Goldfish Master Issuer B.V. Series RMBS / Prime / The Netherlands

Transcription

1 MAY 29, 2013 RESIDENTIAL MBS NEW ISSUE REPORT Goldfish Master Issuer B.V. Series RMBS / Prime / The Netherlands Closing Date 28 May 2013 Table of Contents DEFINITIVE RATINGS 1 ASSET SUMMARY 2 LIABILITIES, CREDIT ENHANCEMENT AND LIQUIDITY 2 COUNTERPARTIES 3 MOODY S VIEW 3 COMPOSITE V SCORE 5 STRENGTHS AND CONCERNS 6 STRUCTURE, LEGAL ASPECTS AND ASSOCIATED RISKS 7 ORIGINATOR PROFILE, SERVICER PROFILE AND OPERATING RISKS 11 COLLATERAL DESCRIPTION (POOL AS OF 28 FEBRUARY 2013) 13 CREDIT ANALYSIS 14 PARAMETER SENSITIVITIES 20 MONITORING 20 REPRESENTATIONS AND WARRANTIES 21 MOODY S RELATED RESEARCH 22 APPENDIX 1: SUMMARY OF ORIGINATORS UNDERWRITING POLICIES AND PROCEDURES 23 APPENDIX 2: OUTSTANDING NOTES AFTER CLOSING 24 Analyst Contacts Sophia Velissaratou Associate Analyst sophia.velissaratou@moodys.com Anthony Parry Vice President-Senior Analyst anthony.parry@moodys.com Definitive Ratings Class Rating Amount (million) % of Notes* Legal Final Maturity Coupon Subordination Reserve fund Total Credit Enhancement** A1 Aaa (sf) 1, Nov mE +0.45% 6.9% 0.0% 6.9% A2 Aaa (sf) 1, Nov mE+0.55% 6.9% 0.0% 6.9% A3 Aaa (sf) 1, Nov mE+0.65% 6.9% 0.0% 6.9% A4 Aaa (sf) 1, Nov mE+0.75% 6.9% 0.0% 6.9% A5 Aaa (sf) 1, Nov mE+0.85% 6.9% 0.0% 6.9% A6 Aaa (sf) Nov mE+0.95% 6.9% 0.0% 6.9% A7 Aaa (sf) 2, Nov mE+0.95% 6.9% 0.0% 6.9% B NR (sf) Nov mE+1.00% 4.4% 0.0% 6.9% C NR (sf) Nov mE+2.00% 0.0% 0.0% 6.9% Total 8, The ratings address the expected loss posed to investors by the legal final maturity. In Moody s opinion the structure allows for timely payment of interest and ultimate payment of principal at par on or before the rated final legal maturity date. 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. * As percentage of the current issuance. ** No benefit attributed to excess spread. EURIBOR for three months deposits in euros. V Score for the sector: V Score for the subject transaction: Low/Medium Medium The subject transaction is a revolving cash securitisation of residential mortgage loans extended to obligors located in The Netherlands. The portfolio consists of mortgage loans secured by residential properties and guaranteed under the NHG programme.» contacts continued on the last page MOODY S CLIENT SERVICES: London: clientservices.emea@moodys.com Monitoring: monitor.rmbs@moodys.com ADDITIONAL CONTACTS: Website:

2 Asset Summary (Cut off date as of 28/02/2013) Seller(s)/originator(s): ABN AMRO Bank N.V. ( ABN AMRO, A2/P-1) Direktbank N.V. (not rated), wholly owned subsidiary of ABN AMRO Oosteroever Hypotheken B.V. (not rated), indirectly wholly owned subsidiary of ABN AMRO Quion 9 B.V. (not rated), indirectly wholly owned subsidiary of ABN AMROABN AMRO Hypotheken Groep B.V. (not rated), wholly owned subsidiary of ABN AMRO WoonNexxt Hypotheken B.V. (not rated), indirectly wholly owned subsidiary of ABN AMRO MoneYou B.V. (not rated), indirectly wholly owned subsidiary of ABN AMRO Servicer(s): ABN AMRO Hypotheken Groep B.V. (not rated), wholly owned subsidiary of ABN AMRO Receivables: First-lien prime mortgage loans to individuals secured by property located in The Netherlands and guaranteed under the NHG programme. Methodology Used: Principal methodology used:» Moody s Approach to Rating RMBS Using the MILAN Framework, March 2013 (SF274702) Secondary methodologies used:» Moody s Updated Approach to NHG Mortgages in Rating Dutch RMBS, March 2009 (SF157265)» Moody s Updated Methodology for Set-Off in Dutch RMBS, November 2009 (SF179373)» Cash Flow Analysis in EMEA RMBS: Testing Features with the MARCO Model (Moody s Analyser of Residential Cash Flows), January 2006 (SF58290)» A Framework for Stressing House Prices in RMBS Transactions in EMEA, June 2012 (SF283577)» V Scores and Parameter Sensitivities in the Major EMEA RMBS Subsectors, April 2009 (SF158654) Models Used: MILAN (Dutch settings) & ABSROM Total Amount: 14,963,247,132 (net of savings policies) Length of Revolving Period: Continuously revolving depending on structural triggers Number of Borrowers: 92,275 Borrower concentration: Top 20 borrowers make up 0.05% of the pool WA Remaining Term: 24.0 years WA Seasoning: 4.7 years Interest Basis: 98.1% fixed rate (69.1% of the pool has an interest fixed period of longer than five years), 1.1% floating rate loans and 0.8% other WA Current LTmV: 92.42% WA Current LTfV*: %% WA Original LTfV*: % Moody s calculated WA indexed % LTfV*: Borrower credit profile: Prime borrowers Delinquency Status: 1.06% of loans in arrears * Loan-to-foreclosure-value. The market standard in the Netherlands is to report foreclosure value. Moody's converts foreclosure value to market value using the following formula: foreclosure value * 110% = market value. Liabilities, Credit Enhancement and Liquidity Excess Spread At Closing: Credit Enhancement/Reserves: Form of Liquidity: Number of Interest Payments Covered by Liquidity: Interest Payments: Principal Payments: Payment Dates: Hedging Arrangements: 0.40% annualised excess spread at closing (after coupons and costs) 0.40% excess spread (after coupons and costs) Subordination of the notes No liquidity facility available Liquidity mechanism provided in the swap (see also below) Excess spread Interest payments on the notes are covered by the swap Quarterly in arrears on each payment date All notes in this issuance are soft bullet notes: i.e principal payments will become due on a quarterly passthrough basis following the step-up date of the respective class of notes. 28 February, 28 May, 28 August, 28 November Interest rate risk hedged through a Dutch swap providing 0.4% excess spread provided by ABN AMRO 2 MAY 29, 2013 NEW ISSUE REPORT: GOLDFISH MASTER ISSUER B.V. SERIES

3 Counterparties Issuer: Sellers/Originators: Contractual Servicer(s): Sub-Servicer(s): Back-up Servicer(s): Back-up Servicer Facilitator: Cash Manager: Back-up Cash Manager: Swap Counterparty: Asset Purchaser Account Bank / GIC Provider Issuer Account Bank / GIC Provider: Collection Account Bank: Paying Agent: Security Trustee Director of the Security Trustee Asset Purchaser Administrator/Corporate Service Provider: Issuer Administrator/Corporate Service Provider: Arranger: Lead Manager(s): Goldfish Master Issuer B.V. ABN AMRO Bank N.V. ( ABN AMRO, A2/P-1) Direktbank N.V. (not rated), wholly owned subsidiary of ABN AMRO Oosteroever Hypotheken B.V. (not rated), indirectly wholly owned subsidiary of ABN AMRO Quion 9 B.V. (not rated), indirectly wholly owned subsidiary of ABN AMRO ABN AMRO Hypotheken Groep B.V. (not rated), wholly owned subsidiary of ABN AMRO WoonNexxt Hypotheken B.V. (not rated), indirectly wholly owned subsidiary of ABN AMRO MoneYou B.V. (not rated), indirectly wholly owned subsidiary of ABN AMRO ABN AMRO Hypotheken Groep B.V. (not rated), wholly owned subsidiary of ABN AMRO With regard to Oosteroever, subdelegated to Quion Hypotheekbemiddeling B.V. (not rated) and Quion Services B.V. (not rated) With regard to Quion 9, subdelegated to Quion Hypotheekbemiddeling B.V. (not rated) None appointed at closing None appointed at closing ABN AMRO Hypotheken Groep B.V. (not rated), wholly owned subsidiary of ABN AMRO None appointed at closing ABN AMRO ABN AMRO ABN AMRO ABN AMRO ABN AMRO Stichting Security Trustee Goldfish (not rated) Amsterdamsch Trustee s Kantoor B.V. (not rated) ABN AMRO Hypotheken Groep B.V. (not rated), wholly owned subsidiary of ABN AMRO ABN AMRO Hypotheken Groep B.V. (not rated), wholly owned subsidiary of ABN AMRO ABN AMRO ABN AMRO Moody s View Outlook for the Sector: Unique Feature: Degree of Linkage to Originator: Stable Asset type and structure previously seen in market, however» The master issuer structure has a higher degree of complexity compared to general Dutch RMBS structures.» If notes are not refinanced the structure will initially amortise pro-rata and only switch to a sequential structure following breach of certain performance based triggers.» 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. 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. Originator s Securitisation History: # of Precedent Transactions in Sector: % of Book Securitised: 48% Behaviour of Precedent Transactions: 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. There have been 26 stand alone transactions and several issuances from 5 master issuer programmes (Fishbowl Master Issuer, Oceanarium Master Issuer, Beluga Master Issuer, Dolphin Master Issuer and Goldfish Master Issuer) with mortgage loans originated by the former Fortis and ABN AMRO groups. Delinquencies and losses reported on prior transactions of these originators (mainly ABN AMRO) are worse than the average delinquencies reported in the Dutch index. Similarly, losses are worse than the average losses reported in the index. However, overall the precedent transactions have performed as expected. 3 MAY 29, 2013 NEW ISSUE REPORT: GOLDFISH MASTER ISSUER B.V. SERIES

4 Moody s View (continued) Key Differences between Subject and Precedent Transactions: Just before this issuance the transaction documents have also undergone the following main amendments The current pool consist of loans originated by ABN AMRO Bank N.V. (A2/P-1, "ABN AMRO") including label AAB or one of its subsidiaries, Direktbank N.V. (not rated), Oosteroever Hypotheken B.V. (not rated), ABN AMRO Hypotheken Groep B.V. (not rated), MoneYou B.V. (not rated), WoonNext B.V. (not rated) and Quion 9 B.V. (not rated). Expected Loss/Ranking: 0.20% This is in line with other Dutch NHG transactions 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/Ranking: 6.8% This 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%), 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% 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. Weighted-Average Aaa Stress Rate 30.3% For House Prices: Comment: Please see the report Substitution Criteria in EMEA RMBS Revolving Transactions published 17 September 2009 for an outline of Moody s approach when looking at revolving pools Potential Rating Sensitivity: Chart Interpretation: At the time the rating was assigned, the model output indicated that the Class A notes would not have achieved a Aaa rating if the MILAN CE was increased to 8.2% Factors Which Could Lead to a Downgrade:» Worse than expected collateral performance in terms of delinquency and loss rates.» Downgrade of the rating of ABN AMRO as the key counterparty, see Degree of Linkage to Originator above TABLE 1* Class A1 A7 Milan CE Output Median Expected Loss 6.8% 8.2% 9.5% 10.9% 0.20% Aaa* Aa1(1) Aa1(1) Aa1(1) 0.30 % Aa1(1) Aa1(1) Aa1(1) Aa1(1) 0.40 % Aa1(1) Aa1(1) Aa1(1) Aa2(2) 0.60 % Aa1(1) Aa1(1) Aa2(2) Aa2(2) * Results under base case assumptions indicated by asterisk ' * '. Change in model output (# of notches) is noted in parentheses. 4 MAY 29, 2013 NEW ISSUE REPORT: GOLDFISH MASTER ISSUER B.V. SERIES

5 Composite V Score Breakdown of the V Scores Assigned to Dutch Prime RMBS Sector Transaction Remarks Composite Score: Low (L), Low/Medium (L/M), Medium (M), Medium/High (M/H), or High (H) "Low" reflects lowest level of uncertainty in estimating credit risk relative to other Structured Finance instruments. L/M M 1 Sector Historical Data Adequacy and Performance Variability L/M L/M 1.1 Quality of Historical Data for the Sector L/M L/M» Same as sector score» Sector data includes more than 12 years of historical performance information 1.2 Sector's Historical Performance Variability L L» Same as sector score» The sector s historical collateral performance tracks closely with expectations 1.3 Sector's Historical Downgrade Rate L L» Same as sector score» No performance related downgrades in this cycle in prime Dutch RMBS 2 Issuer/Sponsor/Originator Historical Data Adequacy, Performance Variability and Quality of Disclosure L/M M 2.1 Quality of Historical Data for the Issuer/Sponsor/Originator 2.2 Issuer/Sponsor/Originator's Historical Performance Variability 2.3 Disclosure of Securitisation Collateral Pool Characteristics L/M L/M» No (quarterly) static vintage performance data has been provided on the originators books» Limited dynamic performance data available on the originators books, including arrears and recovery rates (the latter only available for one originator)» Extensive information available on delinquencies and losses from precedent transactions ( ) L L» The precedent transactions have higher delinquency rates than the Dutch index» The loss rates are also slightly higher than those of other comparable Dutch transactions» However, historical performance still tracks very closely with Moody s expectations L/M M» Some data missing in the MILAN input file such as number of months current, employment data for large part of the pool and loan purpose» Only limited loan-by-loan insurance company counterparty data was provided for the majority of the pool» Extensive information received on underwriting criteria documentation» Moody s was informed by the sellers that data quality checks on the portfolio are not to be expected for every issuance or annually. The last third party data check was conducted in early Disclosure of Securitisation Performance L/M L/M» Performance in line with other market participants» Periodic loan-by-loan pool data will be provided to Moody s, which is strong compared to the sector 3 Complexity and Market Value Sensitivity L/M M 3.1 Transaction Complexity L/M M» Master issuer nature of this structure adds complexity to the transaction compared to Dutch stand alone RMBS transactions 3.2 Analytic Complexity L/M M» The MILAN model was applicable and a standard cash flow model was used» The cash flow modelling required several sensitivities to assess the set-off risk in combination with the revolving nature of the transaction and the lack of insurance counterparty data 3.3 Market Value Sensitivity L/M L/M» The assets are secured financial assets whereby the underlying properties have a reasonably liquid secondary market 4 Governance L/M M 4.1 Experience of, Arrangements Among and L L» The former Fortis group has more than 10 years experience in securitisation Oversight of Transaction Parties 4.2 Back-up Servicer Arrangement L L» ABN AMRO as servicer is rated A2/P-1. Other servicers are not rated but are subsidiaries of ABN AMRO» No back-up servicer arrangements 4.3 Alignment of Interests L/M L/M» Securitisation is a significant component of the funding strategy» The majority of the issued notes in the master issuer have been retained by ABN AMRO 4.4 Legal, Regulatory, or Other Uncertainty L/M M» In line with the Dutch prime sector» 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.» The transaction is exposed to other, potentially equal ranking, debts secured against the same property but not included in the pool. 5 MAY 29, 2013 NEW ISSUE REPORT: GOLDFISH MASTER ISSUER B.V. SERIES

6 Strengths and Concerns Strengths:» NHG Guarantee: All the assets in the pool benefit from an NHG guarantee. Should any loans prove to be ineligible for the guarantee, there is a buy-back obligation on the sellers. Providing the sellers are able to fulfil their buy-back obligation then the only source of loss to the transaction should arise from the mismatch between the amortising nature of the NHG guarantee and the actual amortisation of the loan.» Hedging arrangements/excess spread: Interest rate swaps are in place at the asset purchaser level, swapping the interest on the assets to the interest on the notes. Senior costs and an excess spread of 0.40% are also covered by the swap. The asset purchaser only needs to pay the swap counterparty the interest on the assets actually received, which means that the swap provides implicit liquidity support.» Seasoning: The loans in the portfolio are well-seasoned with a weighted-average seasoning of 4.5 years.» Originators: The originators are established originators and experienced at origination and servicing in the Dutch market. ABN AMRO is rated A2/P-1. The other originators are not rated but are (indirectly) wholly owned subsidiaries of ABN AMRO.» Realised loss definition: The realised loss definition includes losses due to borrowers applying set-off or defences. This provides clarity in the transaction documentation with regard to what would happen in the event of set-off occurring. By including set-off as realised loss, set-off would lead to the creation of a principal deficiency ledger. As such, available excess spread can be applied to cover losses due to set-off. Concerns and Mitigants: Moody s committees particularly focused on the following factors, listed in order of those most likely to affect the ratings:» Counterparty Risk: 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. For example, 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.» Potential risks from substitution: The structure allows additional loans to be added on a continuous basis. In Moody s opinion, substitution introduces additional risks through: Asset quality drift compared to that at issuance, most notably weighted-average LTV, LTVdistribution and repayment type (interest only) only partly mitigated by relatively weak substitution criteria. The benefit of any previous house price increases and the seasoning of the mortgage loans could leave the transaction there is no substitution criteria regarding seasoning. See Assets and Treatment of Concerns sections for more details. NHG pay-out ratio: Moody s was provided with ABN AMRO s historic NHG-payout ratios under the NHG programme. The pay-out ratio experienced is below the ratio reported by other lenders. See Assets and Treatment of Concerns sections for more details.» Other claims: For some of the mortgage loans included in the pool there are other, potentially equal ranking, debts secured against the same property but retained on the balance sheet of ABN AMRO. The current known exposure amounts to 0.8% of the pool mainly in relation to further advances secured under a separate mortgage right but ultimately against the same property. However there may be additional claims relating to other consumer lending which ABN AMRO was not able to identify. See Treatments of Concerns sections for more details. 6 MAY 29, 2013 NEW ISSUE REPORT: GOLDFISH MASTER ISSUER B.V. SERIES

7 Structure, Legal Aspects and Associated Risks CHART 1 Structure Chart GIC Reserve Account Construction Account Subparticipation A1, 2,... B1, 2,... C1, 2,... D1, 2, Originators / Sellers Sale of mortgages Goldfish Asset Purchasing B.V. IC Loan Goldfish Master Issuer B.V. Notes GIC Cash Flow Swap Counterparty Goldfish Asset Purchasing Currency Swap (if applicable) Source: ABN AMRO Bank N.V. and Moody s Investors Service Transaction structure: The Goldfish Master Issuer programme was established in The new issuance has been used to refinance and call the EUR 1,300,000,000 Series Class A2, EUR 1,300,000,000 Series Class A3 and EUR 29,000,000 Series Class A1 Notes. In this two-tier SPV structure, the sellers sell portfolios to the asset purchaser, which is funded through an intercompany loan from the Goldfish Master Issuer. The interest on the inter-company loan is equal to the payable interest on the notes issued by the master issuer. The notes issued under this programme so far are soft bullet notes. Besides soft bullet notes, the issuer can also issue pass-through notes. Repayment of a soft bullet note at the call date could be through (i) refinancing by issuing new notes, (ii) (partial) repurchase of the pool by the originators or (iii) (partial) sale of the pool to a third party. There is no accumulation period within the structure to repay the soft bullet notes at the call date. If the soft bullet notes are not called on the respective call date, the notes turn to pass-through notes. Pass-through notes will initially amortise on a pro rata basis subject to performance based triggers which, if breached, would result in sequential amortisation. Allocation of payments/pre accelerated revenue waterfall on asset purchaser level: On each quarterly payment date, the available revenue funds (i.e. interest amounts received from the portfolio, under the swap agreement, and interest earned on the issuer s account) will be applied in the following simplified order of priority: 1. Senior expenses; 2. Interest payments to swap counterparty; 3. Interest on the inter-company loan; 4. Inter-company loan principal deficiency ledger; 5. Grant subordinated loans to other Asset Purchaser in case there is a shortfall; 6. Swap counterparty default payment; 7. Deferred purchase price. Allocation of payments/pre-accelerated principal waterfall on asset purchaser level: On each quarterly payment date, the principal amounts received from the portfolio, will be applied in the following simplified order of priority: 1. Principal payments due under the inter-company loan; 2. Replenishment of assets (further advances and new mortgage loans), subject to substitution criteria being met 7 MAY 29, 2013 NEW ISSUE REPORT: GOLDFISH MASTER ISSUER B.V. SERIES

8 Repayment test and pro-rata condition of the program structure: If there are only soft bullet notes outstanding which are not due at the respective interest payment date, principal collections will be used to purchase additional mortgage loans. If there are also pass-through notes outstanding, the portion of principal collections that corresponds to the portion of outstanding pass-through notes will be used to redeem the pass-through notes. The pass-through notes will be redeemed on a pro-rata basis as long as the pro-rata condition is fulfilled. Amortisation will switch from pro-rata to sequential upon triggers (see below). In addition to the pro-rata condition, there is a repayment test in place that ensures that junior notes can only be repaid when the subordination available after the respective payment is at least as high as the required subordination amount of the respective class of notes. The required subordination of the Class A notes is 6.9%. This condition helps mitigate against subordination being eroded by repayments of junior classes of notes that are repaid prior to the due date of more senior classes of notes. Allocation of Payments/Pre accelerated revenue waterfall on issuer level On each quarterly payment date, the issuer s available funds (i.e. interest received on the inter-company loan from the asset purchaser) will be applied in the following simplified order of priority: 1. Senior expenses; 3. Interest on class A notes; 4. Principal deficiency ledger class A notes 5. Interest on class B notes; 6. Principal deficiency ledger class B notes 7. Interest on class C notes; 8. Principal deficiency ledger class C notes; 9. Replenishment of the reserve fund; 10. Currency swap counterparty default payment Allocation of Payments/ Pre-accelerated Principal waterfall on issuer level: On each quarterly payment date, the principal amounts received under the inter-company loan from the asset purchaser, will be applied to principal payments in pro-rata amortisation order (subject to pro rate condition being met otherwise sequential amortisation) until full repayment of class A, class B and class C. Allocation of Payments/PDL like mechanism: A PDL is based on realised losses. A realised loss is defined as the difference between the outstanding amount of the loan and any proceeds after the foreclosure of a mortgage loans. Furthermore, losses arising due to borrowers applying set-off have also been included in the realised loss. By including set-off losses in the realised loss definition, setoff losses are crystallised and written to the principal deficiency ledger when they arise. Subsequently excess spread can be used to cover the losses due to set-off. 2. To currency swap counterparty (if applicable) to the extent not relating to principal; Performance Triggers: Trigger Conditions Remedies/Cure Pro-Rata Amortisation There is no outstanding PDL at issuer level The arrears level (90+ days) is less than 2.5% This trigger is a curable trigger If the conditions are not met, principal available amounts will be applied to the pass-through notes sequentially until fully redeemed to Class A, then to Class B and then to Class C; otherwise it will be allocated pro-rata Stop Substitution With regards to outstanding notes for which a step-up date has occurred and which notes have not been called, no more than one year has passed since the set-up date There is no outstanding PDL at asset purchaser level This trigger is a curable trigger If the conditions are not met, substitution will be suspended 8 MAY 29, 2013 NEW ISSUE REPORT: GOLDFISH MASTER ISSUER B.V. SERIES

9 Reserve Fund: There is no reserve fund in this transaction. Liquidity: The hedging arrangement on asset purchaser level provides for liquidity. The asset purchaser only needs to pay the interest actually received under the mortgage loans to the swap counterparty and receives from the swap counterparty the interest and issuer costs due under the inter-company loan. Nevertheless the notional amount for the payment by the swap counterparty is the outstanding amount of the inter-company loan minus outstanding PDL. Assets: Asset transfer:» True Sale» Perfection of legal title through registration of the deed of assignment» Borrowers are not notified of the assignment Although the registration of the Deed of Assignment eliminates the need for the notification of borrowers to perfect legal title, a notification trigger is in place to minimise potential risks. Interest rate mismatch: Fixed-Floating mismatch: At closing, the majority of the pool balance comprises fixed rate mortgage loans. All the notes issued pay three-month EURIBOR. This leads to an interest rate mismatch in the transaction. Mitigant: To mitigate the interest rate mismatch, the asset purchaser entered into swap agreements with the swap counterparty. Under the swap agreement:» The asset purchaser will pay: Actual interest received Plus interest accrued on accounts Plus prepayment penalties received by the asset purchaser from pre-paying borrowers; Minus; 0.40% excess margin based on the outstanding balance of the inter-company loan minus any principal deficiency ledger; Minus; senior expenses incurred by the asset purchaser as well as the asset purchasers share of the issuer s senior expenses that needs to be covered under the intercompany loan ( IC Loan Costs ).» The swap counterparty will pay the scheduled interest on the inter-company loan.» The notional is the amount of the inter-company loan reduced by any outstanding principal deficiency ledgers.» The swap framework is ISDA and is in line with Moody s swap criteria. Cash Commingling: All of the payments under the loans in this pool are collected by the servicers under a direct debit scheme or via wire transfer into the collection account in the name of sellers held by ABN AMRO. Mitigant:» Payments are transferred monthly on or about the 11 th day of the month to the issuer account in the name of the asset purchaser held by ABN AMRO.» If ABN AMRO, as collection account provider, is downgraded below P-1, it will either (i) find a guarantor rated at least P-1; (ii) open an escrow account in the name of the asset purchaser with an entity rated at least P-1 and transfer to this account an amount equal to 2% of the outstanding principal amount of all mortgage loans or (iii) find an alternative seller collection account provider with an appropriate rating.» The third item above would not mitigate against the commingling risk following the default of ABN AMRO. As a result commingling risk has been taken into account in the cashflow analysis. See also Treatment of Concerns below. Set-off:» Moody s was provided with detailed loan level information with regard to the proportion of borrowers having accounts with the sellers and the amounts in these accounts. Currently there is a deposit set-off exposure of <1.5%.» Of all the sellers, ABN AMRO is the only entity taking deposits. However, during the revolving period there is no limit on the proportion of ABN AMRO originated loans could be added to the portfolio, thereby possibly increasing the deposit set-off exposure. Currently 32.7% of the pool is linked to savings mortgage loans and 16.5% (including hybrid mortgage loans) of the pool is linked to life insurance policies. 9 MAY 29, 2013 NEW ISSUE REPORT: GOLDFISH MASTER ISSUER B.V. SERIES

10 Mitigant:» Set off risk on deposits is partly mitigated by the exposure to highly rated counterparty (A2/P-1). Furthermore, at loss of P-2, ABN AMRO will transfer 100% of the amount at the time of the downgrade held by borrowers of ABN AMRO in savings accounts and current accounts to an escrow account in the name of the asset purchaser.» Sub-participation agreements are in place and mitigate the set-off risk on the savings mortgage loans. Under a savings mortgage sub-participation, the insurance companies pass on the premium received from the borrower to the issuer. The issuer then applies this amount in the principal priority of payments as if it were principal repayments. In exchange for passing the premium payments to the issuer the insurance company receives a participation in the mortgage loan. If the insurance company defaults and a borrower subsequently succeeds in setting off the capital buildup, the participation of the insurance company in the mortgage loan is reduced and therefore does not lead to a loss for the issuer. This structure mitigates the risk of set-off resulting from savings mortgage loans.» Set off exposure on deposits and life insurance products has been taken into account in our cash flow analysis. See also Treatment of Concerns below. Other claims:» For some of the mortgage loans included in the pool there are other, potentially equal ranking, debts secured against the same property but retained on the balance sheet of ABN AMRO. The current known exposure amounts to 0.8% of the pool mainly in relation to further advances secured under a separate mortgage right but ultimately against the same property.» However there may be additional claims relating to other consumer lending which ABN AMRO was not able to identify. These claims arise under bank mortgages which are used to secure all lending to a borrower, including consumer loans, against the property.» The LTV limits in the substitution criteria do not consider any other claims outside of the pool. Therefore if the limit mentioned below is reached then the actual LTV will likely be higher once all debts secured against the property are considered. See Treatments of Concerns sections for more details. Mitigant:» The current proportion of known other claims is limited at only 0.8%. Further advances would only typically be secured under a separate mortgage right if the existing mortgage right is insufficient to secure the entire debt. This would be unusual as demonstrated by the fact the current exposure has not materially changed of recent years.» ABN AMRO is the only entity originating other consumer loans. Therefore the potential exposure to other claims under bank mortgages is limited. However, during the revolving period there is no limit on the proportion of ABN AMRO originated loans could be added to the portfolio, thereby possibly increasing the exposure.» The current known exposure has been taken into account in the MILAN analysis and sensitivity analysis has been performed to account for other claims which may be present now or may arise in the future. See also Treatment of Concerns below. Loan substitution: The portfolio is a constantly revolving pool, which could result in a riskier collateral composition over time. Mitigant:» Substitution will stop if one of the following events occurs: An assignment notification event. Any positive amounts remain credited to the principal deficiency ledgers at the asset purchaser level. In case notes, for which a step-up date has occurred, have not been fully redeemed (called) one year after the step-up date.» The key eligibility criteria for substituting loans are as follows: Weighted-average loan-to-foreclosure-value (LTFV) does not exceed 104%. However not this is only based upon mortgage loans included in the pool and does not consider other, potentially equal ranking, debts secured against the same property but retained on the balance sheet of ABN AMRO. The portion of mortgage loans linked to life insurances does not exceed 50% of the pool, while the exposure to one group of entities that provide the life insurances does not exceed 40% of the pool. 10 MAY 29, 2013 NEW ISSUE REPORT: GOLDFISH MASTER ISSUER B.V. SERIES

11 » Moody s considers that the triggers and criteria for substituting loans in the Goldfish Master Issuer pool are below the standard of criteria seen in other Dutch RMBS transactions as many criteria that are usually used to limit the additional risk introduced by substitution are not implemented.» The substitution of new loans has been taken into account in Moody s analysis. See also Treatment of Concerns below. Loan conversion: The sellers can elect to change the conditions of the loans provided that after such change, the loan still complies with the eligibility criteria. If not, then the seller will have to repurchase the loans. Mitigant:» All interest received is exchanged under the swap agreements against the coupons due on the intercompany loan (mirroring the coupons due on the notes) retaining 0.40% margin and costs due, therefore Moody s did not stress the margin available in the transaction due to loan conversion.» As all loans need to comply with eligibility criteria but also substitution criteria, Moody s did not stress further the credit quality of the pool due to loan conversion. Further Advance: The issuer can grant further advances to the loans already in the pool, which may increase the LTV of the pool as well as change the collateral composition. Mitigant:» The same set of criteria applies as for substituting new loans.» The further advances of new loans has been taken into account in Moody s analysis in the same way as substitution. See also Treatment of Concerns below. Historical NHG pay-out ratio: Through the representations & warranties the originators are obliged to repurchase any receivables that should not meet the criteria of the NHG guarantee programme. In stressed scenarios, Moody s assumes that the originators will not be in a position to honour this obligation and that as a result the transaction will need to carry losses that would have otherwise been covered by the originators. Mitigant:» This risk has been taken into account in Moody s analysis. See also Treatment of Concerns below. Originator Profile, Servicer Profile and Operating Risks Date of Operations Review: January 2012 Originator Background: Rating:» ABN AMRO Bank N.V. (A2/P-1) Financial Institution Group Outlook for» Negative Sector: Ownership Structure:» All of the originators are directly or indirectly fully owned by the Dutch government Asset Size:» billion (Total mortgage book as of end of March 2013) % of Total Book Securitised:» 48% of the mortgage book Transaction as % of Total Book:» 10% of the mortgage book % of Transaction Retained:» 100% of this issuance will be retained by ABN AMRO Originator Assessment Overall Assessment: Originator Ability Sales & Marketing Practices Underwriting Policies & Procedures Property Valuation Policies & Procedures Main Strengths (+) and Challenges(-) Average +/- Mix between branch and intermediary origination» ABN AMRO originates primarily through its branch network» The other originators mainly use intermediaries» Overall, intermediary origination is higher than the average in the Dutch market + Regular monitoring of key (top 25) intermediaries and all intermediaries are vetted + All checks are calculated in the system + Relatively low proportion of deviations ( explain ) from the Dutch mortgage code of conduct + Automated generating explain fields to be completed by the underwriter + Use of registered valuers (market practise) + If purchase price is significantly lower than the valuation a file review is conducted (fraud mitigant) + Tax value (WOZ) used for low LTV loans. No full internal valuation is needed. 11 MAY 29, 2013 NEW ISSUE REPORT: GOLDFISH MASTER ISSUER B.V. SERIES

12 Originator Assessment Closing Policies & Procedures Credit Risk Management Originator Stability Quality Control & Audit Management Strength & Staff Quality Technology Servicer Background: Main Strengths (+) and Challenges(-) Rating:» ABN AMRO Bank N.V. (A2/P-1) Total Number of Mortgages Serviced:» Not provided Number of Staff:» Not provided + Process in place to follow up any missing deed registration or insurance +/- Framework is in place but actual output is still in planning and development stages as part of the whole restructuring of the former Fortis group. - No detailed sliced/diced data available for the portfolio. + Regular checks + Experienced + File scanning +/- In line with Dutch practise for larger banks legacy system with dos-like programs. Servicer Assessment: Main Strengths and Challenges Overall Assessment: Average Servicer Ability Loan Administration + Almost all collections by direct debit as per the average in the Dutch market - Direct debit only possible at 2 days in the month Early Arrears Management + For ABN AMRO (former Fortis Bank (Nederland)) originated loans, current accounts held by the borrower can be blocked if a borrower is in arrears and no contact can be made Loss Mitigation and Asset Management + Field agents visiting borrowers in arrears Servicer Stability Management Strength & Staff Quality + Experienced (over 15 years) IT & Reporting +/- Average in the Dutch market Quality control & Audit +/- Average in the Dutch market Strength of Back-up Servicer Arrangement:» Not applicable Back-up Servicer Background: Rating: Ownership Structure: Total Number of Receivables Serviced: Number of Staff: Type of back-up: None appointed Not applicable Not applicable Not applicable Not applicable Receivable Administration: Method of Payment of borrowers in the Majority by direct debit, the remainder by wire transfer pool: % of Obligors with Account at Originator: Not provided Distribution of Payment Dates: 100% monthly Cash Manager (Issuer Administrator): Rating: Main Responsibilities: Calculation Timeline: Back-up Cash Manager Background: Back-up Cash Manager and Its Rating: Main Responsibilities of Back-up Cash Manager: ABN AMRO Hypotheken Groep B.V. (not rated), wholly owned subsidiary of ABN AMRO Obligation to make payments according to waterfall Preparation of investor report Swap and transaction calculation is the third business day prior to each note payment date None appointed at closing Not applicable Originator/Servicer/Cash Manager Related Triggers Key Servicer Termination Events: Insolvency, non-performance of obligations Appointment of Back-up Servicer Upon: Not applicable Key Cash Manager Termination Events: Insolvency, non-performance of obligations 12 MAY 29, 2013 NEW ISSUE REPORT: GOLDFISH MASTER ISSUER B.V. SERIES

13 Appointment of Back-up Cash Manager Upon: Notification of Obligors of True Sale Conversion to Daily Sweep (if original sweep is not daily) Notification of Redirection of Payments to SPV s Account Accumulation of Set Off Reserve Accumulation of Liquidity Reserve Set up Liquidity Facility Not applicable ABN AMRO is downgraded to below Baa3 Seller (other than ABN AMRO) is no longer a subsidiary of ABN AMRO Not applicable Not applicable Not applicable Not applicable Not applicable Collateral Description (pool as of 28 February 2013) CHART 2 Portfolio Breakdown by Year of Origination CHART 3 Portfolio breakdown by proportion of Interest Only Source: ABN AMRO Bank N.V., Moody s Investors Service Source: ABN AMRO Bank N.V., Moody s Investors Service CHART 4 Portfolio Breakdown by LTV CHART 5 Portfolio Breakdown by Geography LTV = Loan-to-market value derived from loan-to-foreclosure value as per Moody s calculation. Source: ABN AMRO Bank N.V., Moody s Investors Service Source: ABN AMRO Bank N.V., Moody s Investors Service 13 MAY 29, 2013 NEW ISSUE REPORT: GOLDFISH MASTER ISSUER B.V. SERIES

14 Product Description: The assets backing the notes are first-ranking (or first and sequential lower ranking) prime mortgage loans originated by ABN AMRO (former Fortis Bank (Nederland)) and certain wholly owned subsidiaries. All the loans in the pool are secured on residential properties located in The Netherlands. Eligibility Criteria: The key eligibility criteria are as follows:» The mortgages asset is situated in the Netherlands;» The borrower is a private individual;» The borrower is not an employee of the relevant seller;» Each mortgage loan has been originated after 1 January 1992;» All mortgaged assets are for residential purposes;» Payments on each mortgage receivable is made either by direct debit or by a wire transfer;» Each interest payment on each mortgage receivable are made either monthly in arrears, or monthly, quarterly, semi-annually or annually in advance;» On the last day of the collection period immediately preceding the relevant mortgage purchase date no amounts under any of the mortgage receivables were overdue and unpaid;» Each mortgage loan constitutes the entire loan secured under a single mortgage right and not merely one or more loan parts. However it should be noted this does not include loans secured under a different mortgage right against the same property or other consumer loan claims under a bank mortgage;» In respect of each mortgage loan all terms and conditions of the NHG guarantee programme were complied with and the originator is not aware of any reason why any claim under the NHG programme should not be met in full. Credit Analysis Precedent Transactions Performance:» Comparable precedent transaction is the Solid transaction. The collateral in the Solid transactions is of the same distribution channel as in the subject transaction. The former Fortis group s precedent transactions rated by Moody s also include Beluga Master Issuer, Dolphin Master Issuer, Collier and Delphinus, however these transactions contain different types of collateral.» As can be seen in the graphs below the Solid and Goldfish transactions have performed worse than the index for Dutch NHG transactions in terms of delinquencies.» The notes issued by Solid 2005-I were downgraded by Moody s in August 2009 due to a change in the methodology for the NHG guarantee. CHART Delinquencies by trend Delinquency 60+ [% of OB + Cum Repl] E-MAC NL NHG Fishbowl Goldfish Others (NHG) Pearl STRONG Index Index (NHG) Source: Moody s Investors Service, Moody s Performance Data Service, periodic investor/servicer reports Data Quantity and Content:» Moody s has not received any static (or vintage) data on the performance of any of the sellers /originators books of mortgage loans.» The assessment of historic performance was largely based upon the performance of precedent transactions from the same originator.» Moody s has received loan-by-loan data regarding the NHG pay-out ratio on a closed file basis including loans originated since Previously these numbers suggest a rescission rate of about 40% although it has improved over recent years. The rescission rate for loans contained in the Goldfish pool has averaged 35%. Moody s assumed a rescission rate of 45% for the MILAN analysis.» In Moody s view, the quantity and quality of data received is lower compared to other transactions which have achieved high investment grade ratings in this sector. Assumptions and definitions: Other values within a range of the notional amount listed below may result in achieving the same ratings. 14 MAY 29, 2013 NEW ISSUE REPORT: GOLDFISH MASTER ISSUER B.V. SERIES

15 Assumptions Spread compression / margin analysis Not applicable excess spread of 0.40% through the swap Stressed Fees 0.20% of the outstanding portfolio - however the fees are covered by the interest rate swap mechanism Rescission Rate for 45% (=1-pay-out ratio by WEW) NHG loans Definitions WA coupon on the assets as per cut-off WA asset margin after reset Asset reset date 4.5% Not applicable at the reset date borrowers can choose to re-fix the interest rate for different periods, generally ranging between five and 30 years at a rate as offered by the servicer 69.1% of the pool has reset date after five years Liabilities reset date 28 February, 28 May, 28 August and 28 November Interest on cash Not applicable any interest on cash received is paid to the swap counterparties under the interest rate swaps Actual Fees Not applicable- fees are covered via swap PDL Definition On realised losses Realised loss definition Includes losses due to set-off Expected Loss: Moody s expected loss assumption is based on:» Performance of the originators precedent transactions.» Benchmarking with comparable transactions in the Dutch market.» The current economic environment in the Netherlands in combination rescission rate data received from the originators. Modelling Approach: Loss Distribution: The first step in the analysis is to determine a loss distribution of the pool of mortgages to be securitised. Due to the large number of loans and supporting historical data, Moody s uses a continuous distribution to approximate the loss distribution: the lognormal distribution. In order to determine the shape of the curve, two parameters are needed: the expected loss and the volatility around this expected loss. These parameters are derived from two important sources: historical loss data and the loan-by-loan model. Moody s uses performance data provided by the originator in addition to other relevant data in order to extrapolate expected losses for the loan pool. Examples of data include market and sector wide performance data, the performance of other securitisations, and other originators data. To obtain the volatility under stressed scenarios, Moody s takes into account historical data. However observed historical volatility may not be significant (given insufficient data points, or incomplete data), and in addition may not be representative for the future as it is based on the previous economic environments experienced. Consequently, Moody s determines a number representing the enhancement that would be required for a pool of mortgages to obtain a rating consistent with Aaa under highly stressed conditions. This enhancement number (the MILAN CE number) is produced by using a loan-by-loan model, which looks at each loan in the pool individually and based on its individual characteristics such as LTV or other identified drivers of risk, will produce a benchmark CE number. This assumes stressed recovery rates (through house price decline), time to recovery, interest rates and costs to foreclosure. The weighted-average benchmark CE number will then be adjusted according to positive and negative characteristics of each loan or of the pool as a whole to produce the MILAN CE number. Modelling assumption: The MILAN CE number and the expected loss number form the basis of Rating Committee discussions and are used to derive the lognormal distribution of the pool losses The standard deviation of the distribution is found by setting the expected loss of the area of the lognormal distribution beyond the MILAN CE equal to the expected loss that is consistent with the idealised expected loss of a Aaa tranche. Tranching of the Notes: Once the loss distribution of the pool under consideration has been computed, a cash flow model is used to assess the impact of structural features of the transaction. It calculates the average lives and the losses experienced by the notes for every loss scenario for the portfolio. Based on these numbers, the expected loss and the weighted-average lives for the notes are calculated as weighted averages based on the probabilities of the respective scenarios. The expected loss on each tranche together with the notes weighted-average life determines the rating, which is consistent with Moody s target losses for each rating category. The rating of the notes is therefore based on an analysis of:» The characteristics of the mortgage pool backing the notes» The relative roll-rate levels and arrears in this type of lending compared to conventional lending» Sector-wide and originator specific performance data 15 MAY 29, 2013 NEW ISSUE REPORT: GOLDFISH MASTER ISSUER B.V. SERIES

16 » Protection provided by credit enhancement and liquidity support against defaults and arrears in the mortgage pool» The roles of the swap and hedging providers» The legal and structural integrity of the issue Treatment of Concerns:» Historical NHG pay-out ratio: In stressed scenarios, Moody s assumes that the originators will not be in a position to honour their buy-back obligation for loans that do not meet the NHG criteria and that as a result the transaction will need to carry losses that would have otherwise been covered by the originators. Moody s was provided with ABN AMRO s historic pay-out ratios for loans originated since Based on this data, in the MILAN scenario, Moody s assumed a rescission rate under the NHG programme of 45% which was a significant driver of the MILAN CE result as it led to an increase of the MILAN CE of about 1.8% (compared to a rescission rate assumption of 0%).» Employment type: No employment information was provided for 25.2% of the portfolio, a further 4.9% of the pool was classified other. A 30% adjustment, which is higher than the previous 10% adjustment but lower than the standard 40% adjustment of missing data as per the MILAN methodology, was applied in MILAN analysis for the missing data. Moody s based this adjustment on the eligibility criteria that the borrower cannot be a company and from information on the employment types across the originators entire book. The employment type adjustment leads to an increase of the MILAN CE number of approximately 0.30%.» Loan purpose: No loan purpose data was provided. Moody s assumed that the loans with a retained amount (construction deposit) are construction loans attracting a 10% adjustment as per the MILAN methodology. Based on this assumption the proportion of loans classified as construction loans is approximately 3.4% at closing.» Months current data: Limited data was provided regarding how long a borrower has been current on the mortgage loan. No benefit was given to the seasoning or the likely good performance of the vast majority of loans in the pool.» Substitutions: The fact that the pool is a revolving pool in combination with the available substitution criteria results in the MILAN CE increasing to 6.8% from 6.2% on a stand-alone basis. Moody s takes possible future changes in pool composition into account by assuming a stressed pool composition in the MILAN analysis, based on available or lack of substitution criteria. Weighted-average LTV limit: the portfolio limit for loan-to-foreclosure-value (LTFV) as per substitution criteria is 104%, which, according to Moody s calculation, corresponds to 94.7% loanto-market-value (LTV). Substitution period: In principle the revolving period is ongoing. Substitution will stop when a note or series of notes has not been called 1 year after the call date of those notes. In order to ensure a degree of stability in the pool loss assumptions through call dates, Moody s has assumed that the pool continues to substitute for the next 3 years. LTV distribution: As there is no criteria on the future development of the LTV distribution in the pool, Moody s assumed that the LTV distribution will shift towards a larger portion of high LTV loans. Repayment type: There is no maximum interestonly limit on the portfolio during the revolving period. The pool as per cut-off date contains about 40.9% of interest only loans. Moody s did not assume this proportion to increase further given the limit on the interest only portion of per property level set by NHG criteria as only up to 50% of the market value of the property can be financed with an interest only loan. Seasoning: There is no minimum seasoning limit in the transaction. Moody s considered this is the analysis by taking away the seasoning benefit of the current portfolio. Employment Type: There is also no portfolio limit on employment type, but Moody s believes that this is sufficiently addressed by the adjustment for no data on this field. Occupancy Type: Because the sellers represent that all properties need to be owner occupied, we made no adjustments for the lack of substation criteria for this characteristic.» Set-off: three sources of set-off risk have been taken into account in the cash flow modelling 1 : Set-off on life insurance linked products: 16.5% of the current pool constitutes mortgage loans with life insurance repayment vehicles (including hybrid loans). According to the substitution criteria this portion can increase to 50% of the pool (while up to 40% of the pool can be linked to insurance providers belonging to the same group of entities). Moody s did 16 MAY 29, 2013 NEW ISSUE REPORT: GOLDFISH MASTER ISSUER B.V. SERIES

17 not receive loan-by-loan data on the insurance company counterparties in the portfolio. Furthermore, the amount of insurance linked mortgage loans as well as the distribution of life insurance companies can change over time due to substitution. Moody s assumed a stressed amount of 40% in the set-off modelling. As distribution of insurance companies, Moody s assumed two different scenarios in the set-off modelling in respect of this life insurance policy related risk; i) one unrated insurance company and ii) one insurance company with an exposure of 80% rated Baa1 and 1 unrated insurance company with an exposure of 20%. Set-off on deposits: ABN AMRO is a deposit taking entity, whereas the other entities do not take deposits. Moody s received loan-by-loan data on borrowers deposit amounts. For the set-off modelling Moody s assumed a counterparty rating of A3. This rating is lower than the current rating of ABN AMRO, but allows for some level of delinkage of the ratings, should ABN AMRO be downgraded.» Other claims: For some of the mortgage loans included in the pool there are other, potentially equal ranking, debts secured against the same property but retained on the balance sheet of ABN AMRO. The current known exposure amounts to 0.8% of the pool mainly in relation to further advances secured under a separate mortgage right but ultimately against the same property. However there may be additional claims relating to other consumer lending which ABN AMRO was not able to identify. These exist due to the use of bank mortgages which secure all lending to the borrower, including non-property related consumer lender, held at the originator. The LTV limits in the substitution criteria do not consider any other claims outside of the pool. Therefore if the limit mentioned below is reached then the actual LTV will likely be higher once all debts secured against the property are considered. The current known exposure has been taken into account in the MILAN analysis by increasing both the frequency of default and the severity by basing the LTV on the total debt including those outside of the pool. Further sensitivity analysis has been performed to account for other claims which may be present now, due to missing details on consumer lending, or may arise in the future through new lending or substitution. The results of the sensitivity have been considered qualitatively in the final MILAN CE.» Pro-rata amortisation: If the notes are not called on the respective call date, the notes turn to pass-through notes. Pass-through notes will initially amortise on a pro rata basis subject to performance based triggers which, if breached, would result in sequential amortisation. Whilst the structure is amortising pro-rata, credit enhancement for the senior rated notes could be eroded due to repayment of subordinated notes. Moody s has considered the results of scenario testing assuming back-loaded loss in the cashflow analysis. Benchmark Analysis: Performance Relative to Sector:» In Moody s view, the historical performance of 60+ delinquencies and losses of the Goldfish master issuer is slightly worse comparing to other recent transactions in this sector. Moody s 60+ day delinquencies for Dutch Prime RMBS stood at 0.67% and 0.48% for Dutch NHG RMBS at the end of See chart 6 above. This compares to arrears levels of 0.71% for Goldfish as of the same date and 0.69% for Solid prior to it being called in 2010.» In terms of losses Goldfish is in line with the NHG RMBS index. Solid was higher just before it was called but the overall level remained very low at less than 5bps. CHART 7 Losses - trend by series Cumulative Losses [% of OB + Cum Repl] E-MAC NL NHG Fishbowl Goldfish Others (NHG) Pearl STRONG Index Index (NHG) Source: Moody s Investors Service, Moody s Performance Data Service, periodic investor/servicer reports 17 MAY 29, 2013 NEW ISSUE REPORT: GOLDFISH MASTER ISSUER B.V. SERIES

18 Benchmark Table: Deal Name Goldfish Master Issuer Goldfish Master Issuer Fishbowl Master Issuer Strong 2011-I Orange Lion V RMBS Saecure 8 NHG Closing date May 2013 February 2013 July 2011 March 2011 January 2011 September 2010 Information from Pool as of April 2011 Originator Servicer Pool as of February 2013 ABN AMBO Bank N.V. Direktbank N.V. Oosteroever Hypotheken B.V. Quion 9 B.V. AMRO Hypotheken Groep, MoneYou, WoonNexxt ABN AMRO Hypotheekgroep Pool as of December 2012 ABN AMBO Bank N.V. Direktbank N.V. Oosteroever Hypotheken B.V. Quion 9 B.V. AMRO Hypotheken Groep, MoneYou, WoonNexxt ABN AMRO Hypotheekgroep ABN AMRO, ABN AMRO Hypotheken Groep, MoneYou, WoonNexxt ABN AMRO Hypotheekgroep Pool as of January 2011 Pool as of November 2010 Pool as of 31 August 2010 Obvion N.V. ING Bank N.V. AEGON Leven Obvion N.V. ING Bank N.V. AEGON Leven MILAN CE 6.8% 6.2% 6.4% 3.6% 5.5% 4.3% Rescission rate assumption 45% 45% 45% 25% 45% 30% EL 0.20% 0.20% 0.20% 0.15% 0.20% 0.15% PORTFOLIO STRATIFICATION Avg. Current LTfV* 101.7% 99.9% 106.4% 104.2% 100.7% 107.5% % Current LTfV > 100% 64.4% 60.6% 68.5% 67.9% 46.9% 75.2% % Current LTfV > 110% 49.1% 45.4% 55.9% 54.1% 29.3% 60.6% % Current LTfV > 125% 0.0% 0.0% 18.3% 7.3% 2.5% 8.5% Avg. Current LTfV 115.7% 106.1% 108.4% 107.6% 97.4% 109.4% indexed** % NHG guaranteed loans 100% 100% 100% 100% 100% 100% % Self Employed 2.3% 1.2% 1.8% 1.0% 1.4% 1.8% % Self Certified 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% % Non-owner Occupied 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% % IO without collateral 40.9% 41.2% 41.6% 46.0% % % % IO with life insurance 16.5% 25.0% 9.2% 18.8% % % policy % IO with savings policy 32.7% 21.8% 38.1% 25.7% 30.5% 43.2% % IO with investment 7.2% 10.9% 9.4% 7.2% 10.0% 1.6% account % Fixed interest 98.1% 99.0% 95.0% 96.8% 96.2% 95.9% % in arrears 1.1% 1.6% 0.4% 0% 0% 0.0% Highest regional concentration Zuid Holland (27.2%) Zuid Holland (30.1%) Zuid Holland 25.6)% Zuid Holland (17.9%) Zuid Holland (28.0%) Zuid Holland (26.4%) PORTFOLIO DATA Current Balance 14,963,247,132 9,387,908,465 10,005,985,414 5,554,740,845 1,470,000,000 1,246,409,907 Average Loan (Borrower) 162, , , , , ,322 Borrower top 20 (as % of 0.05% 0.07% 0.09% 0.54% 0.10% 0.47% pool bal) WA interest rate 4.5% 4.5% 4.8% 4.7% 4.6% 4.86% Average seasoning in years Average time to maturity in years Maximum maturity date Feb Dec Apr Jul Dec Jan Average House Price stress 30.3% 30.8% 30.2% 30.5% 30.0% 30.3% rate Average House Price change -11.1% -4.3% -1.8% -3.1% 3.4% -1.8% 18 MAY 29, 2013 NEW ISSUE REPORT: GOLDFISH MASTER ISSUER B.V. SERIES

19 Deal Name Goldfish Master Issuer Goldfish Master Issuer Fishbowl Master Issuer Strong 2011-I Orange Lion V RMBS Saecure 8 NHG STRUCTURAL FEATURES Notes Payment Frequency Quarterly Quarterly Quarterly Quarterly Quarterly Quarterly Replenishment periods Ongoing Ongoing Ongoing 5 years Not applicable Not applicable Total Aaa size 93.1% 93.8% 93.8% 97.0% 89.0% 95.0% RF at Closing 0.0% 0.0% 0.0% 0.0% 0.0% 0.5% RF Fully Funded at Closing? Not applicable Not applicable Not applicable n.a. n.a. Yes RF Floor Not applicable Not applicable Not applicable n.a. n.a. Not applicable Hedge in place Yes Yes Yes Yes Yes Yes Swap rate or guaranteed XS 0.40% 0.40% 0.40% 0.50% 0.0% 0.25% (if applicable) Principal to pay interest? No No No No No No * Loan-to-foreclosure-value. The market standard in the Netherlands is to report foreclosure value. Moody's converts foreclosure value to market value using the following formula: foreclosure value * 110% = market value. ** As per Moody s calculation. Of original note balance, excluding equity tranche 19 MAY 29, 2013 NEW ISSUE REPORT: GOLDFISH MASTER ISSUER B.V. SERIES

20 Parameter Sensitivities Parameter Sensitivities provide a quantitative, modelindicated calculation of the number of notches that a Moody's-rated 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. It 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 differ as certain key parameters vary. For more information on V Score and Parameter sensitivity methodology for RMBS, please refer to V Scores and Parameter Sensitivities in the Major EMEA RMBS Sectors published in April Parameter sensitivities for this transaction were calculated in the following manner: Moody s assumed 16 loss distributions derived from the combinations of MILAN CE: 6.8% (base case), 8.2% (base x 1.2), 9.5% (base x 1.4) and 10.9% (base x 1.6) and expected loss: 0.20% (base case), 0.30% (base x 1.5), 0.40% (base x 2) and 0.60% (base x 3). The 6.2% / 0.20% scenario would represent the base case assumptions used in the initial rating process. The tables below show the parameter sensitivities for this transaction with respect to all Moody s rated tranches. TABLE 2* Class A1 A7 Median Expected Loss Milan CE Output 6.8% 8.2% 9.5% 10.9% 0.20% Aaa* Aa1(1) Aa1(1) Aa1(1) 0.30% Aa1(1) Aa1(1) Aa1(1) Aa1(1) 0.40% Aa1(1) Aa1(1) Aa1(1) Aa2(2) 0.60% Aa1(1) Aa1(1) Aa2(2) Aa2(2) Results under base case assumptions indicated by asterisk ' * '. Change in model output (# of notches) is noted in parentheses. Worse case scenarios: At the time the rating was assigned, the model output indicated that the Class A notes would not have achieved a Aaa rating if the MILAN CE was increased to 8.2 %. Monitoring Moody s will monitor the transaction on an ongoing basis to ensure that it continues to perform in the manner expected, including checking all supporting ratings and reviewing periodic servicing reports. Any subsequent changes in the rating will be publicly announced and disseminated through Moody s Client Service Desk. Originator Linkage: 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. Significant Influences: In addition to the counterparty issues noted, the following factors may have a significant impact on the subject transaction s ratings:» Deterioration in the general economic conditions and specifically the real estate market beyond the current consensus.» Change in the portfolio characteristics due to substitution beyond the stressed assumptions that were modelled. Counterparty Rating Triggers Condition Remedies ABN AMRO, A2/P-1 In accordance with Moody s swap guidelines* Asset purchaser account bank Issuer Account Bank Loss of P-1 Loss of P-1 or Loss of A2 (i) Find a guarantor or (ii) replace (i) Find a guarantor or (ii) replace Collection Account Bank Loss of P-1 (i) Find a guarantor or (ii) open escrow account Borrower notification event Loss of Baa3 Notify borrowers of assignment * See Framework for De-Linking Hedge Counterparty Risks from Global Structured Finance Cashflow Transactions Moody's Methodology, October MAY 29, 2013 NEW ISSUE REPORT: GOLDFISH MASTER ISSUER B.V. SERIES

21 Monitoring Report: Data Quality:» Given the multi-seller nature of the transaction, the reporting is done on multiple levels: Individual portfolio characteristics reports on asset purchaser level Individual payment reports (trustee reports) on asset purchaser level Payments report (trustee report) on issuer level Representations and Warranties The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found at: » The individual reports are in line with Moody s template at the time of issuance» Key performance indicators used by the primary analysts to rate the transaction are included in the investor report 60+ days delinquencies and losses.» The servicers will provide Moody s with updated pool cuts on a periodical basis Data Availability:» Report provided by the asset purchaser administrator and issuer administrator.» Timeline for providing the note calculation report to the issuer, asset purchasers and security trustee is provided in the transaction documentation. The asset purchaser administrator and issuer administrator intend to publish the investor reports in a timely manner following each IPD, although the timeline is not explicitly given in the transaction documentation.» Frequency of the publication of the investor report is in line with the frequency of the IPD. Portfolio stratifications are available on a monthly basis.» Investor reports are publicly available from the internet.» Undertaking to provide Moody s with updated pool cuts on a periodic basis (quarterly) 21 MAY 29, 2013 NEW ISSUE REPORT: GOLDFISH MASTER ISSUER B.V. SERIES

22 Moody s Related Research For a more detailed explanation of Moody s approach to this type of transaction as well as similar transactions please refer to the following reports: Principal Methodology used:» Moody's Approach to Rating RMBS Using the MILAN Framework, March 2013 (SF274702) Secondary Methodologies used:» Moody s Updated Approach to NHG Mortgages in Rating Dutch RMBS, March 2009 (SF157265)» Moody s Updated Methodology for Set-Off in Dutch RMBS, November 2009 (SF179373)» Cash Flow Analysis in EMEA RMBS: Testing Features with the MARCO Model (Moody s Analyser of Residential Cash Flows), January 2006 (SF58290)» A Framework for Stressing House Prices in RMBS Transactions in EMEA, June 2012 (SF283577)» V Scores and Parameter Sensitivities in the Major EMEA RMBS Subsectors, April 2009 (SF158654) Credit Opinion:» ABN AMRO Bank N.V. To access any of these reports, click on the entry above. Note that these references are current as of the date of publication of this report and that more recent reports may be available. All research may not be available to all clients. 22 MAY 29, 2013 NEW ISSUE REPORT: GOLDFISH MASTER ISSUER B.V. SERIES

23 Appendix 1: Summary of Originators Underwriting Policies and Procedures Originator Ability Sales and Marketing Practices Origination channels:» ABN AMRO originations are predominantly through branches.» Across the total pool, more than 80% is originated through the intermediary and the remainder is originated through branches Underwriting Procedures Underwriting composition The underwriting procedure of the originators includes an automatic phase, related to the evaluation of the mortgage loan proposal. Calculations, such as the affordability test, are included in the automatic phase. Underwriting Policies As of February 2012 Source of credit history checks:» No internal credit scoring model.» External credit bureau data is used (BKR), which could lead to denials based on adverse credit history. Methods used to assess borrowers repayment capabilities: Method used for income verification: Criteria for non income verified: Valuation types used for purchase & LTV limits: Valuation types used for remortgage & LTV limits:» Affordability calculations are in line with the standard affordability calculation in the Netherlands, which is prescribed by the Dutch Mortgage Code of Conduct.» The maximum loan amount is based on a housing expense percentage ( Woonquote ). A matrix of Woonquotes is set by the mortgage guarantee foundation ( WEW ) together with the Dutch budgeting department ( NIBUD ). The matrix gives the maximum allowable percentage that a borrower can spend on housing for certain levels of income. Low income borrowers are allowed to spent less on housing than higher income borrowers, according to this matrix.» For determining the housing expenses (costs of the mortgage loan) in the affordability calculation:» An annuity style amortisation over thirty is assumed. This is irrespective of the actual amortisation type (for instance interest-only).» Other financial obligations (possibly from other credits) are also taken into account in the calculation. All originators fully verify the income of the borrower.» Income verification in the form of an income slip and statement of employment from the employer. Self employed borrowers need to present 3 years of audited accounts.» Outliers (for instance high incomes with young people) will be subject to additional checks. Not applicable Full valuation with internal inspection or tax value (WOZ) The WOZ value is determined by the Dutch tax authorities (municipalities) on the basis of the Act on Valuation of Real Estate Properties (Wet Waardering Onroerende Zaken or WOZ ). Full valuation with internal inspection or tax value (WOZ) Valuation types used for further advances Full valuation with internal inspection or tax value (WOZ) & LTV limits: Collateral Valuation Policies and Procedures Value in the LTV calculation/ in the IT External valuation (foreclosure value before 1 Jan 2013, market value from 1 Jan 2013) system: Type, qualification and appointment of valuers: Closing Policies and Procedures Quality check before releasing funds: Credit Risk Management Track loan performance by loan characteristics? * FTE: Full Time Equivalent» A full valuation is performed by third-party appraiser.» Appraisers must operate within a certain radius to the property. The maximum distance differs per originator, but ranges between 15 and 35 kilometres. For larger cities the maximum difference is less.» The appraiser must be registered with one of three real estate surveyor registers.» Furthermore, the appraiser has to belong to one of five real estate surveyor industry association.» In the Netherlands the deed registration is done by the notary at closing of the mortgage loan.» No closing call with the borrower.» In the Netherlands the funds are released through a notary. The notary will check whether all conditions precedent are fulfilled.» There is no explicit test or check for the direct debit. No Originator Stability: At Closing Management Strength and Staff Quality Training of new hires and existing staff: In line with market standards Technology Tools/infrastructure available: All originators scan the loan files. 23 MAY 29, 2013 NEW ISSUE REPORT: GOLDFISH MASTER ISSUER B.V. SERIES

24 Appendix 2: Outstanding Notes After Closing Class Series Issuance Date Note Balance % of Total Call Date Legal Final Maturity Interest Rate Type Coupon Index Interest Margin/ Fixed Rate Post Step- Up Margin Redemption Type A I 19-Jun ,493,000, % 28-May Nov-2099 Floating 3M E 0.00% 0.15% Soft Bullet A I 19-Jun ,000, % 28-May Nov-2099 Floating 3M E 0.02% 0.20% Soft Bullet A II 28-Nov ,500, % 28-May Nov-2099 Floating 3M E 0.35% 1.00% Soft Bullet A V 30-Nov ,000, % 28-May Nov-2099 Floating 3M E 0.72% 3.00% Soft Bullet A V 30-Nov ,000, % 28-May Nov-2099 Floating 3M E 0.72% 3.00% Soft Bullet A I 28-Jan ,000, % 28-Nov Nov-2099 Floating 3M E 0.16% 3.00% Soft Bullet A Feb ,701,500, % 28-May Nov-2099 Floating 3ME 0.45% 0.90% Soft Bullet A Feb ,000,000, % 28-May Nov-2099 Floating 3ME 0.55% 1.10% Soft Bullet A May ,000,000, % 28-May Nov-2099 Floating 3M E 0.45% 0.90% A May ,000,000, % 28-May Nov-2099 Floating 3M E 0.55% 1.10% A May ,000,000, % 28-May Nov-2099 Floating 3M E 0.65% 1.3% A May ,000,000, % 28-May Nov-2099 Floating 3M E 0.75% 1.4% Soft Bullet A May ,000,000, % 28-May Nov-2099 Floating 3M E 0.85% 1.7% Soft Bullet A May ,000, % 28-May Nov-2099 Floating 3M E 0.95% 1.9% Soft Bullet A May ,183,000, % 28-May Nov-2099 Floating 3M E 0.95% 1.9% Soft Bullet Total Class A 13,971,000, % B I 19-Jun ,000, % 28-May Nov-2099 Floating 3M E 0.17% 0.35% Soft Bullet B I 28-Jan ,300, % 28-May Nov-2099 Floating 3M E 1.00% 2.00% Soft Bullet B II 28-Nov ,700, % 28-May Nov-2099 Floating 3M E 1.00% 3.00% Soft Bullet B 2010-I 28-Jan ,050, % 28-Aug Nov-2099 Floating 3M E 1.00% 5.00% Soft Bullet B May ,000, % 28-Aug Nov-2099 Floating 3M E 1.00% 1.00% Soft Bullet Total Class B 368,050, % C 2010-I 28-Jan ,000, % 28-Aug Nov-2099 Floating 3M E 2.00% 6.00% Soft Bullet C May ,000, % 28-Aug Nov-2099 Floating 3M E 2.00% 2.00% Soft Bullet Total Class C 661,000, % 24 MAY 29, 2013 NEW ISSUE REPORT: GOLDFISH MASTER ISSUER B.V. SERIES

25 1 See also Moody s Updated Methodology for Set-Off in Dutch RMBS September MAY 29, 2013 NEW ISSUE REPORT: GOLDFISH MASTER ISSUER B.V. SERIES

26 » contacts continued from page 1 Analyst Contacts: Annabel Schaafsma Senior Vice President/Manager annabel.schaafsma@moodys.com ADDITIONAL CONTACTS: Frankfurt: Madrid: Milan: Paris: New York: Report Number: SF Moody s Investors Service, Inc. and/or its licensors and affiliates (collectively, MOODY S ). All rights reserved. CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. ( MIS ) AND ITS AFFILIATES ARE MOODY S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT- LIKE SECURITIES, AND CREDIT RATINGS AND RESEARCH PUBLICATIONS PUBLISHED BY MOODY S ( MOODY S PUBLICATIONS ) MAY INCLUDE MOODY S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MOODY S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL, FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT. 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For Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY S affiliate, Moody s Investors Service Pty Limited ABN AFSL and/or Moody s Analytics Australia Pty Ltd ABN AFSL (as applicable). This document is intended to be provided only to wholesale clients within the meaning of section 761G of the Corporations Act By continuing to access this document from within Australia, you represent to MOODY S that you are, or are accessing the document as a representative of, a wholesale client and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to retail clients within the meaning of section 761G of the Corporations Act MOODY S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail clients. It would be dangerous for retail clients to make any investment decision based on MOODY S credit rating. If in doubt you should contact your financial or other professional adviser. 26 MAY 29, 2013 NEW ISSUE REPORT: GOLDFISH MASTER ISSUER B.V. SERIES