DBRS Rates Fishbowl Master Issuer B.V. Series 2011-1

DBRS, Inc. (DBRS) has today assigned the following ratings to the Class A and Class B residential mortgage-backed notes issued by Fishbowl Master Issuer B.V. series 2011-1.

-- €160 million Class A1 rated at AAA (sf)
-- €1 billion Class A2 rated at AAA (sf)
-- €600 million Class A3 rated at AAA (sf)
-- €550 million Class A4 rated at AAA (sf)
-- €550 million Class A5 rated at AAA (sf)
-- €1 billion Class A6 rated at AAA (sf)
-- €1 billion Class A7 rated at AAA (sf)
-- €1 billion Class A8 rated at AAA (sf)
-- €1 billion Class A9 rated at AAA (sf)
-- €1 billion Class A10 rated at AAA (sf)
-- €1 billion Class A11 rated at AAA (sf)
-- €518.5 million Class A12 rated at AAA (sf)
-- €240 million Class B rated at AA (low) (sf)

Fishbowl Master Issuer is a €25 billion, fully revolving continuous-issuance program established in July 2011 and is backed by prime Dutch mortgage loans originated by subsidiaries of ABN AMRO Bank that benefit from a NHG guarantee. Each series to be issued has a pro rata co-ownership interest in the entire asset pool, and is not backed by a discreet pool of assets. This issuance will be the first series of the master program. A total of €10 billion has been purchased by Fishbowl from four different sellers/originators.

As of May 2011, the portfolio size was €10.3 billion, and consisted of 60,395 mortgage loans (123,810 loan parts) secured by first-ranking residential properties in the Netherlands. The originators of this transaction are ABN AMRO Bank N.V. ("ABN AMRO Bank"), ABN AMRO Hypotheken Groep B.V. ("ABN AMRO Hypotheken Groep"), MoneYou B.V. (“MoneYou”) and WoonNexxt Hypotheken B.V. (“Woonnexxt Hypotheken”). The pool servicer is ABN AMRO Hypotheken Groep. Additionally, all of the mortgage loans have the benefit of guarantees from the NHG.

Fishbowl Master Issuer B.V., Series 2011-1 issued Class A (A1 – A12), Class B, Class C and Class D notes. DBRS rates Class A and Class B notes only. The Class A notes are rated “AAA (sf)” and have 6.20% of credit enhancement. The Class B notes are rated “AA (low) (sf)” and have 3.80% of credit enhancement.

The ratings are based upon DBRS review of the following analytical considerations:
•Transaction capital structure and form and sufficiency of available credit enhancement.
•Relevant credit enhancement is in the form of excess spread and subordinate notes.
•The benefit of the NHG Guarantee on the underlying mortgage loans.
•The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to terms in which they have invested.
•The transaction parties’ capabilities with respect to originations, underwriting, servicing, and financial strength.
•The credit quality of the collateral and ability of the servicer to perform collection activities on the collateral.
•A review of the legal structure and opinions.

DBRS credit analysis is performed on a loan-level basis and includes a probability of default and loss given default assessment, an originator- and servicer-specific historical performance review, a Dutch housing market and property price trend evaluation, and finally a cash flow simulation based on various stresses to prepayments, timing of defaults and recoveries and interest rates.

DBRS made appropriate adjustments to our model parameters based on the analysis of market value declines in DBRS and the historical performance data provided by the originator and servicer.

Note:
All figures are in Euro unless otherwise noted.

The applicable methodologies are Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda, Legal Criteria for European Structured Finance Transactions, and Unified Interest Rate Model for European Securitisations which can be found on our website under Methodologies, with adjustments made for Dutch mortgages.

The sources of information used for this rating include working papers and data on the Dutch economy and housing market. DBRS conducted an operational review on the origination and servicing practices of ABN AMRO Bank. ABN AMRO Bank provided loan-level data and historical performance of mortgage portfolio dating back to 2006. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This rating concerns a newly issued financial instrument.

This is the first DBRS rating on this financial instrument.

For additional information on this rating, please refer to the linking document located below.

The full report providing additional analytical details is available by clicking on the link below or by contacting us at info@dbrs.com.

Lead Analyst: Quincy Tang
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 14 July 2011