DBRS Confirms Arena 2007-I B.V. following update to Netherlands Residential Mortgage Addendum
RMBSDBRS, Inc. (DBRS) has confirmed the following ratings of the Arena 2007-I B.V. transaction following the update to the Netherlands Residential Mortgage Addendum of the Master European Residential Mortgage-Backed Securities Rating Methodology:
• Class A NHG confirmed at AAA (sf)
• Class A confirmed at AAA (sf)
• Class B confirmed at AA (sf)
• Class C confirmed at ‘A’ (high) (sf)
• Class D confirmed at BBB (sf)
• Class E confirmed at BBB (low) (sf)
On 18 December 2012, DBRS published the update to the Netherlands Residential Addendum. The update includes increases to the Market Value Decline assumptions for the rating scenario of BBB (high) and below, as well as a decrease in the variable foreclosure costs used in the calculation for Loss Given Default. For further details on the updated assumptions, please refer to the press release entitled ”DBRS Publishes Updated Dutch Addendum to the Master European RMBS Rating Methodology” and the Netherlands Residential Addendum beginning on page 22 of the updated Master Methodology.
Notes:
All figures are in Euros unless otherwise noted.
The principal methodologies applicable are:
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Legal Criteria for European Structured Finance Transactions
• Swap Criteria for European Structured Finance Transactions
• Operational Risk Assessment for European RMBS Servicers
• Unified Interest Rate Model Methodology for European Securitisations
• Master European Structured Finance Surveillance Methodology
These can be found on dbrs.com under Methodologies. For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”.
The sources of information used for this rating include quarterly investor reports. 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 see linking document.
This credit rating has been issued outside the European Union (EU) and may be used for regulatory purposes by financial institutions in the EU.
This rating is endorsed by DBRS Ratings Limited for use in the European Union.
Lead Analyst: Keith Gorman
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 4 December 2007
Most Recent Rating Update: 22 August 2012
Ratings
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