DBRS Confirms Ratings on Fishbowl Master Issuer B.V., Discontinues Series 2011-1, Class A-2

DBRS Ratings Limited (DBRS) has today discontinued its ratings on the Series 2011-1 Class A2 notes issued by Fishbowl Master Issuer B.V. (Fishbowl or the Issuer) due to repayment of the notes. The notes were repaid in full today upon reaching the optional call date. The Issuer repaid the notes with principal available proceeds and proceeds from the repurchase of part of the mortgage loans in the mortgage portfolio. The repurchased mortgage loans were randomly selected, as described in the deed of repurchase.

DBRS has also today confirmed the ratings on the following notes issued by Fishbowl:

-- AAA (sf) on Series 2011-1, Class A3
-- AAA (sf) on Series 2011-1, Class A4
-- AAA (sf) on Series 2011-1, Class A5
-- AAA (sf) on Series 2011-1, Class A6
-- AAA (sf) on Series 2011-1, Class A7
-- AAA (sf) on Series 2011-1, Class A8
-- AAA (sf) on Series 2011-1, Class A9
-- AAA (sf) on Series 2011-1, Class A10
-- AAA (sf) on Series 2011-1, Class A11
-- AAA (sf) on Series 2011-1, Class A12
-- AA (low) (sf) on Series 2011-1, Class B

The Class C notes are not rated by DBRS.

The Issuer has also made a few changes to the legal documentation that governs the transaction, specifically, the swap agreement and the mortgage receivables purchase agreement.

The swap agreement changes now include coverage of the criteria outlined in DBRS’s Swap Criteria for European Structured Finance Transactions.

A representation by ABN Amro Bank N.V. relates to the vesting of new mortgage rights of a further advance under an existing mortgage deed . in favour of the Issuer. This relates to all loans originated by ABN Amro Bank N.V. before the takeover by Fortis, RBS and Santander. Such vesting of new mortgage rights on every such further advance will no longer be done by ABN AMRO Bank N.V. as it has now sufficient legal certainty that this is no longer required to secure the Issuer’s interest under such further advance. Hence the representation by ABN Amro Bank N.V. has been removed from the mortgage receivables purchase agreement.

The above changes do not affect DBRS’s ratings on the notes issued under Fishbowl.

The ratings are based upon DBRS’s review of the following analytical considerations:

(1) The transaction’s capital structure and the form and sufficiency of available credit enhancement. Relevant credit enhancement is in the form of subordination, a reserve fund and excess spread.

(2) The credit quality of the mortgages backing the notes and the ability of the servicer to perform collection activities on the collateral.

(3) The transaction parties’ capabilities with respect to originations, underwriting, servicing and financial strength.

(4) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the transaction documents.

(5) The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with DBRS’s Legal Criteria for European Structured Finance Transactions.

Notes:
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
• Master European Structured Finance Surveillance Methodology
• Swap Criteria for European Structured Finance Transactions
• Operational Risk Methodology for EU Structured Finance Servicers
• Unified Interest Rate Model Methodology for European Securitisations

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 investor reports and revised documents provided by the issuer. 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 related linking document.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

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

Lead Analyst: Kali Sirugudi
Most Recent Rating Update: 19 December 2012
Rating Committee Chair: Erin Stafford