DBRS Confirms Arena 2007-I B.V.

DBRS, Inc. (DBRS) has reviewed the Arena 2007-I B.V. transaction and confirms the following ratings:

• 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)

The collateral supporting the transaction is performing within DBRS expectations and slightly better than comparable Dutch RMBS transactions. Since issuance, the collateral has reduced from approximately €1,130 million to €943 million which translates into an 83% pool factor. The amortisation of the collateral has allowed a modest increase in credit enhancement for all notes except the Class E note.

The Portfolio is 30% NHG and 70% non-NHG. The NHG assets collateralise the Class A NHG note and the non NHG assets collateralise the remainder of the notes. Interest streams are commingled into a combined interest waterfall for all notes.

Although not uncommon in the Dutch market, the transaction has a high LTV (over 100%) which means that for the non NHG portion of the pool in particular, recovery rates may be diminished against the backdrop of falling house prices.

As of the July 2012 payment date, 90+ delinquencies were 0.54% and cumulative defaults were 0.37%, which is inside DBRS expectations.

In its cash flow analysis for the Class D and Class E notes DBRS observed a limited number of scenarios where there was either an interest shortfall or principal write down. These shortfalls were discounted on the grounds that they were exhibited in a back loaded environment, where predictability of performance is limited.

Note:
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 performance data relating to the receivables provided by Delta Lloyd Bank N.V. 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 the 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 Surveillance Analyst: Lain Gutierrez
Lead Rating Analyst: Alastair Bigely
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: December 4, 2007