DBRS Rates Goldfish Master Issuer Series 2011-1

DBRS, Inc. (DBRS) has today assigned the rating AAA (sf) to the Class A1 notes of Series 2011-1 by Goldfish Master Issuer B.V. (Goldfish). The proceeds of the Series 2011-1 notes are used to fully redeem Class A1 of Series 2010-1.

DBRS has also today confirmed the ratings of the Series 2007-1, Series 2009-3, Series 2009-4, 2009-5, and 2010-1 notes issued by Goldfish upon the issuance of the Series 2011-1 notes. The ratings of Class A1 from Series 2010-1 have been discontinued-repaid.

Goldfish is a EUR25 billion, fully revolving continuous-issuance programme backed by standard prime Dutch mortgages originated by subsidiaries of ABN AMRO Bank N.V. with the benefit of the Nationale Hypotheek Garantie (NHG). The NHG guarantee is provided by a Dutch government sponsored institution, the WEW – Homeownership Guarantee Fund. The guarantee covers for potential losses of mortgage loans after the foreclosure process. ABN AMRO Bank N.V. is a public limited liability company incorporated under Dutch law on April 9, 2009.

The ratings are based upon DBRS review of the following analytical considerations:
•Transaction capital structure and form and sufficiency of available credit enhancement.
•Relevant credit enhancement is in the form of excess spread and subordinate notes.
•The benefit of the NHG Guarantee on the underlying mortgage loans.
•The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to terms in which they have invested.
•The transaction parties’ capabilities with respect to originations, underwriting, servicing, and financial strength.
•The credit quality of the collateral and ability of the servicer to perform collection activities on the collateral.
•A review of the legal structure and opinions.

DBRS credit analysis is performed on a loan-level basis and includes a probability of default and loss given default assessment, an originator- and servicer-specific historical performance review, a Dutch housing market and property price trend evaluation, and finally a cash flow simulation based on various stresses to prepayments, timing of defaults and recoveries and interest rates.

DBRS made appropriate adjustments to our model parameters based on the analysis of market value declines in DBRS and the historical performance data provided by the originator and servicer.

Note:
All figures are in Euros unless otherwise noted.

The applicable methodologies are Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda, Legal Criteria for European Structured Finance Transactions, Operational Risk Assessment for European RMBS Servicers, Swap Criteria for European Structured Finance Transactions and Unified Interest Rate Model for European Securitisations.

This is the first DBRS rating on the Series 2011-1 financial instrument.

The Series 2011-1 is a newly created financial instrument.

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link or by contacting us at info@dbrs.com.

For additional information on this rating, please refer to the linking document.

This credit rating has been issued outside the European Union (EU) and may be used for regulatory purposes by financial institutions in the EU.

Lead Analyst: Keith Gorman
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 28 November 2011