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. (Fishbowl):

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

Today’s rating actions are based on the following analytical considerations, as described more fully below:

-- Portfolio performance, in terms of delinquencies and defaults.
-- Portfolio probability of default rate (PD), loss given default (LGD) and expected loss assumptions based on the portfolio loan Eligibility Criteria and Purchase Conditions.
-- Current credit enhancement available to each class of the rated Notes to cover the expected losses from the portfolio at the respective rating level.

Fishbowl is a EUR 25 billion, fully revolving continuous-issuance programme established in July 2011 and backed by prime Dutch mortgage loans originated by ABN AMRO Bank N.V. (ABN AMRO, A/R-1 (low) and Critical Obligations Rating AA (low)/R-1) and its subsidiaries. All loans purchased through the programme benefit from the National Mortgage Guarantee (NHG). The programme’s current outstanding balance is EUR 7,138,500,000.00. No new series of notes have been issued since the issuance of the first series.

The performance of the mortgage portfolio is stable. As of 29 February 2016, loans more than 90 days delinquent as a percentage of the outstanding portfolio balance were at 0.54%, down from 0.71% in the previous year. During the same period, the cumulative losses realised on the foreclosed loans increased by EUR 3.8 million. The loss severity ratio since the transaction’s closing is 6.66%. DBRS has maintained the PD and LGD assumptions in this rating review.

The credit enhancement (CE) available to the rated Notes remains the same as at the previous rating action as no new notes were issued and the collateral portfolio is still revolving. The current available CE for the collective Class A Notes is 8.69% and for the Class B Notes is 4.30%.

ABN AMRO is the Account Bank and the Swap Counterparty to the transaction. ABN AMRO’s DBRS rating is above the Minimum Institution Rating criteria given the ratings assigned to the collective Class A Notes as described in the DBRS “Legal Criteria for European Structured Finance Transactions” and “Derivative Criteria for European Structured Finance Transactions” methodologies.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is the “Master European Structured Finance Surveillance Methodology”, which can be found on www.dbrs.com at http://www.dbrs.com/about/methodologies.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

Due to the inclusion of a revolving period in the transaction, the collateral was initially modelled based on the worst-case replenishment criteria set forth in the transaction legal documents. These assumptions have not changed and the asset and cash flow analysis were conducted for informational purposes.

A review of the transaction legal documents was not conducted as these documents have remained unchanged since the most recent rating action.

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

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to DBRS “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/]

The sources of information used for the rating actions include the investor reports provided by ABN AMRO Hypotheken Groep B.V. and the loan-by-loan data from European Data Warehouse GmbH.

DBRS does not rely upon third-party due diligence in order to conduct its analysis.

DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

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 DBRS confirmed the ratings on the collective Class A Notes at AAA (sf) and the Class B Notes at AA (low) (sf). The lead responsibilities for all three transactions have been transferred to Kevin Ma.

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 to the parameters used to determine the rating (the Base Case):

-- DBRS expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.

-- The base case PD and LGD of the pool of mortgages are 1.65% and 8.87%, respectively. At the AAA (sf) rating level, the corresponding PD is 22.74% and the LGD is 32.66%. At the AA (low) (sf) rating level, the corresponding PD is 13.20% and the LGD is 20.57%.

-- 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 rating on the Class A Notes would be expected to be at AA (high) (sf), assuming no change in the PD. If the PD increases by 50%, the rating on the Class A Notes would be expected to be at AA (high) (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating on the Class A Notes would be expected to be at AA (sf).

The Collective Class A Notes Sensitivity:
-- 25% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD, expected rating of AA (high) (sf)
-- 50% increase in PD, expected rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (sf)

Class B Notes 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 PD and 25% increase in LGD, expected rating of AA (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (low) (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: Quincy Tang
Initial Rating Date: 26 October 2011
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Kevin Ma
Rating Committee Chair: Quincy Tang

DBRS Ratings Limited
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The rating methodologies 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
-- Operational Risk Assessment for European Structured Finance Originators
-- Unified Interest Rate Model for European Securitisations
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- Derivative Criteria for European Structured Finance Transactions

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