DBRS Confirms Ratings of Orange Lion VII B.V.

DBRS Ratings Limited (“DBRS”) has reviewed Orange Lion VII B.V. (“Issuer”) and confirms the ratings to the following Notes:

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

Orange Lion VII B.V. is a securitisation of Dutch mortgages originated and serviced by ING Bank N.V. 27.90% of the portfolio (as of the 20 November 2013 payment date) benefit from an NHG Guarantee. The Class A1, Class A2, Class A3 and Class A4 Notes (collectively referred to as the “Class A Notes”) rank pari-passu to one another with regard to allocation of losses. Principal proceeds are paid sequentially, first to the Class A1 Notes until paid in full, after which principal proceeds will be paid to the Class A2 Notes until paid in full and so on.

Confirmation of the ratings is based upon the following analytical considerations, as described more fully below:
• Portfolio performance, in terms of delinquencies and defaults, as of the 20 November 2013 payment date;
• Current available credit enhancement to the Class A Notes to cover the Expected Losses at the AAA (sf) rating level;
• Updated Portfolio Default Rate, Loss Given Default and Expected Loss for the remaining collateral pool.

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 0.79%. The cumulative default ratio is also very low, equal to 0.02%.

Credit enhancement to the Class A Notes is provided by subordination of the unrated Class B Notes. Current credit enhancement as a percentage of the performing balance of the portfolio for the Class A Notes is 19.94%.

The updated analysis of the collateral includes an adjustment to the Loss Given Default (LGD) and Expected Loss (EL) results from the European RMBS Credit Model to incorporate the benefit of the NHG Guarantee to the relevant sub-section of the portfolio. This resulted in a decrease in the Base Case LGD reduction from 47.82% to 40.65% and a Base Case EL reduction from 2.75% to 2.34%. The decrease in the LGD for the AAA (sf) scenario was from 63.71% to 54.15% and corresponding EL reduction from 18.04% to 15.33%.

ING Bank N.V. is the GIC Provider and the swap counterparty for the transaction. The DBRS public rating of ING Bank N.V. 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. Additionally, the DBRS public rating of ING Bank N.V. complies with the DBRS Derivative 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 ING Bank N.V. 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 18 January 2013 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 5.75% and 40.65%, respectively. The corresponding levels at the AAA (sf) rating category are 28.32% and 54.15%.

• 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 A1 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 A1 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 A1 Notes would be expected to remain at AAA (sf).

Class A1 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 AAA (sf)

Class A2 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 AAA (sf)

Class A3 Risk Sensitivity:
-25% increase in LGD, expected rating of AA (sf)
-50% increase in LGD, expected rating of AA (sf)
-25% increase in PD, expected rating of A (high) (sf)
-50% increase in PD, expected rating of BBB (high) (sf)
-25% increase in PD and 25% increase in LGD, expected rating of A (sf)
-25% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)
-50% increase in PD and 25% increase in LGD, expected rating of BBB (sf)
-50% increase in PD and 50% increase in LGD, expected rating of BBB (sf)

Class A4 Risk Sensitivity:
-25% increase in LGD, expected rating of AA (sf)
-50% increase in LGD, expected rating of AA (sf)
-25% increase in PD, expected rating of A (sf)
-50% increase in PD, expected rating of BBB (sf)
-25% increase in PD and 25% increase in LGD, expected rating of A (sf)
-25% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)
-50% increase in PD and 25% increase in LGD, expected rating of BBB (sf)
-50% increase in PD and 50% increase in LGD, expected rating of BBB (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: Konstantine Pastras
Initial Rating Date: 12 June 2012
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: 18 January 2013

Lead Surveillance Analyst: Keith Gorman
Rating Committee Chair: Claire Mezzanotte

DBRS Ratings Limited
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London
EC3R 7AA
United Kingdom

Registered in England and Wales: No. 7139960

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
Derivative Criteria for European Structured Finance Transactions
Unified Interest Rate Model for European Securitisations