DBRS Confirms Goldfish Master Issuer B.V. and Discontinues Ratings on Notes Paid in Full

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

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

DBRS has discontinued the ratings on the following notes, as these notes were paid in full on the optional redemption date on 28 May 2016.

-- Series 2013-1, Class A-1
-- Series 2013-2, Class A1

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 (PD) rate, loss given default (LGD) and expected loss assumptions for the revolving collateral pool.
-- Higher credit enhancement (CE) available to the rated notes to cover the expected losses at their respective rating levels.

Goldfish Master Trust B.V. is a €25 billion, fully revolving continuous-issuance programme established in May 2007. It 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 2016, the outstanding balance of the collateralised notes was €9.71 billion.

The revolving portfolio is performing within DBRS’s expectations. As of 31 March 2016, loans more than 90 days delinquent as a percentage of the outstanding collateral pool balance were at approximately 0.30% and showed a declining trend. The cumulative losses in the transaction were at just under 0.15%. As the transaction is still revolving, DBRS has maintained the base-case PD and LGD assumptions for each rating scenario.

As a consequence of pay down of the two classes of notes, the CE on all Class A notes increased to 10.60%, and the CE for all Class B notes increased to 6.81%.

ABN AMRO Bank N.V. is the key counterparty in the transaction, acting as the account bank and swap provider. Its Critical Obligations Rating meets the Minimum Institution Rating criteria as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology, and it meets the swap counterparty rating requirement as described in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology, given the rating assigned to all the Class A Notes.

Notes:
All figures are in euros unless otherwise noted.

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

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

An asset and a cash flow analysis were both conducted. However, due to the inclusion of a revolving period in the transaction and no change in assumptions, the initial analysis based on worst-case replenishment criteria set forth in the transaction legal documents was assumed.

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

In DBRS’s opinion, a discontinued-repaid rating action does not require the application of the entire principal methodology.

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 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 ABN AMRO Bank N.V.

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 1 June 2015, when the ratings on the outstanding 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 to the parameters used to determine the rating (the Base Case):

For all the Class A notes, the PD of 20.07% and 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 (high) 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 50% 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). A hypothetical increase in LGD by 25% and PD by 25% resulted in a downgrade of the Class C notes to BBB (low). A hypothetical increase in LGD by 50% and PD by 25% resulted in a downgrade of the Class C notes to B (high). A hypothetical increase in LGD by 25% and PD by 50% resulted in a downgrade of the Class C notes to B (high). An increase in PD and LGD by 50% resulted in a downgrade of the Class C notes to B (high).

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

Lead Surveillance Analyst: Kali Sirugudi
Rating Committee Chair: Quincy Tang

DBRS Ratings Limited
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London EC3M 3BY
United Kingdom
Registered in England and Wales: No. 7139960

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