DBRS Assigns Provisional Ratings to Goldfish Master Issuer B.V., Series 2013-2 Notes

DBRS Ratings Limited (“DBRS”) has today assigned provisional ratings to the following notes of Series 2013-2 by Goldfish Master Issuer B.V.:

-- 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 2013-2, Class B
-- ‘A’ (high) (sf) to Series 2013-2, Class C

Goldfish Master Issuer B.V. (“Goldfish”) 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 March 2012, the outstanding balance of collateralised notes is €9.52 billion.

New notes as outlined above, aggregating €8.11 billion are proposed to be issued under Goldfish. Part of the proceeds from this issuance, aggregating €2.63 billion, will be used to redeem the notes under Class A2 Series 2010-2, Class A3 Series 2010-2 and Class A1 Series 2011-1. The Class A2 Series 2010-2 and Class A1 2011-1 are expected to be called on the optional redemption date, 28th of May 2013. Class A3 Series 2012-2 will be repurchased. The rest of the new notes to be issued (€5.48 billion) are expected to be backed by additional mortgage loans purchased by the Asset Purchaser. The new loans purchased will be subject to the portfolio conditions applicable to the revolving mortgage portfolio under Goldfish.

As a result of this expected issuance, the credit enhancement for Classes A1, A2, A3, A4, A5, A6 and A7 are expected to increase from 6.35% to6.86 6.35%. The credit enhancement for the Class B notes will increase from 3.90% to 4.41%. The increase in credit enhancement will mitigate the increase in Weighted Average Loan to Foreclosure Value (WALTFV) which is expected to increase from 98.60%, as of 31 March 2012, to 102.13. While the WALTFV is high, it does comply with the portfolio condition applicable for purchase of new loans which stipulates the WALTFV cannot exceed 104%. DBRS has applied an additional stress to the WALFTV in the assessment of defaults and losses for the Goldfish 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 the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in Euro unless otherwise noted.

The principal methodologies applicable are:
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Legal Criteria for European Structured Finance Transactions
• Derivative Criteria for European Structured Finance Transactions
• Operational Risk Methodology for EU Structured Finance Servicers
• Unified Interest Rate Model Methodology for European Securitisations

These can be found on dbrs.com under Methodologies. For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”.

The sources of information used for this rating include: a provisional loan level data file for the receivables, performance of loans since closing of the transaction and foreclosure data, 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 provisional ratings concern proposed issuance of newly created financial instruments.

This is the first DBRS rating on these financial instruments.

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

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Lead Analyst: Kali Sirugudi
Rating Committee Chair: Mary Jane Potthoff
Initial Rating Date: 28 June 2010
Most Recent Rating Update: 23 May 2013