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Rating Action:

Moody's assigns Aaa (sf) ratings to two classes of RMBS notes issued by Goldfish Master Issuer B.V.

28 Feb 2013

EUR 2.7 Billion of Debt Securities Rated

London, 28 February 2013 -- Moody's Investors Service has today assigned a definitive credit rating to the following note issued by Goldfish Master Issuer B.V. Series 2013-1:

....EUR1,701.5M A1 Notes, Assigned Aaa (sf)

....EUR1,000M A2 Notes, Assigned Aaa (sf)

Moody's also affirms the existing ratings of notes issued by Goldfish Master Issuer B.V.

The Goldfish Master Issuer programme was established in 2007. The new issuance has been used to refinance and call the EUR 400,000,000 Series 2009-3 Class A, EUR 1,001,500,000 Series 2009-5 Class A2 and EUR 1,300,000,000 Series 2009-3 Class A Notes.

RATINGS RATIONALE

All notes are backed by a pool of prime Dutch residential mortgages with a NHG-guarantee. The current pool consist of loans originated ABN AMRO Bank N.V. (former Fortis Bank (Nederland) N.V.; A2/P-1, "ABN AMRO") or one of its subsidiaries, Direktbank N.V. (not rated), Oosteroever Hypotheken B.V. (not rated) and Quion 9 B.V. (not rated). Following amendments to the transaction documents just before this issuance, loans originated directly by ABN AMRO or one of its subsidiaries, WoonNexxt Hypotheken B.V. (not rated) and MoneYou B.V. (not rated) will also be eligible to be added to the pool.

The transaction is strongly linked to the credit quality of ABN AMRO due to the number of key counterparty roles performed. Should ABN AMRO be downgraded then the ratings of the notes may also be downgraded. ABN AMRO acts as servicer, cash manager, issuer account bank, collection account bank and swap counterparty. The swap provides excess spread which acts as a source of credit enhancement; a typical feature for Dutch RMBS transactions. However, the transaction has increased reliance on the swap which, unusually, provides the only source of liquidity to the transaction which has no reserve fund or dedicated liquidity facility. In addition there are no rating based triggers to appoint a back-up or replacement servicer or cash manager.

Just before this issuance the transaction documents have also undergone the following main amendments (i) the addition of new sellers as described above; (ii) previously each seller sold loans into a dedicated asset purchaser within the transaction, the separate asset purchasers have now been combined into one single entity; and (iii) previously each asset purchaser had a separate interest rate swap, all provided by ABN AMRO, these have now been replaced with one single swap on similar terms also provided by ABN AMRO.

The ratings address the expected loss posed to investors by the legal final maturity of the notes. In Moody's opinion, the structure allows for timely payment of interest and ultimate payment of principal with respect to the Notes by the legal final maturity. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors.

The ratings of the notes takes into account the credit quality of the underlying mortgage loan pool, from which Moody's determined the MILAN Credit Enhancement (CE) of 6.2 per cent and the portfolio expected loss of 0.2 per cent as well as the transaction structure.

Expected loss of 0.2 per cent: this is in line with other Dutch NHG transaction and is based upon the following key drivers (i) the fact that all mortgage loans have the benefit of an NHG guarantee; (ii) the buy-back obligation of the sellers in case the mortgage loan is no longer eligible for the NHG guarantee; and (iii) the mismatch between the amortising nature of the NHG guarantee and that of the mortgage loan.

MILAN CE of 6.2 per cent: is on the higher end of Dutch NHG RMBS transactions and is based upon the following key drivers (i) relatively loose substitution criteria, whereby the portfolio characteristics could change significantly in terms of weighted-average loan-to-foreclosure value (capped at 104 per cent), loan-to-value distribution, seasoning and product characteristics; (ii) since this pool consists of NHG-guaranteed loans the originators' historic NHG pay-out ratios were also considered for stressed scenarios in which the sellers might no longer be in a position to honour their buy-back obligation for loans that do not meet the NHG criteria. Moody's assumed a rescission rate of 45 per cent in the MILAN analysis; and (iii) the presence of other, potentially equal ranking, debts secured against the same property but not included in the pool.

Approximately 25 per cent of the portfolio is linked to life insurance policies (life mortgage loans), which are exposed to set-off risk in case an insurance company goes bankrupt. The seller has provided only limited loan by loan insurance company counterparty data. The substitution criteria allow for up to 50 per cent of the portfolio to be linked to life insurance policies while the distribution of insurance counterparties might change over time because of the revolving nature of the transaction. Moody's considered the set-off risk in the cash flow analysis.

Moody's only rates the Class A notes of the programme which benefit from credit enhancement provided by subordination of more junior notes, amounting to 6.2 per cent, and excess spread of 40 bps, provided through the swap.

Moody's Parameter Sensitivities: At the time the rating was assigned, the model output indicated that the Class A notes would have only achieved a Aa1 rating if the MILAN CE was increased to 7.4 per cent assuming that the expected loss emained in the range from 0.20 per cent to 0.60 per cent.

Moody's Parameter Sensitivities provide a quantitative/model-indicated calculation of the number of rating notches that a Moody's structured finance security may vary if certain input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged and is not intended to measure how the rating of the security might migrate over time, but rather how the initial rating of the security might have differed if key rating input parameters were varied. Parameter Sensitivities for the typical EMEA RMBS transaction are calculated by stressing key variable inputs in Moody's primary rating model.

The V-Score for this transaction is Medium, which is higher than the Low/Medium V-Score assigned for the Dutch prime RMBS sector. This is due to (i) missing elements of information on the collateral provided by the originators on a loan-by-loan basis; and (ii) the complexity of the transaction resulting from the master issuer nature, which is more complex than the average Dutch stand alone transactions. V-Scores are a relative assessment of the quality of available credit information and of the degree of dependence on various assumptions used in determining the rating. High variability in key assumptions could expose a rating to more likelihood of rating changes. The V-Score has been assigned accordingly to the report "V-Scores and Parameter Sensitivities in the Major EMEA RMBS Sectors" published in April 2009.

Principle methodology used in these ratings was Moody's Approach to Rating RMBS in Europe, Middle East, and Africa published in June 2012.

In rating these transactions, Moody's used ABSROM to model the cash flows and determine the loss for each tranche. The cash flow model evaluates all default scenarios that are then weighted considering the probabilities of the lognormal distribution assumed for the portfolio default rate. In each default scenario, the corresponding loss for each class of notes is calculated given the incoming cash flows from the assets and the outgoing payments to third parties and noteholders. Therefore, the expected loss or EL for each tranche is the sum product of (i) the probability of occurrence of each default scenario; and (ii) the loss derived from the cash flow model in each default scenario for each tranche.

As such, Moody's analysis encompasses the assessment of stressed scenarios.

REGULATORY DISCLOSURES

Moody's did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments in these transactions.

Please note the language under the Surveillance Reports of the Disclosure Form should read as follows: In conducting surveillance of this credit, Moody's will consider performance data contained in servicer reports.

Further information on the representations and warranties and enforcement mechanisms available to investors are available on http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF318082

For ratings issued on a program, series or category/class of debt, this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this rating action, and whose ratings may change as a result of this rating action, the associated regulatory disclosures will be those of the guarantor entity.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Anthony?Parry
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Annabel?Schaafsma
Senior Vice President
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Releasing Office:
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's assigns Aaa (sf) ratings to two classes of RMBS notes issued by Goldfish Master Issuer B.V.
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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