DBRS Assigns Final Ratings to Goldfish Master Issuer B.V., Series 2013-1 Notes

DBRS Ratings Limited (“DBRS”) has today assigned final ratings to the following notes of Series 2013-1 issued by Goldfish Master Issuer B.V. (“Goldfish”):

-- AAA (sf) to Series 2013-1, Class A1
-- AAA (sf) to Series 2013-1, Class A2

DBRS has today, also confirmed ratings to the following notes issued under previous series of Goldfish:

-- AAA (sf) to Series 2007-1, Class A1
-- AAA (sf) to Series 2007-1, Class A2
-- AAA (sf) to Series 2008-2, Class A
-- AAA (sf) to Series 2009-5, Class A1
-- AAA (sf) to Series 2009-5, Class A3
-- AAA (sf) to Series 2010-1, Class A3
-- AAA (sf) to Series 2010-2, Class A2
-- AAA (sf) to Series 2010-2, Class A3
-- AAA (sf) to Series 2011-1, Class A1
-- AA (low) (sf) to Series 2007-1, Class B1
-- AA (low) (sf) to Series 2008-1, Class B0
-- AA (low) (sf) to Series 2008-2, Class B0
-- AA (low) (sf) to Series 2010-1, Class B
-- ‘A’ (high) (sf) to Series 2010-1, Class C

Goldfish Master Issuer B.V. is a €25 billion, fully revolving continuous-issuance programme established in May 2007 and is backed by prime Dutch mortgage loans originated by subsidiaries of ABN AMRO Bank N.V. that benefit from a Nationale Hypotheek Garantie (NHG guarantee). As of December 2012, the outstanding balance of collateralised notes is €9.52 billion. The proceeds from the Class A1 and A2 Series 2013-1 Notes will be used to redeem notes whose margin step-up-dates fall on 28 February 2013. The notes paid in full are the Class A Series 2009-3 notes, Class A2 Series 2009-5 and Class A1 Series 2010-2.

Under Goldfish, four of the asset purchasers have been merged into a single entity – Goldfish Asset Purchasing B.V. In addition to this change, three more sellers, ABN Amro Hypotheken Groep B.V., MoneYou B.V. and Woonnexxt Hypotheken B.V., subsidiaries of ABN AMRO Bank N.V., are eligible for selling mortgage loans to the revolving mortgage portfolio under Goldfish. Each of these sellers has similar procedures for the origination and servicing of mortgage loans as those of ABN AMRO Bank N.V. and other sellers under Goldfish. Moreover, the loans purchased by Goldfish from these added sellers will have to comply with the conditions for purchase of new loans which will limit any significant adverse shift in credit risk profile of the mortgage portfolio.

The ratings are based upon DBRS review of the following analytical considerations:
• 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.
• The credit quality of the mortgages backing the notes and the ability of the servicer to perform collection activities on the collateral.
• The transaction parties’ capabilities with respect to originations, underwriting, servicing and financial strength.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the transaction documents.
• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.
Notes:
All figures are in Euro unless otherwise noted.

The principal methodologies applicable are:

• Master European Residential Mortgage-Backed Securities Rating Methodology
• Legal Criteria for European Structured Finance Transactions
• 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 a loan level data file for the receivables, performance of loans since closing of the transaction and foreclosure data provided by the issuer.

DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

The final ratings to Class A1 and A2 Series 2013-1 concern newly issued financial instruments. This is the first DBRS rating on these financial instruments.

The rating confirmations, to notes of Series issued before the new Series 2013-1, concern existing financial instruments issued in the past.

For additional information on this rating, please see the linking document.

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

Initial Lead Analyst: Keith Gorman
Initial Rating Date: 28 June 2010
Rating Committee Chair: Claire Mezzanotte

Lead Analyst: Kali Sirugudi
Most Recent Rating Update: 19 December 2012
Rating Committee Chair: Mary Jane Potthoff