DBRS Confirms Orange Lion VII RMBS B.V Following Update to Netherlands Residential Mortgage Addendum

DBRS Ratings Limited (DBRS) has confirmed the following ratings of the Orange Lion VII B.V. transaction following the update to the Netherlands Residential Mortgage Addendum of the Master European Residential Mortgage-Backed Securities Rating Methodology:

• Class A1 confirmed at AAA (sf)
• Class A2 confirmed at AAA (sf)
• Class A3 confirmed at AAA (sf)
• Class A4 confirmed at AAA (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.

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

Lead Analyst: Alastair Bigley
Rating Committee Chair: Mary Jane Potthoff
Initial Rating Date: 14 June 2012
Most Recent Rating Update: 14 June 2012