STRUCTURED FINANCE RESEARCH

Dutch RMBS Index Report Q2 2013: New Issuance And Redemptions Mask Weakening Collateral Performance
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: Pulock Baidya, Data Analyst, London (44) 20-7176-3986; pulock_baidya@standardandpoors.com

Table Of Contents
Related Criteria And Research

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT

AUGUST 15, 2013 1

1178946 | 301112013

Dutch RMBS Index Report Q2 2013: New Issuance And Redemptions Mask Weakening Collateral Performance
Table 1

Performance Indicators (%)

Q2 2013 Indices Total delinquencies 90+ day delinquencies Prepayment rate Economic data House price growth* Real GDP growth Unemployment rate (9.6) (0.2) 6.8 (7.0) (0.4) 6.4 (6.7) (0.4) 5.8 (8.3) (1.0) 5.4 (4.8) 0.2 5.1 1.79 0.71 4.35 1.89 0.72 4.28 1.76 0.73 4.05 1.78 0.68 4.46 2.26 0.67 3.17 Q1 2013 Q4 2012 Q3 2012 Q2 2012

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

Table 2

Scenarios For Dutch RMBS Collateral: 2013 And 2014

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 (%) (1.0)

Baseline 2013 (0.8) 2014 0.6

Downside 2013 (1.2) 2014 (0.4)

Comment

The economy will likely remain weak in 2013, with only very modest growth the following year Unemployment is at a 17-year high and accelerating

Neutral

5.3 (7.3)

6.9 (5.5)

7.2 (1.0)

8.0 N/A

8.5 N/A

Somewhat unfavorable

Greater constraints on mortgage interest Somewhat unfavorable tax relief and wider austerity measures are hitting house prices Household deleveraging has not yet begun We expect the ECB to keep its policy rate low, given the ongoing eurozone downturn Neutral

1.6

0.5

(0.2)

N/A

N/A

0.75

0.50

0.50

0.25

0.25

Neutral

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

In the second quarter of 2013, 90+ day delinquencies in Standard & Poor's Ratings Services' Dutch residential mortgage-backed securities (RMBS) index, remained largely unchanged. However, worsening macroeconomic conditions and high unemployment have weakened the underlying collateral in certain transaction groups. New transactions, which typically have no 90+ day delinquencies, have pushed overall delinquencies down. Our 90+ day delinquencies index would have increased to 0.76% if we excluded the effect of new issuance. In addition, transactions with high delinquencies, were redeemed this quarter, further masking weakening collateral performance. Nevertheless,

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT

AUGUST 15, 2013 2

1178946 | 301112013

Dutch RMBS Index Report Q2 2013: New Issuance And Redemptions Mask Weakening Collateral Performance

delinquency levels remain lower than other jurisdictions. The Dutch domestic economy remains weak and many key indicators remain negative or well below long-term averages. On the other hand, exports have recently performed well, mainly due to re-exports. We updated our GDP expectations for the Netherlands and assume a 0.8% contraction this year (see "The Eurozone Economy Shows Signs Of Stabilization, But Recovery Is Still Some Way Off," published on June 26, 2013). Unemployment has risen to 6.8% from 6.4% in Q1, and we have revised our 2013 forecast to 6.9%. We forecast unemployment to reach 7.2% in 2014. In addition, the Dutch government will reduce unemployment benefits to a maximum of 24 months from 38 months in January 2016. In our view, this is likely to lead to further deteriorating collateral performance. Overview Although total delinquencies appear to have decreased in our index, suggesting improved performance, new issuance and redemptions are masking weakening collateral performance in certain transaction groups. The Dutch domestic economy remains weak and many key indicators remain negative or well below long-term averages. We rated four new transactions totaling approximately 11 billion.

House prices saw another weak quarter. Recent data from Kadaster show that house prices declined by another 2% in Q2, and we believe that prices will continue to fall by a further 3% by the end of the year, and by another 1% in 2014. This will bring the cumulative decline from their peak in mid-2008 to about 23%. Although total delinquencies appear to have decreased in our index, suggesting improved performance, a number of new issuances and redemptions and new issuances are masking weakening collateral performance in certain transactions. For example, the weighted-average of 90+ day delinquencies in STORM transactions appears to have decreased to 0.37% from 0.43% quarter-on-quarter. However, since Q1, we have removed the 2006-I and 2006-II transactions from our index and added new 2013 transactions with no delinquencies at issuance, which have effectively masked the effect of overall increasing severe delinquencies. Excluding these redemptions and additions to our index, 90+ day delinquencies in STORM transactions would have increased to 0.42% from 0.28%. Similarly, Goldfish Master Trust B.V.'s performance appears to have improved, as 90+ day delinquencies decreased to 0.35% from 0.51%. However, Goldfish issued its new 2013-II notes, which increased the trust's outstanding balance to 15.0 billion from 9.5 billion. Excluding the effect of the new transaction, 90+ day delinquencies would have been four basis points higher. While we affirmed our ratings on 47 tranches in 10 transactions, we lowered our ratings on seven tranches in Monastery 2006-I B.V., E-MAC Program B.V. Compartment NL 2007-III, and E-MAC Program II B.V. Compartment NL 2007-IV. In addition, we placed our ratings in four SNS Bank N.V. originated prime transactions on CreditWatch negative, due to a breach in the documented assignment notification trigger of 'BBB+' (see "Related Criteria And Research").

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT

AUGUST 15, 2013 3

1178946 | 301112013

Dutch RMBS Index Report Q2 2013: New Issuance And Redemptions Mask Weakening Collateral Performance

We rated four new transactions totaling approximately 11 billion: Phedina Hypotheken 2013-1, STORM 2013-II B.V., STORM 2013-III B.V., and Goldfish Master Issuer B.V. 2013-2. STORM 2006-I B.V., STORM 2006-II B.V. and Dutch Mortgage Portfolio Loans II B.V. were fully redeemed, and Goldfish Master Issuer redeemed its 2010-2 A2 and A3 notes and its 2011-1 A1 notes. 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.
Chart 1

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT

AUGUST 15, 2013 4

1178946 | 301112013

Dutch RMBS Index Report Q2 2013: New Issuance And Redemptions Mask Weakening Collateral Performance

Chart 2

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT

AUGUST 15, 2013 5

1178946 | 301112013

Dutch RMBS Index Report Q2 2013: New Issuance And Redemptions Mask Weakening Collateral Performance

Chart 3

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT

AUGUST 15, 2013 6

1178946 | 301112013

Dutch RMBS Index Report Q2 2013: New Issuance And Redemptions Mask Weakening Collateral Performance

Chart 4

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT

AUGUST 15, 2013 7

1178946 | 301112013

Dutch RMBS Index Report Q2 2013: New Issuance And Redemptions Mask Weakening Collateral Performance

Chart 5

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT

AUGUST 15, 2013 8

1178946 | 301112013

Dutch RMBS Index Report Q2 2013: New Issuance And Redemptions Mask Weakening Collateral Performance

Chart 6

Counterparty scenario analysis. We have carried out a scenario analysis using the assumption that all supporting parties are rated 'AAA' in order to demonstrate the likely ratingswere counterparties not a constraining factor. The results of this analysis are intended to provide transparency on the components of our ratings and are not credit ratings in themselves. Note, that the ratings list provided in table 3 is current as of the date of this report, and as we take further rating actions it may be subject to change.

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT

AUGUST 15, 2013 9

1178946 | 301112013

Dutch RMBS Index Report Q2 2013: New Issuance And Redemptions Mask Weakening Collateral Performance

Chart 7

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT

AUGUST 15, 2013 10

1178946 | 301112013

Dutch RMBS Index Report Q2 2013: New Issuance And Redemptions Mask Weakening Collateral Performance

Chart 8

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT

AUGUST 15, 2013 11

1178946 | 301112013

Dutch RMBS Index Report Q2 2013: New Issuance And Redemptions Mask Weakening Collateral Performance

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 A A-NHG B C D E A1 A2 B A1 A2 B A1 A2 Current rating AAA (sf) AAA (sf) AA+ (sf) AA- (sf) BBB- (sf) BB+ (sf) AAA (sf) AAA (sf) AA- (sf) AAA (sf) AAA (sf) A- (sf) AAA (sf) AAA (sf) Estimated scenario rating if all counterparties were rated 'AAA' AAA (sf) AAA (sf) AA+ (sf) AA- (sf) BBB- (sf) BB+ (sf) AAA (sf) AAA (sf) AA- (sf) AAA (sf) AAA (sf) A- (sf) AAA (sf) AAA (sf)

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT

AUGUST 15, 2013 12

1178946 | 301112013

Dutch RMBS Index Report Q2 2013: New Issuance And Redemptions Mask Weakening Collateral Performance

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. 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. 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 2008-1 2009-II 2010-1 2010-1 2010-1 2010-1 2010-2 2010-2 2011-1 2012-2 2012-2 2012-2 2012-2 2012-2 2012-2 2012-2 2012-2 2012-2 B C A1 A2 B C A3 A A Senior A A1 A2 B C A1 A2 B C A B C A1 A2 B A A A1 A2 A3 A4 A1 A2 A A1 A2 A3 A4 A5 A6 A7 B C A- (sf) BBB (sf) AAA (sf) AAA (sf) A (sf) BBB+ (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A (sf) BBB+ (sf) AAA (sf) AAA (sf) AAA (sf) BBB+ (sf) AAA (sf) AA- (sf) BBB+ (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AA (sf) A (sf) A- (sf) BBB (sf) AAA (sf) AAA (sf) A (sf) BBB+ (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A (sf) BBB+ (sf) AAA (sf) AAA (sf) AAA (sf) BBB+ (sf) AAA (sf) AA- (sf) BBB+ (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AA (sf) A (sf)

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT

AUGUST 15, 2013 13

1178946 | 301112013

Dutch RMBS Index Report Q2 2013: New Issuance And Redemptions Mask Weakening Collateral Performance

Table 3

Estimated Ratings Under A Scenario Where All Counterparties Are Rated 'AAA' (Right-Hand Column) (cont.)
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. Dutch Mortgage Portfolio Loans III B.V. Dutch Mortgage Portfolio Loans III B.V. Dutch Mortgage Portfolio Loans III B.V. Dutch Mortgage Portfolio Loans III 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 XV XV XV XV XV XV III III III III 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 A1 A2 B C D E A B C D A B C D A B C D E A B C D E A B C D E A B C D E A2 B C AAA (sf) AAA (sf) AA+ (sf) A+ (sf) BBB (sf) BB+ (sf) AAA (sf) AAA (sf) AA (sf) BB+ (sf) A+ (sf) A+ (sf) A (sf) BBB (sf) A+ (sf) A+ (sf) A (sf) BBB (sf) CCC (sf) A+ (sf) A+ (sf) A (sf) BBB- (sf) CCC (sf) A (sf) A (sf) A (sf) BBB (sf) CCC (sf) A (sf) A (sf) A (sf) BB (sf) CCC (sf) AA- (sf) AA- (sf) BBB (sf) AAA (sf) AAA (sf) AA+ (sf) A+ (sf) BBB (sf) BB+ (sf) AAA (sf) AAA (sf) AA (sf) BB+ (sf) AAA (sf) AA+ (sf) AA+ (sf) BBB (sf) AAA (sf) AA+ (sf) AA+ (sf) BBB (sf) CCC (sf) AAA (sf) AA+ (sf) AA+ (sf) BBB- (sf) CCC (sf) AAA (sf) AA+ (sf) AA+ (sf) BBB (sf) CCC (sf) AAA (sf) AA (sf) A (sf) BB (sf) CCC (sf) AAA (sf) AA- (sf) BBB (sf)

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT

AUGUST 15, 2013 14

1178946 | 301112013

Dutch RMBS Index Report Q2 2013: New Issuance And Redemptions Mask Weakening Collateral Performance

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 E A2 B C D E A1 A2 B C D E A B C D A B C D A1 A2 B C BB- (sf) CCC (sf) A (sf) A (sf) BBB (sf) BB- (sf) CCC (sf) AA- (sf) AA- (sf) AA- (sf) A (sf) BB- (sf) CCC (sf) AA- (sf) AA- (sf) A (sf) BB (sf) A (sf) A (sf) A (sf) BB (sf) A (sf) A (sf) A (sf) A- (sf) BB- (sf) CCC (sf) AAA (sf) AA- (sf) BBB (sf) BB- (sf) CCC (sf) AAA (sf) AAA (sf) AA (sf) A (sf) BB- (sf) CCC (sf) AAA (sf) AA (sf) A (sf) BB (sf) AAA (sf) AAA (sf) A+ (sf) BB (sf) AAA (sf) AAA (sf) AAA (sf) A- (sf)

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT

AUGUST 15, 2013 15

1178946 | 301112013

Dutch RMBS Index Report Q2 2013: New Issuance And Redemptions Mask Weakening Collateral Performance

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 A2 B C D A2 A3 A1 A2 B C D A2 A3 B C D A A B C D E1 A B C D1 M A10 A11 A12 A2 A3 A4 A5 A6 A7 A8 A9 BBB- (sf) A (sf) A (sf) A (sf) BB- (sf) A- (sf) BBB+ (sf) BBB+ (sf) BBB- (sf) BB- (sf) B- (sf) CCC (sf) BB (sf) BB (sf) B (sf) B- (sf) CCC (sf) AAA (sf) A- (sf) A- (sf) A- (sf) BB (sf) CCC (sf) A- (sf) BB (sf) BB- (sf) B- (sf) A- (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) BBB- (sf) AAA (sf) AAA (sf) AA- (sf) BB- (sf) A- (sf) BBB+ (sf) BBB+ (sf) BBB- (sf) BB- (sf) B- (sf) CCC (sf) BB (sf) BB (sf) B (sf) B- (sf) CCC (sf) AAA (sf) AAA (sf) AAA (sf) A- (sf) BB (sf) CCC (sf) AA+ (sf) BB (sf) BB- (sf) B- (sf) A- (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT

AUGUST 15, 2013 16

1178946 | 301112013

Dutch RMBS Index Report Q2 2013: New Issuance And Redemptions Mask Weakening Collateral Performance

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. 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) VIII B.V. Holland Mortgage Backed Series (Hermes) VIII B.V. Holland Mortgage Backed Series (Hermes) VIII 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. Monastery 2004-I B.V. 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. 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 IX IX IX IX VIII VIII VIII XI XI XI XI 2004-I 2004-I 2004-I 2004-I 2006-I 2006-I 2006-I B A1 A2 B B A B A A A1 A2 A3 A1 A3 B A1 A2 A AA- (sf) AAA (sf) AAA (sf) AA- (sf) AA- (sf) AAA (sf) AA- (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AA- (sf) AAA (sf) AAA (sf) A+ (sf) AA- (sf) AAA (sf) AAA (sf) AA- (sf) AA- (sf) AAA (sf) AA- (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AA- (sf) AAA (sf) AAA (sf) AAA (sf) AA+ (sf) A (sf) BBB (sf) AAA (sf) AA- (sf) BBB (sf) AA+ (sf) AA- (sf) A (sf) BBB (sf) AA- (sf) A (sf) BBB (sf) BB (sf) A- (sf) BB- (sf) B- (sf)

B A+ (sf)/Watch Neg C D A A (sf)/Watch Neg BBB (sf)/Watch Neg AAA (sf)

B A+ (sf)/Watch Neg C A B C D A2 B C D A2 B C BBB (sf)/Watch Neg A+ (sf) A (sf)/Watch Neg A (sf)/Watch Neg BBB (sf)/Watch Neg AA- (sf) A (sf) BBB (sf) BB (sf) A- (sf) BB- (sf) B- (sf)

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT

AUGUST 15, 2013 17

1178946 | 301112013

Dutch RMBS Index Report Q2 2013: New Issuance And Redemptions Mask Weakening Collateral Performance

Table 3

Estimated Ratings Under A Scenario Where All Counterparties Are Rated 'AAA' (Right-Hand Column) (cont.)
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. 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. 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. 10 10 10 12 12 13 13 7 7 7 7 8 8 8 8 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 D A1 A10 A11 A12 A13 A14 A2 A3 A4 A5 A6 A7 A8 A9 B C A A B A A+ B C Snr Swap A1 A2 B A1 A2 A1 A2 A B C D A1 A2 B C CCC (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AA (sf) A- (sf) AAA (sf)/Watch Neg AAA (sf) AA (sf) AAA (sf) AAA (sf) AAA (sf) BBB (sf) AAA (sf) AAA (sf) AAA (sf) AA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AA+ (sf) AA (sf) A (sf) AAA (sf) AAA (sf) AA (sf) A (sf) CCC (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AA (sf) A- (sf) AAA (sf) AAA (sf) AA (sf) AAA (sf) AAA (sf) AAA (sf) BBB (sf) AAA (sf) AAA (sf) AAA (sf) AA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AA+ (sf) AA (sf) A (sf) AAA (sf) AAA (sf) AA (sf) A (sf)

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT

AUGUST 15, 2013 18

1178946 | 301112013

Dutch RMBS Index Report Q2 2013: New Issuance And Redemptions Mask Weakening Collateral Performance

Table 3

Estimated Ratings Under A Scenario Where All Counterparties Are Rated 'AAA' (Right-Hand Column) (cont.)
Saecure 9 B.V. Saecure 9 B.V. Saecure 9 B.V. Saecure 9 B.V. Saecure 9 B.V. STORM 2007-I B.V. STORM 2007-I B.V. STORM 2007-I B.V. STORM 2007-I B.V. STORM 2007-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-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. STORM 2011-III B.V. STORM 2011-III B.V. STORM 2011-III B.V. STORM 2011-III B.V. STORM 2012-I B.V. 9 9 9 9 9 2007-I 2007-I 2007-I 2007-I 2007-I 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 2011-III 2011-III 2011-III 2011-III 2012-I A1 A2 B C D A2 A3 B C D A1 A2 B C D A B C D A1 A2 B C D A B C D A B C D A B C D A1 A2 B C D A1 AAA (sf) AAA (sf) AA+ (sf) AA (sf) A (sf) AAA (sf) AAA (sf) AA (sf) A (sf) BBB+ (sf) AAA (sf) AAA (sf) AA (sf) AA- (sf) BBB (sf) AAA (sf) AA (sf) A (sf) BBB (sf) AAA (sf) AAA (sf) AA+ (sf) A (sf) BBB- (sf) AAA (sf) AA (sf) A+ (sf) BBB (sf) AAA (sf) AA (sf) A (sf) BBB (sf) AAA (sf) AA (sf) A (sf) BBB (sf) AAA (sf) AAA (sf) AA (sf) A (sf) BBB- (sf) AAA (sf) AAA (sf) AAA (sf) AA+ (sf) AA (sf) A (sf) AAA (sf) AAA (sf) AA (sf) A (sf) BBB+ (sf) AAA (sf) AAA (sf) AA (sf) AA- (sf) BBB (sf) AAA (sf) AA (sf) A (sf) BBB (sf) AAA (sf) AAA (sf) AA+ (sf) A (sf) BBB- (sf) AAA (sf) AA (sf) A+ (sf) BBB (sf) AAA (sf) AA (sf) A (sf) BBB (sf) AAA (sf) AA (sf) A (sf) BBB (sf) AAA (sf) AAA (sf) AA (sf) A (sf) BBB- (sf) AAA (sf)

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT

AUGUST 15, 2013 19

1178946 | 301112013

Dutch RMBS Index Report Q2 2013: New Issuance And Redemptions Mask Weakening Collateral Performance

Table 3

Estimated Ratings Under A Scenario Where All Counterparties Are Rated 'AAA' (Right-Hand Column) (cont.)
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. 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. Strong 2011- I B.V. Phedina Hypotheken 2013-1 Phedina Hypotheken 2013-1 Phedina Hypotheken 2013-1 Phedina Hypotheken 2013-1 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 2013-II 2013-III 2013-III 2013-III 2013-III 2011-I 2013-1 2013-1 2013-1 2013-1 A2 B C D A1 A2 B C D A1 A2 B C D A1 A2 B C D A B C D A1 A2 B C D A1 A2 B C D A B C D A A1 A2 B C AAA (sf) AA+ (sf) AA- (sf) BBB (sf) AAA (sf) AAA (sf) AA+ (sf) AA- (sf) BBB (sf) AAA (sf) AAA (sf) AA+ (sf) A+ (sf) BBB (sf) AAA (sf) AAA (sf) AA+ (sf) A+ (sf) BBB (sf) AAA (sf) AA+ (sf) A+ (sf) BBB (sf) AAA (sf) AAA (sf) AA (sf) A (sf) BBB- (sf) AAA (sf) AAA (sf) AA+ (sf) AA (sf) A- (sf) AAA (sf) AA+ (sf) AA- (sf) BBB (sf) AAA (sf) AAA (sf) AAA (sf) A+ (sf) A (sf) AAA (sf) AA+ (sf) AA- (sf) BBB (sf) AAA (sf) AAA (sf) AA+ (sf) AA- (sf) BBB (sf) AAA (sf) AAA (sf) AA+ (sf) A+ (sf) BBB (sf) AAA (sf) AAA (sf) AA+ (sf) A+ (sf) BBB (sf) AAA (sf) AA+ (sf) A+ (sf) BBB (sf) AAA (sf) AAA (sf) AA (sf) A (sf) BBB- (sf) AAA (sf) AAA (sf) AA+ (sf) AA (sf) A- (sf) AAA (sf) AA+ (sf) AA- (sf) BBB (sf) AAA (sf) AAA (sf) AAA (sf) A+ (sf) A (sf)

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT

AUGUST 15, 2013 20

1178946 | 301112013

Dutch RMBS Index Report Q2 2013: New Issuance And Redemptions Mask Weakening Collateral Performance

Table 3

Estimated Ratings Under A Scenario Where All Counterparties Are Rated 'AAA' (Right-Hand Column) (cont.)
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. Dome 2006-I B.V. Dome 2006-I B.V. Dome 2006-I B.V. Dome 2006-I B.V. 2013-II 2013-II 2013-II 2013-II 2013-II 2013-II 2013-II 2013-II 2006-1 2006-1 2006-1 2006-1 A1 A2 A3 A4 A5 A6 A7 B A B C D AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AA- (sf) A+ (sf) BBB+ (sf) BB- (sf) B- (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AA- (sf) A+ (sf) BBB+ (sf) BB- (sf) B- (sf)

Related Criteria And Research

Ratings Lowered On Hermes VIII's Class B Dutch RMBS Notes, Following Review; Class A And C Notes Affirmed, Aug. 9, 2013 All Ratings Affirmed In Dutch RMBS Transactions E-MAC NL 2004-I, 2004-II, And 2005-III Following Review, July 31, 2013 All Ratings Affirmed In Dutch RMBS Transaction Fishbowl Master Issuer's Series 2011-1, July 30, 2013 Credit Conditions: Europe Lacks A Vision For Growth As Traction From Other Regions Diminishes, July 29, 2013 The Netherlands Faces A Protracted Period Of Weak Growth As Domestic Demand Contracts, June 28, 2013 New Issue: Phedina Hypotheken 2013-1, June 28, 2013 The Eurozone Economy Shows Signs Of Stabilization, But Recovery Is Still Some Way Off, June 26, 2013 Class D Notes In Dutch RMBS Transaction E-MAC Program B.V. Compartment NL 2007-III Downgraded; Rest Affirmed, June 13, 2013 New Issue: STORM 2013-II B.V., April 25, 2013 New Issue: Goldfish Master Issuer B.V. (Series 2013-2), May 29, 2013 Ratings Affirmed On Provide Lowlands 1's Class A+, A, B, And C Dutch RMBS Notes, May 16, 2013 Ratings In Four Dutch Prime RMBS Transactions Placed On CreditWatch Negative, May 15, 2013 Ratings Affirmed On All Classes Of Notes In Dutch RMBS Transaction Dutch MBS XV Following Review, May 15, 2013 All Ratings Affirmed In Dutch RMBS Transaction SAECURE 10 Following Review, April 29, 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
Additional Contact: Structured Finance Europe; StructuredFinanceEurope@standardandpoors.com

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT

AUGUST 15, 2013 21

1178946 | 301112013

Copyright 2013 by Standard & Poor's Financial Services LLC. All rights reserved. No content (including ratings, credit-related analyses and data, valuations, model, software or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor's Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees or agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness or availability of the Content. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an "as is" basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT'S FUNCTIONING WILL BE UNINTERRUPTED, OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advised of the possibility of such damages. Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. S&P's opinions, analyses, and rating acknowledgment decisions (described below) are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment and experience of the user, its management, employees, advisors and/or clients when making investment and other business decisions. S&P does not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain regulatory purposes, S&P reserves the right to assign, withdraw, or suspend such acknowledgement at any time and in its sole discretion. S&P Parties disclaim any duty whatsoever arising out of the assignment, withdrawal, or suspension of an acknowledgment as well as any liability for any damage alleged to have been suffered on account thereof. S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the confidentiality of certain nonpublic information received in connection with each analytical process. S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites, www.standardandpoors.com (free of charge), and www.ratingsdirect.com and www.globalcreditportal.com (subscription) and www.spcapitaliq.com (subscription) and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available at www.standardandpoors.com/usratingsfees.

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT

AUGUST 15, 2013 22

1178946 | 301112013