DELFT 2017 B.V. Prelim. tranche percentage (%)

Presale: DELFT 2017 B.V. This presale report is based on information as of Jan. 11, 2017. The ratings shown are preliminary. This report does not constitute a recommendation to buy, hold, or sell securities. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. Preliminary Ratings Assigned Class Prelim. rating* Prelim. tranche percentage (%) Available credit enhancement (%) Interest A AAA (sf) 63.50 37.23 Three-month EURIBOR plus a margin B Dfrd AA (sf) 12.20 25.03 Three-month EURIBOR plus a margin C Dfrd A (sf) 4.75 20.28 Three-month EURIBOR plus a margin D-Dfrd A- (sf) 4.75 15.53 Three-month EURIBOR plus a margin E-Dfrd BBB- (sf) 5.80 9.73 Three-month EURIBOR plus a margin First optional redemption date January 2020 January 2020 January 2020 January 2020 January 2020 Legal final maturity January 2040 January 2040 January 2040 January 2040 January 2040 Z NR 9.00 N/A No coupon N/A January 2040 Class R1 certificates NR N/A N/A N/A N/A N/A Primary Credit Analysts: Geoffrey Guillemard, London +442071766635; geoffrey.guillemard@spglobal.com Ibrahim Bundu-kamara, London +44-20-7176 1231; Ibrahim.Bundu-Kamara@spglobal.com See complete contact list on last page(s) WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JANUARY 11, 2017 1

Preliminary Ratings Assigned (cont.) Class Class R2 certificates Prelim. rating* Prelim. tranche percentage (%) Available credit enhancement (%) Interest First optional redemption date Legal final maturity NR N/A N/A N/A N/A N/A *Our rating on each class of notes is preliminary as of Jan. 11, 2017, and subject to change at any time. We expect to assign final credit ratings on the closing date, subject to a satisfactory review of the transaction documents and legal opinion. Our ratings address timely receipt of interest and ultimate repayment of principal for the class A notes. The ratings assigned to the class B-Dfrd to E-Dfrd notes are interest-deferred ratings and address the ultimate payment of interest and principal. Available credit enhancement for the class A notes will consist of subordination and a reserve fund. EURIBOR--Euro Interbank Offered Rate. NR--Not rated. N/A--Not applicable. Transaction Participants Arranger Special servicer Lead manager Issuer Seller Servicer Collection foundation Issuer administrator/cash bond administrator Issuer account bank Paying agent Back-up servicing facilitator Back-up issuer administrator Morgan Stanley & Co. International PLC Adaxio B.V. Morgan Stanley & Co. International PLC DELFT 2017 B.V. Morgan Stanley Principal Funding Inc. Adaxio B.V. Stichting ELQ Ontvangsten Adaxio B.V. ABN AMRO Bank N.V. ABN AMRO Bank N.V. Intertrust Management B.V. Intertrust Administrative Services B.V. Security trustee Stichting Security Trustee DELFT 2017 Originator Liquidation agent Interim sub-mpt servicer Collection foundation account bank Supporting Ratings ELQ Portefeuille I B.V. To be appointed before the first optional redemption date Stater Nederland B.V. ABN AMRO Bank N.V. Institution/role ABN AMRO Bank N.V. Rating A/A-1/Stable Transaction Key Features* Expected closing date Jan. 20, 2017 Collateral A pool of first-ranking mortgage loans (or first- and consecutive-ranking mortgage loans) secured on Dutch residential properties Outstanding principal of the portfolio 157,725,386 Country of origination The Netherlands Concentration** Zuid Holland (27.9%), Noord Holland (20.6%), and Noord-Brabant (10.3%) Property occupancy 100% owner-occupied WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JANUARY 11, 2017 2

Transaction Key Features* (cont.) Weighted-average original loan-to-market-value ratio (%) ** Weighted-average indexed current loan-to-market-value ratio (%) ** Average net loan size balance ( ) ** 180,554 Part loan size range ( ) ** 747.7 to 531,000 Weighted-average seasoning (months)** 109.01 Weighted-average asset life remaining (years)** 20.07 Construction loans (%) 0.00 Self-employed (%)** 17.56 Weighted-average margin on the mortgage loans(%) Arrears (%)** 7.80 Redemption profile Interest only (99.09%), life (0.65%), and annuity (0.26%) Non-liquidity reserve fund Liquidity reserve fund Mortgage priority 98.1 106.0 3.35 2.0% of the class A to Z notes at closing minus the liquidity reserve fund. 2.0% of the class A notes' principal amount outstanding on the relevant interest payment date (with a 1.0% floor of the class A notes' balance at closing) First-ranking or first and sequentially-lower-ranking Maximum current loan-to-value ratio (%)** 137.6 Principal deficiency ledger Loss based Amount of jumbo valuation (%)** 1.68 *According to our calculations. Based on the preliminary portfolio. Based on the net balance. Total borrower exposure. **Based on the pool excluding the delinquent loans (arrears for more than six months please see the "Transaction Summary" section for more details). Transaction Summary S&P Global Ratings has assigned preliminary credit ratings to DELFT 2017 B.V.'s residential mortgage-backed floating-rate class A, B-Dfrd, C-Dfrd, D-Dfrd, and E-Dfrd notes. At closing, DELFT 2017 will also issue unrated class Z asset-backed notes and class R1 and R2 certificates. The transaction securitizes a pool of nonconforming loans secured on first- and consecutive-ranking Dutch mortgages, which ELQ Portefeuille I B.V. originated and which Adaxio B.V. will service. In addition, the pool includes 6.204 million delinquent loans (loans that are in arrears for more than six months which have not reduced their arrears in the past three months). In our analysis, we have excluded these loans from our analysis of the collateral pool by assuming they all default in period one, and assumed a recovery to be realized after 18 months. As most of the borrowers for these loans have not been current or paying full mortgage payments for an extended period of time, we believe they will not provide immediate cash flow credit to this transaction until recovery. The mortgages stratifications in this report are based on the portfolio balance excluding these loans. Our preliminary ratings reflect our assessment of the transaction's payment structure, cash flow mechanics, and the results of our cash flow analysis to assess whether the notes would be repaid under stress test scenarios. The transaction's structure relies on a combination of subordination, excess spread, principal receipts, and a reserve fund. The reserve fund comprises a liquidity reserve fund and a non-liquidity reserve fund to cover credit losses and income WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JANUARY 11, 2017 3

shortfalls. Taking these factors into account, we consider the available credit enhancement for the rated notes to be commensurate with the preliminary ratings that we have assigned. Our ratings reflect timely receipt of interest and ultimate repayment of principal for the class A notes. The ratings assigned to the class B-Dfrd to E-Dfrd notes are interest-deferred ratings and address the ultimate payment of interest and principal. At closing, a rated notes' reserve fund will be funded to 2.0% of the closing balance of the class A to Z notes. The reserve fund will be split between a liquidity reserve fund and a non-liquidity reserve fund. The required balance of the liquidity reserve fund will be 2.0% of the class A notes' outstanding balance, with a 1.0% floor of the class A notes' balance at closing, while the non-liquidity reserve is the difference between the reserve fund's required amount and the liquidity reserve. Over time, as the class A notes amortize, the proportion attributable to the liquidity reserve will decrease, while the non-liquidity reserve will increase, providing additional credit enhancement for the notes. Interest on the class A notes is equal to three-month Euro Interbank Offered Rate (EURIBOR) plus a specific margin. However, the class B-Dfrd to E-Dfrd notes are somewhat unique in the European residential mortgage-backed securities (RMBS) market in that they pay interest based on the lower of the coupon on the notes (three-month EURIBOR plus a class-specific margin) and the net weighted-average coupon (WAC). The net WAC on the assets is based on the interest accrued on the assets (whether it was collected or not) during the quarter, less senior fees, divided by the current balance of the assets at the beginning of the collection period. The net WAC is then applied to the outstanding balance of the notes in question to determine the required interest (net WAC cap). In line with our imputed promises criteria, our preliminary ratings address the lower of these two rates (see "Principles For Rating Debt Issues Based On Imputed Promises," published on Dec. 19, 2014). A failure to pay the lower of these amounts will, for the class B-Dfrd to E-Dfrd notes, result in interest being deferred. Deferred interest will also accrue at the lower of the two rates. Our preliminary ratings however, do not address the payment of what are termed "net WAC additional amounts" i.e., the difference between the coupon and the net WAC cap where the coupon exceeds the net WAC cap. Such amounts will be subordinated in the interest priority of payments. In our view, neither the initial coupons on the notes nor the initial net WAC cap are "de minimis", and nonpayment of the net WAC additional amounts is not considered an event of default under the transaction documents. Therefore, we do not need to consider these amounts in our cash flow analysis, in line with our imputed promises criteria. Strengths, Concerns, And Mitigating Factors Strengths All of the mortgage loans in the portfolio are first and sequentially lower-ranking residential mortgage loans, and the portfolio is well-seasoned, in our view. There are several mechanisms to meet revenue shortfalls in addition to the non-liquidity reserve, including the liquidity reserve. The transaction can also use principal receipts to pay interest shortfalls on the notes. The notes will pay down sequentially, so credit enhancement can build up over time for the outstanding notes enabling the structure to withstand performance shocks. The seller is not a deposit-taking institution, which means that the transaction is not exposed to setoff risk through the depositors. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JANUARY 11, 2017 4

Concerns and mitigating factors The mortgage loans are nonconforming in our view, given 93.95% have had at least one Bureau Krediet Registratie (BKR) registration. However, they benefit from high seasoning, which we factored into our analysis. Of the pool, 25.27% comprises self-certified loans and 39.41% comprises remortgage loans. We have addressed these features accordingly in our credit analysis by adjusting our WAFF assumptions. The liquidity reserve fund will decline over time. It has been appropriately modeled in our cash flow analysis to ensure that liquidity is available for the class A notes when the structure requires it. The interest rate risk between one-month EURIBOR received from the mortgage loans and three-month EURIBOR paid under the notes is not hedged, but we considered this in our cash flow analysis through basis risk stresses. Transaction Structure At closing, the issuer will use the class A to Z notes' and class R1 and R2 certificates' issuance proceeds to purchase and accept the assignment of all the seller's rights against the borrowers in the transaction's mortgage portfolio (see chart 1). DELFT 2017 will pay interest quarterly in arrears on the payment date on the 17th of January, April, July, and October of each year, beginning on April 17, 2017. The class A rated notes pay interest at three-month EURIBOR plus a margin, while the class B-Dfrd to E-Dfrd notes pay the lower of the coupon on the notes (three-month EURIBOR plus a class-specific margin) and the net WAC. All of the classes of notes have a legal final maturity date in January 2040. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JANUARY 11, 2017 5

ELQ Portefeuille I is the originator and Morgan Stanley Principal Funding Inc. is the seller of the assets. According to the servicing agreement, Adaxio will manage the portfolio's daily administration and servicing, including the collection of payments and the undertaking of enforcement actions in accordance with its internal policy. At closing, Adaxio will delegate some servicing activities to the interim sub-mpt servicer, Stater Nederland B.V., for a maximum period of 12 months. Following this period, Adaxio will resume servicing the entire portfolio. In our most recent visit in September 2016, we reviewed Adaxio's collections and default management procedures as an integral part of the ratings process. We are satisfied that Adaxio is capable of performing its function in the transaction as servicer. Representations And Warranties The seller provides representations and warranties in the mortgage sale agreement, which we consider to be weaker WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JANUARY 11, 2017 6

than those applied in a standard Dutch RMBS transaction. If there is a breach of the mortgage representation and warranties, then the seller will indemnify any losses incurred by the issuer up to a maximum of 20,000 per mortgage receivable. In our opinion, this indemnification mechanism does not fully mitigate possible losses arising from a breach in representation and warranties. As a result, in our analysis, we took into account the difference in the representation and warranties package compared to a standard Dutch RMBS transaction and reflected this in our analysis of the credit risk in the transaction. Terms And Conditions Of The Notes The issuer will pay interest quarterly in arrears on the payment dates in January, April, July, and October of each year, beginning in January 2017. The legal final maturity date for all classes of notes will be in January 2040. The class A notes accrue interest at a rate of three-month EURIBOR plus a margin. However, the class B-Dfrd to E-Dfrd notes accrue interest based on the lower of three-month EURIBOR plus a class-specific margin and the net WAC cap. The class Z notes do not accrue any interest. The class-specific margin for class A to E notes will step up on the first optional redemption date in January 2020. As mentioned in the transaction summary section, the lower of these two rates is what our ratings address in line with our imputed promises criteria. A failure to pay the lower of these amounts will, for the class B-Dfrd to E-Dfrd notes, result in interest being deferred. Deferred interest will also accrue at the lower of the two rates. However, our preliminary ratings do not address the payment of the net WAC additional amounts, i.e., the difference between the coupon and the net WAC rate where the coupon exceeds the net WAC cap. Such amount will be subordinated in the interest priority of payments. In our view, neither the initial coupons on the notes nor the initial net WAC rate are "de minimis", and nonpayment of the net WAC additional amounts is not considered an event of default under the transaction documents. Therefore, we do not need to consider these amounts into our cash flow analysis, in line with our imputed promises criteria. Our preliminary 'AAA (sf)' rating on the class A notes addresses the timely payment of interest and the ultimate payment of principal. The ratings assigned to the class B-Dfrd to E-Dfrd notes are interest-deferred ratings and address the ultimate payment of interest and principal. Under the transaction documentation, should there be insufficient funds to meet the lower of the class-specific margin or the net WAC cap on the class B-Dfrd to E-Dfrd notes, the issuer can defer interest payments on these notes and any deferral of interest would not constitute an event of default, even when this class of notes is the most senior. Mortgage portfolio sale On the first optional redemption date and each following optional redemption date, the mortgage portfolio option holder (majority holder of each of the class R1 and R2 certificates) has an option (but not an obligation) to require the issuer to sell and transfer to the mortgage portfolio option holder the mortgage portfolio. The purchase price payable by the portfolio option holder will be equal to the aggregate principal amount outstanding of the notes plus accrued and unpaid interest (including any net WAC additional amounts), plus items in the priority of payments ranking senior WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JANUARY 11, 2017 7

or pari passu to the notes, plus any fees, costs, and expenses of the issuer security trustee and if applicable, the liquidation agent less any amounts standing to the reserve fund. Optional redemption On the first optional redemption date and each following optional redemption date, the issuer has the right to sell all (but not some only) mortgage receivables to a third party, provided that the issuer will apply the proceeds of the sale to redeem the notes at their respective principal amount outstanding. The sale price is the principal amount outstanding of the notes plus accrued and unpaid interest (including any net WAC additional amount) and items in the priority of payments ranking senior or pari passu to the notes. Redemption for tax reasons If certain tax changes affect the notes, the issuer can redeem all of the notes as long as it has sufficient funds to discharge all amounts payable under the notes and items ranking either senior or pari passu. Final redemption Unless previously redeemed, all of the notes will redeem at their outstanding principal amount on the payment date in January 2040. Collateral Description The preliminary collateral portfolio consists of nonconforming loans secured by first-ranking (or first- and consecutive-ranking) mortgages over residential properties in the Netherlands. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JANUARY 11, 2017 8

Chart 2 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JANUARY 11, 2017 9

Chart 3 The preliminary portfolio has an outstanding principal balance of 157,725,386, which comprises 874 mortgage loan parts as of Oct. 31, 2016. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JANUARY 11, 2017 10

Chart 4 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JANUARY 11, 2017 11

Chart 5 WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JANUARY 11, 2017 12

Chart 6 The mortgage loans are predominantly interest-only loans with a small subset of life (0.65%) and annuity (0.26%) loans. The portfolio's 98.13% weighted-average original loan-to-value (LTV) ratio exceeds the average for a typical Dutch residential mortgage-backed securities (RMBS) transaction. We calculated this by applying our Dutch RMBS criteria. We consider that borrowers with minimal equity in their property are less likely to be able to refinance, and are more likely to default on their obligations, than borrowers with loans that have lower original LTV ratios. The largest geographic concentrations are Zuid Holland (27.9%), Noord Holland (20.6%), and Noord-Brabant (10.3%). The proportion of the portfolio with jumbo valuations is 1.68%. Our criteria classify a loan as a jumbo valuation if the valuation exceeds 500,000. As of Oct. 31, 2016, the weighted-average seasoning of the assets was 109.01 months. The average outstanding balance is 180,554 and the maximum balance is 531,000 (total borrower exposure). WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JANUARY 11, 2017 13

Credit Structure A combination of subordination, the reserve fund, and excess spread on the mortgages provide credit enhancement to the notes. Table 1 Portfolio WAFF And WALS Rating level WAFF (%) WALS (%) Expected loss (%) AAA 57.50 53.87 30.97 AA 41.13 50.66 20.83 A 32.07 44.24 14.19 BBB 22.17 40.58 9.00 BB 12.54 37.91 4.76 B 9.61 35.35 3.40 WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity. Mortgage loan interest rates Each of the mortgage loans pays a floating rate of interest. The weighted-average margin on the portfolio is 3.35%. Interest rates vary between individual mortgage loans. Cash collection arrangements and transaction account Borrower payments are made into the collection foundation account, which is held with ABN AMRO Bank N.V. in the originator's name. The collections will be transferred at least weekly to the issuer's bank account, which is also held with ABN AMRO Bank. We understand that the transaction documents' provisions will ensure that, if the long-term rating on the issuer bank account provider and the collection foundation account provider falls below 'A', the collection foundation and the issuer will transfer the bank accounts to a bank rated at least 'A' or find a guarantor whose long-term rating is at least 'A' within 30 calendar days. We have therefore only accounted for commingling risk in our cash flow analysis by applying a one-month liquidity stress on principal and interest collections. Reserve fund At closing, the issuer will fund the rated notes' reserve fund to 2.0% of the class A to Z notes' balance. The reserve will be split into a liquidity reserve and a non-liquidity reserve. The liquidity reserve will be sized at 2% of the outstanding balance of the class A notes with a 1.0% floor of the class A notes' balances at closing, while the non-liquidity reserve will be equal to the overall reserve fund minus the liquidity reserve. Priority of payments On each payment date, DELFT 2017 will apply all interest funds to make payments in accordance with the following simplified waterfall: Senior fees including security trustee fee and directors emuneration; Other senior fees including servicing fees; Interest on the class A notes; WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JANUARY 11, 2017 14

Class A notes' principal deficiency ledger (PDL); Interest on the class B-Dfrd notes; Class B-Dfrd notes' PDL; Interest on the class C-Dfrd notes; Class C-Dfrd notes' PDL; Interest on the class D-Dfrd notes; Class D-Dfrd notes' PDL; Interest on the class E-Dfrd notes; Class E-Dfrd notes' PDL; Credit the reserve fund ledger up to the reserve fund required amount. First credit the liquidity reserve fund portion of the reserve fund, then the non-liquidity reserve fund portion; Class Z notes' PDL; Any net WAC additional amount due and payable on the class B-Dfrd notes; Any net WAC additional amount due and payable on the class C-Dfrd notes; Any net WAC additional amount due and payable on the class D-Dfrd notes; Any net WAC additional amount due and payable on the class E-Dfrd notes; and Any remaining cash flow payable to the holders of the class R1 certificates. Principal priority of payments The issuer will apply available principal funds on each payment date according to the following simplified principal waterfall: Top up the liquidity reserve fund ledger. Top-up of the reserve fund required amount through principal will increase the PDL; Class A notes' principal until fully redeemed; Class B-Dfrd notes' principal until fully redeemed; Class C-Dfrd notes' principal until fully redeemed; Class D-Dfrd notes' principal until fully redeemed; Class E-Dfrd notes' principal until fully redeemed; Any net WAC additional amount due and payable on the class B-Dfrd notes; Any net WAC additional amount due and payable on the class C-Dfrd notes; Any net WAC additional amount due and payable on the class D-Dfrd notes; Any net WAC additional amount due and payable on the class E-Dfrd notes; Class Z notes' principal; and Any remaining cash flow payable to the class R2 certificates' noteholders. Hedging Risk The transaction does not feature any interest swap agreement to cover basis risk between interest received on the mortgage loans and interest paid to the noteholders. As a result, in our analysis, we have stressed a basis risk haircut to account for the possible differences in the reference rate the assets pay and the rate which the notes pay. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JANUARY 11, 2017 15

Credit Analysis We stressed the transaction's cash flow to test the credit and liquidity support provided by the assets, subordinated tranches, and the reserve fund. We implemented these stresses in our cash flow analysis at all relevant rating levels. Amount of defaults and recoveries For each loan in the portfolio, we estimated the likelihood that the borrower will default on its mortgage payments (the foreclosure frequency), and the amount of loss upon the subsequent sale of the property (the loss severity, expressed as a percentage of the outstanding loan). We assume the total mortgage balance to default. We determine the total amount of this defaulted balance that is not recovered for the entire portfolio by calculating our weighted-average foreclosure frequency (WAFF) and weighted-average loss severity (WALS). Our WAFF and WALS estimates increase in tandem with the respective rating levels, because the higher the rating on the notes, the higher the level of mortgage default and loss severity they should be capable of withstanding. We based our credit analysis on the loans' characteristics and the associated borrowers. We have applied market-specific criteria in our assessment of the WAFF and the WALS for this portfolio. Default patterns and timings The WAFF at each rating level specifies the total balance of the mortgage loans modeled to default over the transaction's life. We model these defaults to occur over a three-year recession. Furthermore, we test the effect of this recession's timing on the issuer's ability to repay the liabilities, by starting the recessionary period at closing, and at the end of the third year. We applied the WAFF to the outstanding principal balance at closing. We model defaults to occur periodically in amounts calculated as a percentage of the WAFF. The timing of defaults follows two paths, referred to here as "front-loaded" and "back-loaded" (see table 2). Table 2 Default Timings For Fast And Slow Default Curves Recession periods (months) Front-loaded defaults (percentage of WAFF applied in each month; %) Back-loaded default (percentage of WAFF applied in each month; %) 1-6 5.0 0.8 6-12 5.0 0.8 13-18 3.3 1.7 19-24 1.7 3.3 25-30 0.8 5.0 31-36 0.8 5.0 WAFF--Weighted-average foreclosure frequency. Recovery timing Under our Dutch RMBS criteria, we apply a recovery period of 18 months for owner-occupied mortgages. We always base the WALS that we use in a cash flow model on principal loss, including costs. We assumed no recovery of any interest accrued on the mortgage loans during the foreclosure period. After we apply the WAFF to the WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JANUARY 11, 2017 16

balance of the mortgages, the asset balance is likely to be lower than that of the liabilities (a notable exception is when a transaction relies on overcollateralization). Other structural mechanisms in the transaction address the interest reduction created by the defaulted mortgages during the foreclosure period. Delinquencies To model the liquidity stress that results from short-term delinquencies, the criteria include a hypothetical delay of a proportion of scheduled interest and principal receipts equal to one-third of the WAFF. Modeling applies this delay in each month of the first 18 months of a hypothetical recession and sets full recovery of the arrears to take place 36 months after the delinquency occurs. The cash flow stress for delinquencies is independent of the arrears adjustment to the WAFF. Interest and prepayment rates Our Dutch RMBS criteria apply a wide range of different interest rate curves, and our modeling uses five different interest rate paths: up, down, up/down, down/up, and forward. These curves vary by stress scenario. We model three prepayment scenarios at all rating levels - high, low, and forecast. For this transaction, we modeled the forecast constant payment rate (CPR) at 3%. During the recessionary period, we model the prepayment rate at 1%, before gradually reverting to a high prepayment rate under both scenarios. At the 'AA' level and above, we model an additional low prepayment scenario, which also reverts to a low prepayment rate after the recession period. The combination of default timings, interest rates, and prepayment rates described above gives rise to different scenarios. Table 3 RMBS Stress Scenarios Rating level Prepayment rate Recession start Interest rate Default timing 'AAA' High, forecast, and low Closing and year 3 Up, down, up-down, and down-up Front-loaded and back-loaded 'AA-' and below High and forecast Closing and year 3 Up, down, up-down, and down-up Front-loaded and back-loaded Scenario Analysis Various factors could cause downgrades of rated RMBS notes, such as increasing foreclosure rates in the securitized portfolios, house price declines, and changes in the portfolio composition. We have analyzed the effect of increased delinquencies by testing the sensitivity of the ratings to two different levels of movements. Increasing levels of delinquencies will likely cause more stress to a transaction, and would likely contribute to downgrades of rated notes. In our analysis, our assumptions for increased delinquencies are specific to a transaction, although these levels may be similar (or the same) across different transactions. The levels do not reflect any views as to whether these deteriorations will materialize in the future. However, our analysis already incorporates additional adjustments to the pool's default probability by projecting buckets of expected arrears. We adjusted our WAFF assumptions in two scenarios by assuming additional arrears of (i) 8% split between 4% in the WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JANUARY 11, 2017 17

30-60 days bucket and 4% in the 90+ days bucket and, (ii) 8% in the 90+ days bucket. This did not result in our rating deteriorating below the maximum projected deterioration that we would associate with each relevant rating level, as outlined in our credit stability criteria. Tables 4 and 5 summarize the results of our house price decline analysis. Table 4 Assuming An Additional 8% Of Arrears, Split Equally Between One Monthly Payment And Three Monthly Payments Missed Ratings WAFF (%) WALS (%) Expected loss (%) AAA 62.50 53.87 33.67 AA 45.13 50.66 22.86 A 34.87 44.24 15.42 BBB 24.77 40.58 10.05 BB 14.74 37.91 5.59 B 11.21 35.35 3.96 WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity. Table 5 Assuming An Additional 8% Of Arrears, All Of Which Have Missed Three Monthly Payments--With Credit To The NHG Guarantee Ratings WAFF (%) WALS (%) Expected loss (%) AAA 65.50 53.87 35.28 AA 47.13 50.66 23.87 A 36.07 44.24 15.96 BBB 26.17 40.58 10.62 BB 15.74 37.91 5.97 B 12.01 35.35 4.25 WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity. Sector Credit Highlights The collateral performance of transactions in our RMBS index improved in Q3 2016. Severe delinquencies in our index declined to 0.38% from 0.57% in Q3 2015, continuing the positive trend observed since September 2014. They also decreased in our rated nonconforming transactions (see "Dutch RMBS Index Report Q3 2016," published on Nov. 28, 2016). Real GDP expanded by 2.4% year-on-year during the third quarter of 2016. Growth was driven primarily by private consumption and net exports. Underlying conditions in the Dutch labor market have improved steadily since the beginning of last year and the unemployment rate stood at 6.0% after the first seven months of 2016. WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JANUARY 11, 2017 18

Surveillance The key performance indicators in the surveillance of this transaction will be: Total and 90-day delinquencies; Cumulative realized losses; LTV ratios; Constant prepayment rates; Increases in credit enhancement for the notes; and Increases in the collateral pool's seasoning. Related Criteria And Research Related Criteria Criteria - Structured Finance - General: Methodology And Assumptions: Assessing Pools Of European Residential Loans, Dec. 23, 2016 Criteria - Structured Finance - General: Ratings Above The Sovereign - Structured Finance: Methodology And Assumptions, Aug. 08, 2016 Criteria - Structured Finance - General: Methodology: Criteria For Global Structured Finance Transactions Subject To A Change In Payment Priorities Or Sale Of Collateral Upon A Nonmonetary EOD, March 02, 2015 General Criteria: Principles For Rating Debt Issues Based On Imputed Promises, Dec. 19, 2014 Criteria - Structured Finance - General: Global Framework For Assessing Operational Risk In Structured Finance Transactions, Oct. 09, 2014 Legal Criteria: Europe Asset Isolation And Special-Purpose Entity Criteria--Structured Finance, Sept. 13, 2013 Criteria - Structured Finance - General: Counterparty Risk Framework Methodology And Assumptions, June 25, 2013 Criteria - Structured Finance - General: Criteria Methodology Applied To Fees, Expenses, And Indemnifications, July 12, 2012 General Criteria: Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012 General Criteria: Methodology: Credit Stability Criteria, May 03, 2010 Criteria - Structured Finance - General: Standard & Poor's Revises Criteria Methodology For Servicer Risk Assessment, May 28, 2009 Related Research Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016 European Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016 Dutch RMBS Index Report Q3 2016, Nov. 28, 2016 Europe's Economic Outlook After The Brexit Vote, July 4, 2016 2015 EMEA RMBS Scenario And Sensitivity Analysis, Aug. 6, 2015 Analytical Team WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JANUARY 11, 2017 19

Primary Credit Analysts: Geoffrey Guillemard, London +442071766635; geoffrey.guillemard@spglobal.com Ibrahim Bundu-kamara, London +44-20-7176 1231; Ibrahim.Bundu-Kamara@spglobal.com Secondary Contact: Nicola Dobson, London (44) 20-7176-3879; nicola.dobson@spglobal.com WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JANUARY 11, 2017 20

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