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

DBRS Ratings Limited (DBRS) has confirmed the AAA (sf) rating of the Class A Notes issued by Essence IV B.V. The confirmation is based on a review of the transaction amendments that increased the size of the collateral pool which has resulted in an increase to the Class A Notes to €895,500,000. The Class A Notes are due for final payment by 2060.

The changes to the loan pool will result, inter alia, in the loan to current foreclosure value decreasing from 94.94%to 93.83%, the percentage of advisor-verified mortgages dropping from 2.67% to 1.77% and the percentage of mortgages covered by the NHG guarantee decreasing from 13.72% to 10.95%. Subsequent to the change in the pool, the pool continues to comply with the criteria specified in the transaction documentation.

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

• Transaction capital structure and form and sufficiency of available credit enhancement.
• Credit enhancement is in the form of a cash reserve, subordination, and potentially from excess spread.
• The transaction parties’ capabilities with respect to originations, underwriting, servicing and financial strength.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the transaction documents.
• 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.

The transaction has a revolving period which ends in 2016. As the pool characteristics may, in accordance with the terms of the transaction documents, migrate over time, DBRS has modeled a ‘worst case’ portfolio with regard to expected defaults and losses.

Note:
All figures are in Euros unless otherwise noted.

The applicable methodologies are Master European Residential Mortgage-Backed Securities Rating Methodology, Operational Risk Assessment for European RMBS Servicers, Legal Criteria for European Structured Finance Transactions and Unified Interest Rate Model Methodology for European Securitisations, which can be found on our website under Methodologies, with adjustments made for the Italian mortgages. Readers should also consider the DBRS commentary The Effect of Sovereign Risk on Securitisations in the Euro Area.

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.

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

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Lead Analyst: Konstantine Pastras
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 1 March 2011