DBRS Assigns Ratings to Arena 2007-I B.V. RMBS

DBRS has today rated the ninth transaction from the Arena series, a RMBS issuance programme established in 2000. ABN AMRO Bank N.V. is the arranger for this EUR 650 million issuance, backed by prime Dutch residential mortgage loans originated by Amstelhuys N.V., a subsidiary of Delta Lloyd. The ratings of AAA, AAA, AA, A (high), BBB and BBB (low) have been assigned to Class A-NHG, Class A, Class B, Class C, Class D and Class E, respectively.

DBRS’s credit assessment aims at estimating portfolio default rates and loss given defaults specific for each rating scenario. The unique analytical framework is characterised by a detailed loan-level analysis in conjunction with a modified version of the single-factor Gaussian credit loss model in order to produce a distribution of default rates and expected losses. The analysis has been tailored to the exact credit profile of the current mortgage collateral and adjusted to take into account possible changes due to new mortgages being added to the portfolio mix.