DBRS Confirms Ratings of Class A Notes Issued by Essence IV B.V.

DBRS Ratings Limited (“DBRS”) has reviewed Essence IV B.V. (the “Issuer”) and confirms the AAA (sf) ratings to the Class A Notes. Essence IV B.V. is a securitisation of Dutch mortgages originated or acquired by NIBC Bank N.V. (“NIBC”) or a NIBC subsidiary. The Issuer entered into a servicing agreement with NIBC who appointed Stater and Quion to provide day to day administration management services on the mortgages.

Confirmation of the ratings is based upon the following analytical considerations:
• Portfolio performance, in terms of delinquencies and defaults, as of the 9 January 2014 payment date
• Updated Portfolio Default Rate, Loss Given Default and Expected Loss for the remaining collateral pool
• Current available credit enhancement to the Class A Notes to cover the Expected Losses at the AAA (sf) rating level.

The current 90+ delinquency ratio as a percentage of the performing balance of the portfolio has been low since the close of the transaction and is currently equal to 0.66%. The cumulative default ratio is also very low, equal to 0.47%.

Credit enhancement to the Class A Notes is provided by subordination of the unrated Class B Notes and the Cash Reserve. Current credit enhancement as a percentage of the performing balance of the portfolio for the Class A Notes is 11.73%. The Cash Reserve is amortising with a target balance equal to 0.50% of the outstanding balance of the Class A Notes and Class B Notes. The current Cash Reserve balance is €4,175,115 which is equal to the current target amount.

ABN Amro Bank NV is the GIC Provider for the transaction. The public rating of ABN Amro Bank NV is above the Minimum Institution Rating given the rating assigned to the Class A Notes as described in the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in Euro unless otherwise noted.
The principal methodology applicable is Master European Residential Mortgage-Backed Securities Methodologies and Jurisdictional Addenda.

Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/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” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of information used for this rating include periodic investor reports provided by NIBC and data from the European DataWarehouse. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this transaction took place on 19 December 2012 when the ratings to the Class A Notes were confirmed.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):
-DBRS expected a lifetime base case Probability of Default (PD) and Loss Given Default (LGD) for the pool based on a review of the current mortgages. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-The base case PD and LGD for the current pool of mortgages for the Issuer are 1.99% and 22.24%, respectively. The corresponding levels at the AAA (sf) rating category are 25.48% and 43.54%.

• The Risk Sensitivity below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), assuming no change to the PD. If the PD increases by 50% the rating for the Class A Notes would be expected to remain at AAA (sf), assuming no change to the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to decrease to AA (high).

Class A Risk Sensitivity:
-25% increase in LGD, expected rating of AAA (sf)
-50% increase in LGD, expected rating of AAA (sf)
-25% increase in PD, expected rating of AAA (sf)
-50% increase in PD, expected rating of AAA (sf)
-25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-50% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf)

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

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

Initial Lead Analyst: Richard Hewitt
Initial Rating Date: 1 March 2011
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: 19 December 2012

Lead Surveillance Analyst: Keith Gorman
Rating Committee Chair: Quincy Tang

DBRS Ratings Limited
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The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

Legal Criteria for European Structured Finance Transactions
Master European Structured Finance Surveillance Methodology
Operational Risk Assessment for European Structured Finance Servicers
Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
Unified Interest Rate Model for European Securitisations