DBRS Takes Rating Actions on Notes Issued by Goldfish Master Issuer B.V.

DBRS Ratings Limited (DBRS) has today taken the following rating actions on the Notes issued by Goldfish Master Issuer B.V. (the Issuer):

-- Series 2007-1, Class A2 discontinued due to repayment in full
-- Series 2008-2, Class A discontinued due to repayment in full
-- Series 2013-1, Class A-2 discontinued due to repayment in full
-- Series 2013-2, Class A2 discontinued due to repayment in full
-- Series 2007-1, Class B1 discontinued due to repayment in full
-- Series 2008-1, Class B discontinued due to repayment in full
-- Series 2008-2, Class B discontinued due to repayment in full
-- Series 2013-2, Class A3 confirmed at AAA (sf)
-- Series 2013-2, Class A4 confirmed at AAA (sf)
-- Series 2013-2, Class A5 confirmed at AAA (sf)
-- Series 2013-2, Class A6 confirmed at AAA (sf)
-- Series 2013-2, Class A7 confirmed at AAA (sf)
-- Series 2010-1, Class B confirmed at AA (low) (sf)
-- Series 2013-2, Class B confirmed at AA (low) (sf)
-- Series 2010-1, Class C placed Under Review with Negative Implications (UR-Neg.)
-- Series 2013-2, Class C placed Under Review with Negative Implications (UR-Neg.)

These rating actions reflect payment in full of the discontinued notes on 30 May 2017 and a review in line with the annual review cycle of the transaction following publication of DBRS’s “European RMBS Insight: Dutch Addendum” (the New Criteria; please refer to http://www.dbrs.com/research/310940/dbrs-confirms-ratings-on-dutch-rmbs-transactions-following-methodology-update.html for more information).

The 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 (EL) assumptions for the revolving collateral pool as determined by the New Criteria.
-- The current levels of credit enhancement (CE) available to the rated notes to cover the ELs at their respective rating levels.

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 30 May 2017, the outstanding balance of the collateralised notes was EUR 6.635 billion.

As of 30 May 2017, loans more than 90 days delinquent as a percentage of the outstanding collateral pool balance were just under 0.30% and showed a stable trend. The cumulative losses in the transaction were at just under 0.22%. As the transaction is still revolving, DBRS has stressed the mortgage portfolio to the applicable portfolio conditions.

As a consequence of paying down the different series of two classes of notes, the CE on all Class A notes increased to 14.35% from 10.66% and the CE on all Class B notes increased to 9.96% from 6.85%. The credit support to the Class C notes remained unchanged and 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; no longer applicable). The key drivers for higher mortgage losses are additional 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, particularly for the Class C notes, needs further evaluation. 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 negative implications on the current ratings for the Class C notes are driven by the relatively higher mortgage loss stresses expected for the mortgage portfolio. DBRS expects to resolve the UR-Neg. status of the Class C notes within a 90-day period. Ratings that are UR-Neg. may either be downgraded or confirmed.

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, given the rating assigned to the Notes 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.

DBRS is undertaking a review and will remove the rating from this status as soon as it is appropriate.

Due to the inclusion of a revolving period in the transaction, the analysis continues to be based on the worst-case replenishment criteria set forth in the transaction legal documents.

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 30 November 2016, when DBRS discontinued the rating on the Series 2010-1, Class A3 Notes due to repayment in full.

The lead analyst responsibilities for this transaction have been transferred to Rehanna Sameja.

Information regarding DBRS ratings, including definitions, policies and methodologies, is 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 base case PD and LGD 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 base case PD and LGD 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 no sensitivities were run as the ratings for these notes are UR-Neg. Generally, the conditions that lead to the assignment of reviews are resolved within a 90-day period.

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.