DBRS Confirms Ratings on Goldfish Master Issuer B.V.

DBRS Ratings Limited (“DBRS”) has reviewed Goldfish Master Issuer B.V. (the “Issuer”) and confirmed the ratings on the following notes:

• Series 2007-1 Class A1 confirmed at AAA (sf)
• Series 2007-2 Class A2 confirmed at AAA (sf)
• Series 2008-2 Class A confirmed at AAA (sf)
• Series 2010-1 Class A3 confirmed at AAA (sf)
• Series 2013-1 Class A1 confirmed at AAA (sf)
• Series 2013-1 Class A2 confirmed at AAA (sf)
• Series 2013-2 Class A1 confirmed at AAA (sf)
• Series 2013-2 Class A2 confirmed at AAA (sf)
• Series 2013-2 Class A3 confirmed at AAA (sf)
• Series 2013-2 Class A4 confirmed at AAA (sf)
• Series 2013-2 Class A5 confirmed at AAA (sf)
• Series 2013-2 Class A6 confirmed at AAA (sf)
• Series 2013-2 Class A7 confirmed at AAA (sf)
• Series 2007-1 Class B1 confirmed at AA (low) (sf)
• Series 2008-1 Class B confirmed at AA (low) (sf)
• Series 2008-2 Class B confirmed at AA (low) (sf)
• Series 2010-1 Class B confirmed at AA (low) (sf)
• Series 2013-2 Class B confirmed at AA (low) (sf)
• Series 2010-1 Class C confirmed at A (high) (sf)
• Series 2013-2 Class C confirmed at A (high) (sf)

Additionally, DBRS discontinued the rating on the following notes due to full repayment on 28 May 2014:

• Series 2009-5 Class A1, Disc.-Repaid
• Series 2009-5 Class A3, Disc.-Repaid

The Issuer is a EUR 25 billion, fully revolving continuous-issuance programme established in May 2007 and backed by prime Dutch mortgage loans originated by subsidiaries of ABN AMRO Bank N.V. (ABN AMRO).

Confirmation of the ratings to the relevant notes is based upon the following analytical consideration:

• Performance of the portfolio is within DBRS expectations as of the 28 Mary 2014 reporting date.
• The portfolio Purchase Conditions are within the defined thresholds.
• Updated adjustments to the Loss Given Default (“LGD”) for the benefit from the NHG Guarantee based on updated claims data provided by ABN AMRO.
• Current available credit enhancement to each class of rated notes to cover the expected losses for the portfolio (based on the Purchase Conditions) at the respective rating level.

Delinquencies more than 90 days have been low since the transaction closing date but have shown a slight increase and are currently at 0.49%. Cumulative defaults as a percentage of the current collateral balance are also low at 0.71%.

Credit enhancement for the Class A Notes and Class B Notes has increased since the transaction close due to the repayment of Notes. As a result credit enhancement for the collective Class A Notes has increased from the original level of 6.35% to 7.40% and the Class B Notes from 3.90% to 4.76%. The Class C Notes do not benefit from subordination.

DBRS analysed a subset of NHG loans with NHG claim pay-outs provided by ABN AMRO. The data set includes 1432 loans where the property was sold and a claim was submitted to NHG covering the period 2006-2012. The data set includes loans from Fishbowl, Goldfish Master Issuer B.V. and non-securitised loans. For the 1432 loans, the NHG pay-out as a percentage of the claim amount submitted to ‘Stichting Waarborgfonds Eigen Woningen’ (the “WEW”), the administrator for the NHG Guarantee, was 71.51%. The pay-out percentage increased from calculated 60% from the data set provided by ABN AMRO prior to the initial ratings of Fishbowl. For the current analysis of the Fishbowl portfolio, a recovery assumption of 70% was applied to the LGD estimate from the European RMBS Credit Model in each rating scenario.

ABN AMRO is the Issuer Account Bank and Asset Swap Counterparty for the transaction. The DBRS public rating of ABN AMRO is above the Minimum Institution Rating given the rating assigned to the collective Class A Notes as described in the DBRS Legal Criteria for European Transactions and DBRS Derivative Criteria for European Structured Finance Transactions.

Notes:
All figures are in Euros unless otherwise noted.

The principal methodology applicable is Master European Structured Finance Surveillance Methodology.

Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/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” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of information used for this rating include periodic investor reports and NHG pay-out data from ABN AMRO, as well as loan level data from the European DataWarehouse.

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

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this transaction took place on 28 May 2013.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):
-DBRS expected a lifetime base case Probability of Default (PD) and Loss Given Default (LGD) for the pool based on a review of current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-The LGD was adjusted for the benefit of the NHG Guarantee.
-The base case PD, LGD and adjusted LGD of the portfolio are 1.14%, 30.39% and 9.12%, respectively. At the AAA (sf) rating level the corresponding PD is 18.01%, the LGD is 51.07% and the adjusted LGD is 15.32%. At the AA (low) (sf) rating level the corresponding PD is 9.95%, the LGD is 43.12% and the adjusted LGD is 12.94%. At the A (high) (sf) rating level the corresponding PD is8.60%, the LGD is 41.70% and the adjusted LGD is 12.51%.
-In each of the 20% CPR prepayment scenarios, principal writedowns were observed on each of the Class C Notes. Given the current prepayment experience of the Issuer and Dutch mortgages, DBRS considers the 20% CPR scenarios as highly stressful for an A (high) (sf) rating scenario.
-The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the ratings for the Class A Notes would be expected to remain at AAA (sf), all else equal. If the PD increases by 50%, the ratings for the Class A Notes would be expected to remain at AAA (sf), all else equal. Furthermore, if both the PD and LGD increase by 50%, the ratings for the Class A Notes would be expected to remain at AAA (sf).

Class A Notes Risk Sensitivity (all outstanding Classes):
-25% increase in LGD, expected rating of AAA (sf)
-50% increase in LGD, expected rating of AAA (sf)
-25% increase in PD, expected rating of AAA (sf)
-50% increase in PD, expected rating of AAA (sf)
-25% increase in LGD and 25% increase in PD, expected rating of AAA (sf)
-25% increase in LGD and 50% increase in PD, expected rating of AAA (sf)
-50% increase in LGD and 25% increase in PD, expected rating of AAA (sf)
-50% increase in LGD and 50% increase in PD, expected rating of AAA (sf)

Class B Notes Risk Sensitivity:
-25% increase in LGD, expected rating of AA (low) (sf)
-50% increase in LGD, expected rating of AA (low) (sf)
-25% increase in PD, expected rating of AA (low) (sf)
-50% increase in PD, expected rating of AA (low) (sf)
-25% increase in LGD and 25% increase in PD, expected rating of AA (low) (sf)
-25% increase in LGD and 50% increase in PD, expected rating of AA (low) (sf)
-50% increase in LGD and 25% increase in PD, expected rating of AA (low) (sf)
-50% increase in LGD and 50% increase in PD, expected rating of AA (low) (sf)

Class C Notes Risk Sensitivity:
-25% increase in LGD, expected rating of BBB (low) (sf)
-50% increase in LGD, expected rating of BBB (low) (sf)
-25% increase in PD, expected rating of BBB (low) (sf)
-50% increase in PD, expected rating of BBB (low) (sf)
-25% increase in LGD and 25% increase in PD, expected rating of BBB (low) (sf)
-25% increase in LGD and 50% increase in PD, expected rating of BB (high) (sf)
-50% increase in LGD and 25% increase in PD, expected rating of BB (high) (sf)
-50% increase in LGD and 50% increase in PD, expected rating of BB (high) (sf)

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

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

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

Lead Surveillance Analyst: Keith Gorman
Rating Committee Chair: Quincy Tang

DBRS Ratings Limited
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United Kingdom

Registered in England and Wales: No. 7139960

The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

Legal Criteria for European Structured Finance Transactions
Derivative Criteria for European Structured Finance Transactions
Master European Structured Finance Surveillance Methodology
Operational Risk Assessment for European Structured Finance Servicers
Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
Unified Interest Rate Model for European Securitisations