TEXT-S&P rates Arena 2012-I's Dutch RMBS transaction

(The following statement was released by the rating agency)

Nov 26 -

OVERVIEW

-- We have assigned preliminary credit ratings to Arena 2012-I's floating-rate class A1, A2, B, and C mortgage-backed notes.

-- Arena will issue the notes to fund the purchase price of a performing portfolio of mortgage loans secured over residential properties in The Netherlands.

Standard & Poor's Ratings Services today assigned its preliminary credit ratings to Arena 2012-I B.V.'s EUR678.3 million floating-rate class A1, A2, B, and fixed-rate class C mortgage-backed notes due 2044. Arena will also issue EUR32.2 million unrated class D, E, and F notes (see list below).

The ratings on Arena 2012-I's notes reflect our assessment of the payment structure and cash flow mechanics of the transaction, and our cash flow analysis to assess whether the notes will be repaid under stress-test scenarios. Another key consideration in our rating analysis is the protection for noteholders from a combination of excess spread, subordination, a reserve fund, and a cash advance facility to cover credit losses and income shortfalls.

Arena 2012-I will issue the notes to fund the purchase price of a performing portfolio of mortgage loans secured over residential properties in The Netherlands.

This will be the fifth securitization originated by Amstelhuys that we have rated, following Arena 2007-I B.V., Arena 2009-I B.V., Arena 2011-I B.V., and Arena 2011-II B.V.

The collateral securitized largely mirrors that backing the previous transactions and the proportion of loans benefiting from the NHG guarantee has decreased marginally to 27.54% from 29.58% in Arena 2011-II.

The seller, Amstelhuys N.V., is a fully owned subsidiary of Delta Lloyd N.V., and was established as a mortgage loan originator and funding vehicle. The transaction will be static. A combination of subordination, excess spread, a cash reserve, and cash advance facility will provide credit and liquidity enhancement.

RELATED CRITERIA AND RESEARCH

-- Presale: Arena 2012-I B.V., Nov. 26, 2012

-- The Eurozone's New Recession--Confirmed, Sept. 25, 2012.

-- No Pain, No Gain: How The Housing Market Correction Is Affecting Dutch Banks, June 27, 2012

-- Global Investment Criteria For Temporary Investments in Transaction Accounts, May 31, 2012

-- Counterparty Risk Framework Methodology And Assumptions, May 31, 2012

-- Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011

-- Principles Of Credit Ratings, Feb. 16, 2011

-- Update To The Cash Flow Criteria For European RMBS Transactions, Jan. 6, 2009

-- European Legal Criteria For Structured Finance Transactions, Aug. 28, 2008

-- Criteria Methodology And Assumptions: Assessing The NHG Guarantee In Dutch RMBS Transactions-A Prudent Approach, June 11, 2008

-- A Listing Of S&P's New Actions Aimed At Strengthening The Ratings Process, Feb. 7, 2008

-- Changes To The Treatment Of Potential Set-Off Risk In The Dutch RMBS Market, Sept. 8, 2006

-- Dutch RMBS Market Overview And Criteria, Dec. 16, 2005

-- Cash Flow Criteria For European RMBS Transactions, Nov. 20, 2003

-- Dutch RMBS Index reports (published quarterly)

RATINGS LIST

Arena 2012-I B.V.

EUR700.0 Million Mortgage-Backed Notes And EUR10.5 Million Subordinated Notes

Class Prelim. Prelim.

rating amount

(mil. EUR)

A1 AAA (sf) 154.0

A2 AAA (sf) 490.0

B A (sf) 18.2

C BBB+ (sf) 16.1

D NR 14.0

E NR 7.7

F NR 10.5

NR--Not rated.