.
•The transaction parties’ capabilities with respect to originations, underwriting, servicing, and financial strength.
•The credit quality of the collateral and ability of the servicer to perform collection activities on the collateral.
•A review of the legal structure and opinions.

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, a Dutch housing market and property price trend evaluation, and finally a cash flow simulation based on various stresses to prepayments, timing of defaults and recoveries and interest rates.

DBRS made appropriate adjustments to our model parameters based on the analysis of market value declines in DBRS and the historical performance data provided by the originator and servicer.

Note:
All figures are in Euro unless otherwise noted.

The applicable methodologies are Master European Residential Mortgage-Backed Securities Rating Methodology, Legal Criteria for European Structured Finance Transactions, and Unified Interest Rate Model for European Securitsations, which can be found on our website under Methodologies, with adjustments made for the Spain mortgages.

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 Bank of Scotland Netherlands. Bank of Scotland Netherlands provided loan-level data and historical performance of mortgage portfolio dating back to 2000. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This is the first DBRS rating on this financial instrument.

For additional information on this rating, please refer to the linking document located below.

Lead Analyst: Keith Gorman
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 20 June 2011