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STRUCTURED FINANCE RESEARCH

Dutch RMBS Index Report Q4 2013: Severe Delinquencies Edge Higher As The Economy Stabilizes
Primary Credit Analyst: Nicolas Huschke, London +44 (0) 207 176 3459; nicolas.huschke@standardandpoors.com Secondary Contact: Elton Eakins, London (44) 20-7176-3698; elton.eakins@standardandpoors.com Data Analyst: Feliciano P Pereira, London 44 (0) 207 176 7021; feliciano.pereira@standardandpoors.com

Table Of Contents
Related Criteria And Research

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Table 1

Performance Indicators (%)
Q4 2013 Indices Total delinquencies 90+ day delinquencies Prepayment rate Economic data House price growth* Real GDP growth§ Unemployment rate† -3.70 7.00 -4.10 0.20 7.00 -9.60 0.00 6.80 -7.00 -0.40 6.40 -6.70 -0.40 5.80 1.60 0.78 4.19 1.89 0.74 3.71 1.78 0.71 4.28 1.89 0.72 4.35 1.76 0.73 4.05 Q3 2013 Q2 2013 Q1 2013 Q4 2012

*Source: Kadaster; year-on-year. §Source: Statistics Netherlands; seasonally adjusted quarter-on-quarter. †Eurostat; seasonally adjusted.

Table 2

Scenarios For Dutch RMBS Collateral: 2013-2015
Baseline effect on collateral credit quality

Actual 2012 Real GDP (year-on-year growth; %) Unemployment rate (annual average; %) House prices (year-on-year growth; %) Net mortgage lending (year-on-year growth in balances, %) ECB policy rate (%) (1.2) 2013 (1.2)

Baseline 2014 0.2 2015 1.1

Downside 2014 (0.5) 2015 0.1

Comment

The economy has remained weak in 2013, with only very modest growth likely in 2014

Neutral

5.3 (7.3)

7.0 (4.5)

8.0 0.0

7.5 2.0

9.1 N/A

8.8 Unemployment is close to a 17-year high and may rise further N/A Weak economic prospects, high households' debt level and credit constraints will keep the recovery muted Household deleveraging has modestly begun We consider that the ECB will keep its policy rate low, given the ongoing weakness in the Eurozone economy

Somewhat unfavorable Somewhat unfavorable Neutral

0.3

(1.5)

(1.2)

0.5

N/A

N/A

0.75

0.25

0.25

0.50

N/A

N/A

Neutral

Sources: Statistics Netherlands, Eurostat, OECD, Standard & Poor's. N/A--Not available.

In the fourth quarter of 2013, 90+ day delinquencies increased slightly in the transactions included in Standard & Poor's Ratings Services' Dutch residential mortgage-backed securities (RMBS) index. The small increase of four basis points (bps) comes as the most recent macroeconomic indicators point to improving economic conditions, greater fiscal policy certainty, and increased affordability of housing, which seem to have halted the slump in The Netherlands' housing market. Although we saw a promising fall in unemployment in October and November, it returned to Q3's rate of 7.0% in

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December. The increase in the unemployment rate during 2013 was one of the highest in Europe. On a positive note, consumer confidence has returned to the highest level seen since early 2011. Overview • • • • In Q4 2013, severe delinquencies increased slightly in our Dutch RMBS index. Despite signs of improving economic conditions, unemployment remained high, at 7.0%. We expect house prices to be flat in 2014. We took various rating actions—mainly reflecting house price declines—and rated two transactions.

We do not think that the Q3 2013 rise in house prices heralds a strong recovery of the housing market. Fiscal modification should make housing a less attractive investment for households, the number of house sales remained high at 212,000 in December 2013 compared with 121,000 in September 2008, and credit constraints and banking sector reform will also likely limit the market's recovery. We expect house prices to be flat in 2014, followed by growth of 2% in 2015 (see "Europe's Housing Markets May Be On A Slow Path To Recovery," published on Jan. 22, 2014). The economy returned to growth in the third quarter, even if growth was marginal at 0.2% quarter-on-quarter, following an increase from Statistics Netherlands' initial estimate of 0.1%. But, in November, we lowered our long-term unsolicited sovereign credit ratings on The Netherlands (see "Long-Term Ratings On The Netherlands Lowered To 'AA+' On Weak Growth Prospects; Outlook Stable," published on Nov. 29, 2013). In 2014, we expect GDP to grow by 0.2%, followed by 1.1% in 2015, which is lower than our previous forecasts (see "Europe's Housing Markets May Be On A Slow Path To Recovery," published on Jan. 22, 2014). Total delinquencies have decreased in our index, partly due to declining 30-60 days delinquencies in the Dolphin Master Trust, whose total delinquencies declined to 2.79% from 3.08%. Dolphin represents more than 25% of the collateral in our index. Additionally, the servicer changed the method of arrears reporting for ABN AMRO Bank N.V. master trusts (borrowers who are in the 30 days arrears bucket will now show in the zero to one-month bucket, which is consistent with the arrears reporting in other Dutch RMBS transactions). However, 90+ day delinquencies have increased by 4 bps quarter-on-quarter to 0.78%, mainly due to increases in STORM (6 bps), SAECURE (7 bps), Fishbowl Master Issuer (9 bps), and Oceanarium Master Issuer (11 bps). Despite the significant increase in the Dutch unemployment rate and an overall contraction in economic output in 2013, 90+ day delinquencies increased by only 5 bps over the year, making the Dutch RMBS market one of the best performing jurisdictions in Europe. Meanwhile, prepayments increased to 4.19% from 3.71%. We affirmed our ratings on 76 tranches in 17 transactions. We also lowered our ratings on 10 tranches in six STORM transactions and six tranches in two Arena transactions to reflect house price declines and performance deterioration. We rated two new transactions totaling approximately €1.84 billion: Lunet RMBS 2013-1 B.V. and Dolphin Master Issuer B.V. 2013-2 (see "Related Criteria And Research").

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Dutch RMBS Index Report Q4 2013: Severe Delinquencies Edge Higher As The Economy Stabilizes

Chart 1

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Chart 2

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Chart 3

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Chart 4

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Chart 5

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Chart 6

Counterparty scenario analysis. In order to provide further transparency on the components of our ratings, at the end of this report, we have set out a scenario analysis using the assumption that all supporting parties are rated 'AAA' in order to demonstrate the likely ratings, were counterparties not a constraining factor.

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Chart 7

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Chart 8

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Chart 9

Table 3

Estimated Ratings Under A Scenario Where All Counterparties Are Rated 'AAA' (Right-Hand Column)
Transaction Arena 2007-1 B.V. Arena 2007-1 B.V. Arena 2007-1 B.V. Arena 2007-1 B.V. Arena 2007-1 B.V. Arena 2007-1 B.V. Arena 2009-I B.V. Arena 2009-I B.V. Arena 2009-I B.V. Arena 2011-1 B.V. Arena 2011-1 B.V. Arena 2011-1 B.V. Arena 2011-II B.V. Arena 2011-II B.V. Series 2007-1 2007-1 2007-1 2007-1 2007-1 2007-1 2009-1 2009-1 2009-1 2011-1 2011-1 2011-1 2011-II 2011-II Class Current rating A AAA (sf) A-NHG AAA (sf) B AA- (sf) C A- (sf) D BB- (sf) E B (sf) A1 AAA (sf) A2 AAA (sf) B AA- (sf) A1 AAA (sf) A2 AAA (sf) B A- (sf) A1 AAA (sf) A2 AAA (sf) Estimated scenario rating if all counterparties were rated 'AAA' AAA AAA AAABBB AAA AAA AAAAA AAA AAAA AAA

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Table 3

Estimated Ratings Under A Scenario Where All Counterparties Are Rated 'AAA' (Right-Hand Column) (cont.)
Arena 2011-II B.V. Arena 2011-II B.V. Arena 2012-I B.V. Arena 2012-I B.V. Arena 2012-I B.V. Arena 2012-I B.V. Beluga Master Issuer B.V. Beluga Master Issuer B.V. Candide Financing 2008 B.V. Candide Financing 2008-2 B.V. Candide Financing 2012-1 B.V. Candide Financing 2012-1 B.V. Candide Financing 2012-1 B.V. Candide Financing 2012-1 B.V. Citadel 2010-I B.V. Citadel 2010-I B.V. Citadel 2010-I B.V. Citadel 2010-I B.V. Citadel 2010-II B.V. Citadel 2010-II B.V. Citadel 2010-II B.V. Citadel 2011-I B.V. Citadel 2011-I B.V. Citadel 2011-I B.V. Courtine RMBS 2013-I B.V Courtine RMBS 2013-I B.V Dolphin Master Issuer B.V. Dolphin Master Issuer B.V. Dolphin Master Issuer B.V. Dolphin Master Issuer B.V. Dolphin Master Issuer B.V. Dolphin Master Issuer B.V. Dolphin Master Issuer B.V. Dolphin Master Issuer B.V. Dolphin Master Issuer B.V. Dolphin Master Issuer B.V. Dolphin Master Issuer B.V. Dolphin Master Issuer B.V. Dolphin Master Issuer B.V. Dolphin Master Issuer B.V. Dolphin Master Issuer B.V. Dolphin Master Issuer B.V. 2011-II 2011-II 2012-I 2012-I 2012-I 2012-I 2006-1 2007-II 2008 2008-2 2012-1 2012-1 2012-1 2012-1 2010-I 2010-I 2010-I 2010-I 2010-II 2010-II 2010-II 2011-I 2011-I 2011-I 2013-I 2013-I 2012-2 2012-2 2012-2 2012-2 2012-2 2012-2 2012-2 2012-2 2009-2 2013-1 2013-1 2010-2 2010-2 2011-1 2013-2 2010-1 B BBB+ (sf) C BBB- (sf) A1 AAA (sf) A2 AAA (sf) B A (sf) C BBB+ (sf) A3 AAA (sf) A AAA (sf) A AAA (sf) Senior A AAA (sf) A1 AAA (sf) A2 AAA (sf) B A (sf) C BBB+ (sf) A1 AAA (sf) A2 AAA (sf) B AAA (sf) C BBB+ (sf) A AAA (sf) B AA- (sf) C BBB+ (sf) A1 AAA (sf) A2 AAA (sf) B AAA (sf) A1 AAA (sf) A2 AAA (sf) A1 AAA (sf) A3 AAA (sf) A4 AAA (sf) A5 AAA (sf) A6 AAA (sf) A7 AAA (sf) B AA (sf) C A (sf) A AAA (sf) A1 AAA (sf) A2 AAA (sf) A1 AAA (sf) A2 AAA (sf) A AAA (sf) A AAA (sf) A1 AAA (sf) BBB+ BBBAAA AAA A BBB+ AAA AAA AAA AAA AAA AAA A BBB+ AAA AAA AAA BBB+ AAA AABBB+ AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AA A AAA AAA AAA AAA AAA AAA AAA AAA

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Table 3

Estimated Ratings Under A Scenario Where All Counterparties Are Rated 'AAA' (Right-Hand Column) (cont.)
Dolphin Master Issuer B.V. Dolphin Master Issuer B.V. Dolphin Master Issuer B.V. Dome 2006-I B.V. Dome 2006-I B.V. Dome 2006-I B.V. Dome 2006-I B.V. Dutch MBS XV B.V. Dutch MBS XV B.V. Dutch MBS XV B.V. Dutch MBS XV B.V. Dutch MBS XV B.V. Dutch MBS XV B.V. E-MAC NL 2004-1 B.V. E-MAC NL 2004-1 B.V. E-MAC NL 2004-1 B.V. E-MAC NL 2004-1 B.V. E-MAC NL 2004-II B.V. E-MAC NL 2004-II B.V. E-MAC NL 2004-II B.V. E-MAC NL 2004-II B.V. E-MAC NL 2004-II B.V. E-MAC NL 2005-1 B.V. E-MAC NL 2005-1 B.V. E-MAC NL 2005-1 B.V. E-MAC NL 2005-1 B.V. E-MAC NL 2005-1 B.V. E-MAC NL 2005-III B.V. E-MAC NL 2005-III B.V. E-MAC NL 2005-III B.V. E-MAC NL 2005-III B.V. E-MAC NL 2005-III B.V. E-MAC NL 2006-II B.V E-MAC NL 2006-II B.V E-MAC NL 2006-II B.V E-MAC NL 2006-II B.V E-MAC NL 2006-II B.V E-MAC Program B.V. Compartment NL 2006-III E-MAC Program B.V. Compartment NL 2006-III E-MAC Program B.V. Compartment NL 2006-III 2010-1 2010-1 2010-1 2006-1 2006-1 2006-1 2006-1 XV XV XV XV XV XV 2004-1 2004-1 2004-1 2004-1 2004-II 2004-II 2004-II 2004-II 2004-II 2005-1 2005-1 2005-1 2005-1 2005-1 2005-III 2005-III 2005-III 2005-III 2005-III 2006-II 2006-II 2006-II 2006-II 2006-II 2006-III 2006-III 2006-III A2 AAA (sf) A3 AAA (sf) A4 AAA (sf) A Suspended B Suspended C Suspended D Suspended A1 AAA (sf) A2 AAA (sf) B AA+ (sf) C A+ (sf) D BBB (sf) E BB+ (sf) A A+ (sf) B A+ (sf) C A (sf) D BBB (sf) A A+ (sf) B A+ (sf) C A (sf) D BBB (sf) E CCC (sf) A A+ (sf) B A+ (sf) C A (sf) D BBB- (sf) E CCC (sf) A A (sf) B A (sf) C A (sf) D BBB (sf) E CCC (sf) A A (sf) B A (sf) C A (sf) D BB (sf) E CCC (sf) A2 A+ (sf) B A+ (sf) C BBB (sf) AAA AAA AAA Suspended Suspended Suspended Suspended AAA AAA AA+ A+ BBB BB+ AAA AA+ AA+ BBB AAA AA+ AA+ BBB CCC AAA AA+ AA+ BBBCCC AAA AA+ AA+ BBB CCC AAA AA A BB CCC AAA AABBB

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Table 3

Estimated Ratings Under A Scenario Where All Counterparties Are Rated 'AAA' (Right-Hand Column) (cont.)
E-MAC Program B.V. Compartment NL 2006-III E-MAC Program B.V. Compartment NL 2006-III E-MAC Program B.V. Compartment NL 2007-I E-MAC Program B.V. Compartment NL 2007-I E-MAC Program B.V. Compartment NL 2007-I E-MAC Program B.V. Compartment NL 2007-I E-MAC Program B.V. Compartment NL 2007-I E-MAC Program B.V. Compartment NL 2007-III E-MAC Program B.V. Compartment NL 2007-III E-MAC Program B.V. Compartment NL 2007-III E-MAC Program B.V. Compartment NL 2007-III E-MAC Program B.V. Compartment NL 2007-III E-MAC Program B.V. Compartment NL 2007-III E-MAC Program II B.V. Compartment NL 2007-IV E-MAC Program II B.V. Compartment NL 2007-IV E-MAC Program II B.V. Compartment NL 2007-IV E-MAC Program II B.V. Compartment NL 2007-IV E-MAC Program II B.V. Compartment NL 2008-IV E-MAC Program II B.V. Compartment NL 2008-IV E-MAC Program II B.V. Compartment NL 2008-IV E-MAC Program II B.V. Compartment NL 2008-IV E-MAC Program III B.V. Compartment NL 2008-I E-MAC Program III B.V. Compartment NL 2008-I E-MAC Program III B.V. Compartment NL 2008-I E-MAC Program III B.V. Compartment NL 2008-I 2006-III 2006-III 2007-I 2007-I 2007-I 2007-I 2007-I 2007-III 2007-III 2007-III 2007-III 2007-III 2007-III 2007-IV 2007-IV 2007-IV 2007-IV 2008-IV 2008-IV 2008-IV 2008-IV 2008-I 2008-I 2008-I 2008-I D BB- (sf) E CCC (sf) A2 A (sf) B A (sf) C BBB (sf) D BB- (sf) E CCC (sf) A1 A+ (sf) A2 A+ (sf) B A+ (sf) C A (sf) D BB- (sf) E CCC (sf) A AA- (sf) B AA- (sf) C A (sf) D BB (sf) A A (sf) B A (sf) C A (sf) D BB (sf) A1 A (sf) A2 A (sf) B A (sf) C A- (sf) BBCCC AAA AABBB BBCCC AAA AAA AA A BBCCC AAA AA A BB AAA AAA A+ BB AAA AAA AAA A-

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Table 3

Estimated Ratings Under A Scenario Where All Counterparties Are Rated 'AAA' (Right-Hand Column) (cont.)
E-MAC Program III B.V. Compartment NL 2008-I E-MAC Program III B.V. Compartment NL 2008-II E-MAC Program III B.V. Compartment NL 2008-II E-MAC Program III B.V. Compartment NL 2008-II E-MAC Program III B.V. Compartment NL 2008-II EMF-NL 2008-1 B.V. EMF-NL 2008-1 B.V. EMF-NL 2008-2 B.V. EMF-NL 2008-2 B.V. EMF-NL 2008-2 B.V. EMF-NL 2008-2 B.V. EMF-NL 2008-2 B.V. EMF-NL Prime 2008-A B.V. EMF-NL Prime 2008-A B.V. EMF-NL Prime 2008-A B.V. EMF-NL Prime 2008-A B.V. EMF-NL Prime 2008-A B.V. Essence III B.V. Eurosail-NL 2007-1 B.V. Eurosail-NL 2007-1 B.V. Eurosail-NL 2007-1 B.V. Eurosail-NL 2007-1 B.V. Eurosail-NL 2007-1 B.V. Eurosail-NL 2007-2 B.V. Eurosail-NL 2007-2 B.V. Eurosail-NL 2007-2 B.V. Eurosail-NL 2007-2 B.V. Eurosail-NL 2007-2 B.V. Fishbowl Master Issuer B.V. Fishbowl Master Issuer B.V. Fishbowl Master Issuer B.V. Fishbowl Master Issuer B.V. Fishbowl Master Issuer B.V. Fishbowl Master Issuer B.V. Fishbowl Master Issuer B.V. Fishbowl Master Issuer B.V. Fishbowl Master Issuer B.V. Fishbowl Master Issuer B.V. Fishbowl Master Issuer B.V. 2008-I 2008-II 2008-II 2008-II 2008-II 2008-1 2008-1 2008-2 2008-2 2008-2 2008-2 2008-2 2008-A 2008-A 2008-A 2008-A 2008-A III 2007-1 2007-1 2007-1 2007-1 2007-1 2007-2 2007-2 2007-2 2007-2 2007-2 2011-1 2011-1 2011-1 2011-1 2011-1 2011-1 2011-1 2011-1 2011-1 2011-1 2011-1 D BBB- (sf) A2 A (sf) B A (sf) C A (sf) D BB- (sf) A2 A- (sf) A3 BBB+ (sf) A1 BBB+ (sf) A2 BBB- (sf) B BB- (sf) C B- (sf) D CCC (sf) A2 BB (sf) A3 BB (sf) B B (sf) C B- (sf) D CCC (sf) A AAA (sf) A A- (sf) B A- (sf) C A- (sf) D BB (sf) E1 CCC (sf) A A- (sf) B BB (sf) C BB- (sf) D1 B- (sf) M A- (sf) A10 AAA (sf) A11 AAA (sf) A12 AAA (sf) A2 AAA (sf) A3 AAA (sf) A4 AAA (sf) A5 AAA (sf) A6 AAA (sf) A7 AAA (sf) A8 AAA (sf) A9 AAA (sf) BBBAAA AAA AABBABBB+ BBB+ BBBBBBCCC BB BB B BCCC AAA AAA AAA ABB CCC AA+ BB BBBAAAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA

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Table 3

Estimated Ratings Under A Scenario Where All Counterparties Are Rated 'AAA' (Right-Hand Column) (cont.)
Fishbowl Master Issuer B.V. Goldfish Master Issuer B.V. Goldfish Master Issuer B.V. Goldfish Master Issuer B.V. Goldfish Master Issuer B.V. Goldfish Master Issuer B.V. Goldfish Master Issuer B.V. Goldfish Master Issuer B.V. Goldfish Master Issuer B.V. Goldfish Master Issuer B.V. Goldfish Master Issuer B.V. Goldfish Master Issuer B.V. Goldfish Master Issuer B.V. Goldfish Master Issuer B.V. Goldfish Master Issuer B.V. Goldfish Master Issuer B.V. Goldfish Master Issuer B.V. Goldfish Master Issuer B.V. Goldfish Master Issuer B.V. Goldfish Master Issuer B.V. Goldfish Master Issuer B.V. Goldfish Master Issuer B.V. Goldfish Master Issuer B.V. Goldfish Master Issuer B.V. Goldfish Master Issuer B.V. Holland Mortgage Backed Series (Hermes) IX B.V. Holland Mortgage Backed Series (Hermes) IX B.V. Holland Mortgage Backed Series (Hermes) IX B.V. Holland Mortgage Backed Series (Hermes) IX B.V. Holland Mortgage Backed Series (Hermes) XI B.V. Holland Mortgage Backed Series (Hermes) XI B.V. Holland Mortgage Backed Series (Hermes) XI B.V. Holland Mortgage Backed Series (Hermes) XI B.V. Lunet RMBS 2013-I B.V. Lunet RMBS 2013-I B.V. Lunet RMBS 2013-I B.V. Monastery 2004-I B.V. 2011-1 2007-I 2007-I 2007-I 2008-I 2008-II 2008-II 2009-III 2009-IV 2009-V 2009-V 2009-V 2010-2 2010-I 2010-I 2013-I 2013-I 2013-II 2013-II 2013-II 2013-II 2013-II 2013-II 2013-II 2013-II IX IX IX IX XI XI XI XI 2013-1 2013-1 2013-1 2004-I B AA- (sf) A1 AAA (sf) A2 AAA (sf) B AA- (sf) B AA- (sf) A AAA (sf) B AA- (sf) A AAA (sf) A AAA (sf) A1 AAA (sf) A2 AAA (sf) A3 AAA (sf) A1 AAA (sf) A3 AAA (sf) B AA- (sf) A1 AAA (sf) A2 AAA (sf) A1 AAA (sf) A2 AAA (sf) A3 AAA (sf) A4 AAA (sf) A5 AAA (sf) A6 AAA (sf) A7 AAA (sf) B AA- (sf) A A+ (sf) B A+ (sf) C BBB (sf) D BB+ (sf) A A+ (sf) B A- (sf) C BBB (sf) D BB (sf) A1 AAA (sf) A2 AAA (sf) B AA- (sf) A2 AA- (sf) AAAAA AAA AAAAAAA AAAAA AAA AAA AAA AAA AAA AAA AAAAA AAA AAA AAA AAA AAA AAA AAA AAA AAAAA AA+ BBB BB+ AA+ ABBB BB AAA AAA AAAA-

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Table 3

Estimated Ratings Under A Scenario Where All Counterparties Are Rated 'AAA' (Right-Hand Column) (cont.)
Monastery 2004-I B.V. Monastery 2004-I B.V. Monastery 2004-I B.V. Monastery 2006-I B.V. Monastery 2006-I B.V. Monastery 2006-I B.V. Monastery 2006-I B.V. Oceanarium Master Issuer B.V. Oceanarium Master Issuer B.V. Oceanarium Master Issuer B.V. Oceanarium Master Issuer B.V. Oceanarium Master Issuer B.V. Oceanarium Master Issuer B.V. Oceanarium Master Issuer B.V. Oceanarium Master Issuer B.V. Oceanarium Master Issuer B.V. Oceanarium Master Issuer B.V. Oceanarium Master Issuer B.V. Oceanarium Master Issuer B.V. Oceanarium Master Issuer B.V. Oceanarium Master Issuer B.V. Oceanarium Master Issuer B.V. Oceanarium Master Issuer B.V. PEARL Mortgages Backed Securities 4 B.V. Phedina Hypotheken 2013-1 Phedina Hypotheken 2013-1 Phedina Hypotheken 2013-1 Phedina Hypotheken 2013-1 Principal Residential Investment Mortgages 1 S.A. Principal Residential Investment Mortgages 1 S.A. Provide Lowlands 1 B.V. Provide Lowlands 1 B.V. Provide Lowlands 1 B.V. Provide Lowlands 1 B.V. Provide Lowlands 1 B.V. Saecure 10 B.V. Saecure 10 B.V. Saecure 10 B.V. Saecure 12 B.V. Saecure 12 B.V. 10 10 10 12 12 2013-1 2013-1 2013-1 2013-1 2004-I 2004-I 2004-I 2006-I 2006-I 2006-I 2006-I 2011-1 2011-1 2011-1 2011-1 2011-1 2011-1 2011-1 2011-1 2011-1 2011-1 2011-1 2011-1 2011-1 2011-1 2011-1 2011-1 B A (sf) C BBB (sf) D BB (sf) A2 A- (sf) B BB- (sf) C B- (sf) D CCC (sf) A1 AAA (sf) A10 AAA (sf) A11 AAA (sf) A12 AAA (sf) A13 AAA (sf) A14 AAA (sf) A2 AAA (sf) A3 AAA (sf) A4 AAA (sf) A5 AAA (sf) A6 AAA (sf) A7 AAA (sf) A8 AAA (sf) A9 AAA (sf) B AA (sf) C A- (sf) A AAA (sf)/Watch Neg A1 AAA (sf) A2 AAA (sf) B A+ (sf) C A (sf) A AAA (sf) B AA (sf) A AAA (sf) A+ AAA (sf) B AAA (sf) C BBB (sf) Snr Swap AAA (sf) A1 AAA (sf) A2 AAA (sf) B AA (sf) A1 AAA (sf) A2 AAA (sf) A BBB BB ABBBCCC AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AA AAAA AAA AAA A+ A AAA AA AAA AAA AAA BBB AAA AAA AAA AA AAA AAA

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Table 3

Estimated Ratings Under A Scenario Where All Counterparties Are Rated 'AAA' (Right-Hand Column) (cont.)
Saecure 13 NHG B.V Saecure 13 NHG B.V Saecure 7 B.V. Saecure 7 B.V. Saecure 7 B.V. Saecure 7 B.V. Saecure 8 NHG B.V. Saecure 8 NHG B.V. Saecure 8 NHG B.V. Saecure 8 NHG B.V. Saecure 9 B.V. Saecure 9 B.V. Saecure 9 B.V. Saecure 9 B.V. Saecure 9 B.V. STORM 2010-I B.V. STORM 2010-I B.V. STORM 2010-I B.V. STORM 2010-I B.V. STORM 2010-I B.V. STORM 2010-II B.V. STORM 2010-II B.V. STORM 2010-II B.V. STORM 2010-II B.V. Storm 2010-III B.V. Storm 2010-III B.V. Storm 2010-III B.V. Storm 2010-III B.V. Storm 2010-III B.V. Storm 2010-IV B.V. Storm 2010-IV B.V. Storm 2010-IV B.V. Storm 2010-IV B.V. STORM 2011-I B.V. STORM 2011-I B.V. STORM 2011-I B.V. STORM 2011-I B.V. STORM 2011-II B.V. STORM 2011-II B.V. STORM 2011-II B.V. STORM 2011-II B.V. STORM 2011-III B.V. 13 13 7 7 7 7 8 8 8 8 9 9 9 9 9 2010-I 2010-I 2010-I 2010-I 2010-I 2010-II 2010-II 2010-II 2010-II 2010-III 2010-III 2010-III 2010-III 2010-III 2010-IV 2010-IV 2010-IV 2010-IV 2011-I 2011-I 2011-I 2011-I 2011-II 2011-II 2011-II 2011-II 2011-III A1 AAA (sf) A2 AAA (sf) A AAA (sf) B AA+ (sf) C AA (sf) D A (sf) A1 AAA (sf) A2 AAA (sf) B AA (sf) C A (sf) A1 AAA (sf) A2 AAA (sf) B AA+ (sf) C AA (sf) D A (sf) A1 AAA (sf) A2 AAA (sf) B AA (sf) C A+ (sf) D BBB (sf) A AAA (sf) B AA (sf) C A (sf) D BBB (sf) A1 AAA (sf) A2 AAA (sf) B AA (sf) C A (sf) D BBB- (sf) A AAA (sf) B AA (sf) C A+ (sf) D BBB (sf) A AAA (sf) B AA (sf) C A (sf) D BBB (sf) A AAA (sf) B AA (sf) C A (sf) D BBB (sf) A1 AAA (sf) AAA AAA AAA AA+ AA A AAA AAA AA A AAA AAA AA+ AA A AAA AAA AA A+ BBB AAA AA A BBB AAA AAA AA A BBBAAA AA A+ BBB AAA AA A BBB AAA AA A BBB AAA

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Dutch RMBS Index Report Q4 2013: Severe Delinquencies Edge Higher As The Economy Stabilizes

Table 3

Estimated Ratings Under A Scenario Where All Counterparties Are Rated 'AAA' (Right-Hand Column) (cont.)
STORM 2011-III B.V. STORM 2011-III B.V. STORM 2011-III B.V. STORM 2011-III B.V. STORM 2011-IV B.V. STORM 2011-IV B.V. STORM 2011-IV B.V. STORM 2011-IV B.V. STORM 2011-IV B.V. STORM 2012-I B.V. STORM 2012-I B.V. STORM 2012-I B.V. STORM 2012-I B.V. STORM 2012-I B.V. STORM 2012-II B.V. STORM 2012-II B.V. STORM 2012-II B.V. STORM 2012-II B.V. STORM 2012-II B.V. STORM 2012-III B.V. STORM 2012-III B.V. STORM 2012-III B.V. STORM 2012-III B.V. STORM 2012-III B.V. STORM 2012-IV B.V. STORM 2012-IV B.V. STORM 2012-IV B.V. STORM 2012-IV B.V. STORM 2012-IV B.V. STORM 2012-V B.V. STORM 2012-V B.V. STORM 2012-V B.V. STORM 2012-V B.V. STORM 2013-I B.V. STORM 2013-I B.V. STORM 2013-I B.V. STORM 2013-I B.V. STORM 2013-I B.V. STORM 2013-II B.V. STORM 2013-II B.V. STORM 2013-II B.V. STORM 2013-II B.V. 2011-III 2011-III 2011-III 2011-III 2011-IV 2011-IV 2011-IV 2011-IV 2011-IV 2012-I 2012-I 2012-I 2012-I 2012-I 2012-II 2012-II 2012-II 2012-II 2012-II 2012-III 2012-III 2012-III 2012-III 2012-III 2012-IV 2012-IV 2012-IV 2012-IV 2012-IV 2012-V 2012-V 2012-V 2012-V 2013-I 2013-I 2013-I 2013-I 2013-I 2013-II 2013-II 2013-II 2013-II A2 AAA (sf) B AA (sf) C A (sf) D BBB- (sf) A1 AAA (sf) A2 AAA (sf) B AA- (sf) C A (sf) D BBB- (sf) A1 AAA (sf) A2 AAA (sf) B AA (sf) C A (sf) D BBB (sf) A1 AAA (sf) A2 AAA (sf) B AA (sf) C A (sf) D BBB (sf) A1 AAA (sf) A2 AAA (sf) B AA (sf) C A+ (sf) D BBB (sf) A1 AAA (sf) A2 AAA (sf) B AA+ (sf) C A+ (sf) D BBB (sf) A AAA (sf) B AA+ (sf) C A+ (sf) D BBB (sf) A1 AAA (sf) A2 AAA (sf) B AA (sf) C A (sf) D BBB- (sf) A1 AAA (sf) A2 AAA (sf) B AA+ (sf) C AA (sf) AAA AA A BBBAAA AAA AAA BBBAAA AAA AA A BBB AAA AAA AA A BBB AAA AAA AA A+ BBB AAA AAA AA+ A+ BBB AAA AA+ A+ BBB AAA AAA AA A BBBAAA AAA AA+ AA

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Dutch RMBS Index Report Q4 2013: Severe Delinquencies Edge Higher As The Economy Stabilizes

Table 3

Estimated Ratings Under A Scenario Where All Counterparties Are Rated 'AAA' (Right-Hand Column) (cont.)
STORM 2013-II B.V. STORM 2013-III B.V. STORM 2013-III B.V. STORM 2013-III B.V. STORM 2013-III B.V. STORM 2013-IV B.V. STORM 2013-IV B.V. STORM 2013-IV B.V. STORM 2013-IV B.V. STORM 2013-IV B.V. Strong 2011- I B.V. 2013-II 2013-III 2013-III 2013-III 2013-III 2013-IV 2013-IV 2013-IV 2013-IV 2013-IV 2011-I D A- (sf) A AAA (sf) B AA+ (sf) C AA- (sf) D BBB (sf) A1 AAA (sf) A2 AAA (sf) B AA+ (sf) C AA- (sf) D BBB (sf) A AAA (sf) AAAA AA+ AABBB AAA AAA AA+ AABBB AAA

Related Criteria And Research
• Europe's Housing Markets May Be On A Slow Path To Recovery, Jan. 22, 2014 • Rating Affirmed On Beluga Master Issuer's Series 2006-1 Class A3 Dutch RMBS Notes Following Review, Dec. 23, 2013 • Various Rating Actions Taken In Seven STORM Dutch RMBS Transactions Following Performance Review, Dec. 12, 2013 • Various Rating Actions Taken In Dutch RMBS Transaction Arena 2007-I For Credit And Counterparty Reasons, Dec. 10, 2013 • Rating On PEARL Mortgage Backed Securities 4's Class A Notes Kept On CreditWatch Negative Pending Further Review, Dec. 9, 2013 • Long-Term Ratings On The Netherlands Lowered To 'AA+' On Weak Growth Prospects; Outlook Stable, Nov. 29, 2013 • Ratings Lowered On 45 European RMBS Tranches After RBS Downgrade, 33 Tranches Placed On CreditWatch Negative, Nov. 25, 2013 • New Issue: Lunet RMBS 2013-I B.V., Nov. 7, 2013 • Ratings Lowered On Arena 2011-II's Class B And C Dutch RMBS Notes; Ratings Affirmed On Class A1 And A2 Notes, Oct. 31, 2013 • New Issue: Dolphin Master Issuer B.V., Oct. 22, 2013 • All Ratings Affirmed In Dutch RMBS Transaction Oceanarium Master Issuer's Series 2011-1, Oct. 14, 2013 • Dutch RMBS Market Overview And Criteria, Dec. 16, 2005 • Methodology Behind European RMBS Indices, Nov. 8, 2004 • Cash Flow Criteria for European RMBS Transactions, Nov. 20, 2003 S&P's Rating Actions are determined by Ratings Committee. This commentary has not been determined by Ratings Committee. The opinions expressed in this article do not represent a change to or affirmation of Ratings Services' opinion of the creditworthiness of any entity/entities (named or inferred) or the likely direction of ratings.
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