Chapel 2007 B.V

Only the second consumer loans transaction to come to market from originator DSB, in fact
the Chapel deals are the only two consumer ABS deals to emerge from the Netherlands.
Although DSB has a banking license, it is more of a consumer finance company specialising
in mortgages and consumer loans. Its mortgage book has generated three RMBS issues under
the Monastery label. In consumer loans it has a strong franchise with a 15% market share and
a speciality in flexible and second-lien lending.

The portfolio will consist of a grand total of 42,024 unsecured consumer loans (68.64% by
volume) and secured consumer loans (31.36%) originated by DSB N.V. and DSB Financieringen
B.V.. The average loan size is Eur16,628, and the portfolio is diversified in terms of obligor con-
centration as the largest obligor only accounts for 0.0213% of the total portfolio and the top 20
obligors account for 0.3757% of the total portfolio. The portfolio is geographically well-diversified
across the Netherlands, with the three top regional concentrations being: Zuid-Holland (25.92%),
Noord-Holland (16.46%), and Noord-Brabant (12.29%). Average seasoning is 2.2yrs

Chapel was originally marketed with guidance of +17 area for the A1 notes, a reasonable premium
to outstanding paper given the scarcity of this type of Dutch collateral. The A1 notes however,
easily beat this guidance, coming flat to Apulia (Italian consumer loans) at E+15bps, and 1bp wide
to Golden Bar (Italian consumer & auto loans). The A2 notes were preplaced, but guidance of mid
-20s/38-40/48-50/90-96/lo-mid600s for the mezz and junior tranches was well beaten in all cases,
reflecting very strong demand across all spectrums.



Compare/contrast: Chapel 2003-1, Apulia Finance 5 Cessioni Srl, Golden Bar Srl-Series 4