DBRS Confirms Ratings on Fishbowl Master Issuer B.V.

DBRS Ratings Limited (DBRS) has today confirmed the ratings on the following notes issued by Fishbowl Master Issuer B.V. (the Issuer):

-- Series 2011-1 Class A6 at AAA (sf)
-- Series 2011-1 Class A7 at AAA (sf)
-- Series 2011-1 Class A8 at AAA (sf)
-- Series 2011-1 Class A9 at AAA (sf)
-- Series 2011-1 Class A10 at AAA (sf)
-- Series 2011-1 Class A11 at AAA (sf)
-- Series 2011-1 Class A12 at AAA (sf)
-- Series 2011-1 Class B at AA (low) (sf)

The Issuer is a EUR 25 billion, fully revolving continuous-issuance programme established in July 2011 and backed by prime Dutch mortgage loans originated by subsidiaries of ABN AMRO Bank N.V. (ABN AMRO).

Confirmation of the ratings on the relevant notes is based on the following analytical considerations:
-- Performance of the portfolio is within DBRS expectations as of the November 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 Nationale Hypotheek Garantie (NHG) 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 and are currently at 0.68%. Cumulative defaults as a percentage of the initial collateral balance are also low at 0.89%.

Credit enhancement for each class of rated notes has increased since the transaction closed because of the previous repayment of the Series 2011-1 Class A1 and Series 2011-1 Class A2 Notes. As a result, credit enhancement for the collective Class A Notes has increased to 8.69% from the original level of 6.20% and the Class B Notes to 4.30% from 3.80%.

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 (December 2014), which can be found on www.dbrs.com at
http://www.dbrs.com/about/methodologies. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

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 provided by ATC Financial Services Inc. and 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 5 May 2015, when the ratings for each class of notes were confirmed.

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 with the parameters used to determine the rating (the base case):
-- DBRS expected a lifetime base-case probability of default (PD) and 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.
-- The base-case PD, LGD and adjusted LGD of the portfolio are 1.65%, 29.58% and 8.87%, respectively. At the AAA (sf) rating level, the corresponding PD is 22.74%, the LGD is 50.24% and the adjusted LGD is 15.07%. At the AA (low) (sf) rating level, the corresponding PD is 13.20%, the LGD is 42.26% and the adjusted LGD is 12.68%.
-- 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 be lowered to AA (sf), all else equal. If the PD increases by 50%, the ratings for the Class A Notes would be expected to be lowered to AA (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 decrease to A (high) (sf).

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

For further information on DBRS historic default rates published by the European Securities and Markets Administration 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: Quincy Tang
Initial Rating Date: 26 October 2011
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: 5 May 2015

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Diana Turner

DBRS Ratings Limited
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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
-- 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

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at http://www.dbrs.com/research/278375.