DBRS Downgrades Class C Notes Issued by Goldfish Master Issuer B.V. and Removes UR-Neg.

DBRS Ratings Limited (DBRS) downgraded its ratings on the Series 2010-1, Class C notes and the Series 2013-2, Class C notes (together, the Class C Notes) issued by Goldfish Master Issuer B.V. (the Issuer) to BBB (low) (sf) from A (high) (sf). The Under Review with Negative Implications (UR-Neg.) status on the Class C Notes was removed.

The Class C Notes were initially placed UR-Neg. on 20 July 2017 following a review in line with the annual review cycle of the transaction following the publication of DBRS’s “European RMBS Insight: Dutch Addendum” (the new criteria). For more information on this rating action, please refer to http://www.dbrs.com/research/313523/dbrs-takes-rating-actions-on-notes-issued-by-goldfish-master-issuer-b-v.html. The UR-Neg placement was extended on 19 October 2017.

Goldfish Master Trust B.V. is a EUR 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. (ABN AMRO) that benefit from a Nationale Hypotheek Garantie. As of 29 August 2017, the outstanding balance of the collateralised notes was EUR 6.635 billion.

The credit support to the Class C Notes comprises only potential support from excess spread in the cash flows of the transactions.

Under the New Criteria, the stresses at various rating scenarios for Dutch mortgages are relatively higher than those under DBRS’s earlier RMBS criteria (the old criteria, which are no longer applicable). The key drivers for higher mortgage losses are additional probability of default (PD) adjustments to loans based on the following loan features, which were not material risk drivers in the old criteria:

-- Interest rate reset interval for loans;
-- Interest rate margin for loans;
-- Multiple loan parts;
-- Repayment loans; and
-- Life insurance mortgage loans.

Additionally, under the new criteria, DBRS indexes the valuation of properties and applies market value decline assumptions per region in the Netherlands. The new criteria also includes a distressed sale discount of 20% on property values to arrive at recoveries from the sale of properties. In the old criteria, DBRS did not give any credit to house price movements in evaluating the potential recoveries from the sale of properties for defaulted loans; the market value declines under the old criteria were applied at the national level and there was no additional distressed sale discount applied to recoveries from the sale of properties.

The relatively higher degree of stresses applied in the cash flows analysis has a negative impact for the Class C Notes. This is because the Class C Notes currently do not have any credit support in the form of subordination and depend only on possible excess spread in the transaction structure. The downgrade on the ratings for the Class C Notes are driven by the relatively higher mortgage loss stresses expected for the mortgage portfolio, and concludes the UR-Neg. status of the Class C Notes.

ABN AMRO is the Account Bank for this transaction. The Account Bank reference rating of AA (low), which is one notch below the DBRS Long-Term Critical Obligations Rating (COR) of ABN AMRO at AA, complies with the Minimum Institution Rating, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

ABN AMRO is the Swap Counterparty for this transaction. The DBRS Long-Term COR of ABN AMRO at AA complies with the First Rating Threshold defined in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodologies applicable to the rating are: European RMBS Insight Methodology, European RMBS Insight: Dutch Addendum and Master European Structured Finance Surveillance Methodology.

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

Due to the inclusion of a revolving period in the transaction, the analysis for the Class A and B notes continues to be based on the worst-case replenishment criteria set forth in the transaction legal documents; the analysis for the Class C notes is based on the current portfolio.

A review of the transaction legal documents was not conducted as the legal 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.

These 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 data and information used for this rating include investor reports and servicer reports provided by ABN AMRO Bank N.V.

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

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

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

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on this transaction took place on 20 July 2017, when DBRS confirmed the ratings on the Class A and Class B notes and placed the ratings on the Class C notes Under Review with Negative Implications.

Information regarding DBRS ratings, including definitions, policies and methodologies, is 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”):

For the Class C notes, 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.
-- At the BBB (low) (sf) rating level, the corresponding PD and LGD assumptions applied are 5.7% and 12.5%.

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

Class C Notes risk sensitivity:
-- 25% increase in LGD, expected rating of BB (high) (sf)
-- 50% increase in LGD, expected rating of BB (high) (sf)
-- 25% increase in PD, expected rating of BB (high) (sf)
-- 50% increase in PD, expected rating of BB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BB (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BB (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BB (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of B (high) (sf)

For further information on DBRS historical default rates published by the European Securities and Markets Authority (“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 and US regulations only.

Lead Analyst: Rehanna Sameja, Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 28 June 2010

DBRS Ratings Limited
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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
-- European RMBS Insight Methodology
-- European RMBS Insight: Dutch Addendum
-- Derivative Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- 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