DBRS Confirms Ratings on Goldfish Master Trust B.V. Notes

DBRS Ratings Limited (DBRS) has today confirmed the ratings on the notes currently outstanding and issued by Goldfish Master Trust B.V. (Goldfish, issuer):

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

Goldfish Master Trust 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 28 May 2015, the outstanding balance of collateralised notes is €12.41 billion.

The confirmation of ratings follows DBRS assessment of the withdrawal of the 403-guarantee by ABN Amro Group N.V. (ABN Amro Group, parent) to ABN Amro Bank N.V. (ABN Amro Bank) on 1 June 2015. Under the Dutch Civil Code, article 403, ABN Amro Group provided a guarantee to ABN Amro Bank assuming joint and several liability for all liabilities arising from legal acts of the later. Such guarantee enabled reporting of consolidated financial results by the parent. Due to changes in laws and regulations, ABN Amro Bank publishes consolidated annual financial accounts as of 2014, and therefore the need for having a 403-guarantee is redundant. The withdrawal of the 403-guarantee triggered borrower notification of the assignment of the assets which has been waived. To reflect the withdrawal of the 403-guarantee the Asset Purchaser Mortgage Receivables Purchase Agreement has been amended.

The withdrawal of the 403-guarantee does not have any adverse credit implications on Dolphin’s ability make payment on the rated notes. The counterparty risk of Dolphin on ABN Amro Bank, acting as the swap provider, the account bank and the collections account bank is mitigated by DBRS’s long-term rating of ABN Amro Bank which is in line with DBRS’s legal criteria on counterparty risk in structured finance transactions. Please see the following link for the rating of ABN Amro Bank. http://www.dbrs.com/issuer/17333

DBRS withdrew the rating on the Class A1, Series 2007-1 notes as these have repaid in full on 28 May 2015. As a result of such repayment the credit enhancement on the entire Class A series of notes increased to 8.29% (from 7.40% earlier) and that on the Class B notes increased to 5.33% (from 4.76% earlier).

The performance of the mortgage portfolio under Goldfish is performing in line with DBRS’s expectations with cumulative foreclosures at 0.94% and cumulative losses at 0.08% 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, relevant credit enhancement 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 DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.
Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is the “Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda”.

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

The sources of information used for this rating include: the notifications provided by the issuer, the latest loan-level data file for the mortgage loans, and performance of loans since closing of the transaction, all of which has been provided by the issuer.

DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality. The information provided to DBRS was subjected to a reasonableness review but has not been verified.

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 relevant rating actions on this transaction took place on 16 July 2014, when the ratings on the outstanding notes were confirmed. Please refer the link below for the details on the previous rating action. http://www.dbrs.com/research/269887/dbrs-confirms-ratings-on-goldfish-master-issuer-b-v.html

The rating confirmations concern existing financial instruments issued in the past under the Goldfish programme.

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

To assess the impact of 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):

For all the Class A notes, the Probability of Default (PD) of 20.07% and Loss Given Default (LGD) of 15.32% corresponding to a AAA stress scenario were stressed assuming a 25% and 50% increase in PD and LGD. The ratings of the Class A notes are not affected adversely in any of the higher stress scenarios.

In respect of the Class B notes, the PD of 11.34% and LGD of 12.94% corresponding to a AA (low) stress scenario were stressed assuming a 25% and 50% increase in PD and LGD. The ratings for the Class B notes are not adversely affected in any of the higher stress scenarios.

In respect of the Class C notes, the PD of 9.85% and LGD of 12.51% corresponding to an “A” stress scenario were stressed assuming a 25% and 50% increase in PD and LGD. In the hypothetical scenario where the PD was increased by 25% and 50% with no change in LGD, the ratings of Class C notes fell to BBB (low). A hypothetical increase in LGD by 25% and 30% with no change in PD also resulted in a downgrade of the Class C notes to BBB (low). An increase in PD and LGD by 50% resulted in a downgrade of the Class C notes to B (high).

For 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, Senior Vice President, European Structured Finance

Initial Rating Date: 1 September 2010
Initial Rating Committee Chair: Claire Mezzanotte, Managing Director, Head – Global Structured Finance

Last Rating Date: 16 July 2014
Lead Surveillance Analyst: Keith Gorman
Rating Committee Chair: Erin Stafford

Kali Sirugudi
Lead Analyst
Vice President –European Structured Finance
+44 020 7855 6609
ksirugudi@dbrs.com

DBRS Ratings Limited
1 Minster Court, 10th Floor
Mincing Lane
London
EC3R 7AA
United Kingdom

Registered in England and Wales: No. 7139960

The methodologies applicable are as follows:

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

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