DBRS Confirms Ratings on Notes Issued by Goldfish Master Issuer B.V.

DBRS Ratings Limited (DBRS) confirmed its ratings on the notes issued by Goldfish Master Issuer B.V. (the Issuer) as follows:
-- 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 confirmed at BBB (low) (sf)
-- Series 2013-2, Class C confirmed at BBB (low) (sf)

The confirmations follow an annual review of the transaction and are based on the following analytical considerations:
-- The overall portfolio performance, in terms of level of delinquencies and cumulative net losses, as of May 2018 payment date;
-- The current respective levels of credit enhancement (CE) available to the notes.

The ratings of the notes address timely payment of interest and ultimate repayment of principal by the legal maturity in November 2099.

The Issuer is a 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.

PORTFOLIO PERFORMANCE
As of the April 2018 payment date, 30-day to 60-day delinquencies represented 0.4% of the outstanding principal balance; the balance of loans between 60 and 90 days delinquent was 0.1%; and 90-day delinquenices stood at 0.1%. Defaulted loans represented 1.6% of the portfolio.

CREDIT ENHANCEMENT
CE is provided primarily by the subordination of the respective junior obligations. CE for Series 2013-2, Class A4 to A7 (the Class A notes) increased to 16.9% in April 2018 from 6.2% at closing; CE for Series 2010-1, Class B and Series 2013-2, Class B (the Class B notes) increased to 11.7% from 3.8%; CE for Series 2010-1, Class C and Series 2013-2, Class C (the Class C notes) has remained at 0.0%. Credit support to the Class C notes comprises only potential support from excess spread in the cash flows of the transaction.

ABN AMRO is the account bank for the transaction. DBRS’s Long-Term Critical Obligations Rating (COR) of ABN AMRO at AA is consistent with the minimum institution rating given the rating assigned to the Class A 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 is consistent 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 methodology applicable to the ratings is: “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. 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; 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 “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.

The sources of data and information used for these ratings include investor reports provided by ABN AMRO and loan-level data from the European Data Warehouse GmbH.

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 these ratings 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 18 June 2018, when DBRS discontinued the rating on the Series 2013-2, Class A3 notes due to repayment in full. The last rating action on the Class C notes took place on 9 November 2017 when DBRS downgraded the notes from A (high) (sf) to BBB (low) (sf). The last rating actions on the Class A and Class B notes took place on 20 July 2017 when DBRS confirmed its ratings of the notes.

The lead analyst responsibilities for this transaction have been transferred to Matt Albin.

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 these ratings, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):

-- DBRS expected a base case probability of default (PD) and loss given default (LGD) for the portfolio 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.

-- The Base Case PD and LGD of the current pool of receivables are 5.1% and 82.7%, respectively.

For example, if the LGD increases by 50%, the ratings of the Class A notes would be expected to remain at AAA (sf), ceteris paribus. If the PD increases by 50%, the ratings of the Class A notes would be expected to remain at AAA (sf), ceteris paribus. Furthermore, if both the PD and LGD increase by 50%, the ratings of the Class A notes would be expected to remain at AAA (sf), ceteris paribus.

Class A notes risk sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AAA (sf)

Class B notes risk sensitivity:
-- 25% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in LGD, expected rating of AA (low) (sf)
-- 25% increase in PD, expected rating of AA (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in PD, expected rating of AA (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (low) (sf)

Class C notes risk sensitivity:
-- 25% increase in LGD, expected rating of BBB (low) (sf)
-- 50% increase in LGD, expected rating of BBB (low) (sf)
-- 25% increase in PD, expected rating of BBB (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BB (high) (sf)
-- 50% increase in PD, expected rating of BBB (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (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: Matt Albin, Senior Financial Analyst
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.

-- Master European Structured Finance Surveillance Methodology
-- Legal Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Originators
-- Operational Risk Assessment for European Structured Finance Servicers
-- European RMBS Insight Methodology
-- European RMBS Insight: Dutch Addendum
-- Derivative Criteria for European Structured Finance Transactions
-- Interest Rate Stresses 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.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.