STRUCTURED FINANCE RESEARCH

Dutch RMBS Index Report Q1 2013: Collateral Performance Remains Relatively Robust
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

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Dutch RMBS Index Report Q1 2013: Collateral Performance Remains Relatively Robust
Table 1

Performance Indicators (%)

Q1 2013 Indices Total delinquencies* 90+ day delinquencies Prepayment rate Economic data House price growth Real GDP growth Unemployment rate** (7.00) (0.10) 6.40 (6.70) (0.40) 5.80 (8.30) (1.00) 5.40 (4.80) 0.20 5.10 (5.10) 0.10 5.00 1.99 0.75 4.30 1.76 0.73 4.05 1.78 0.68 4.46 2.26 0.67 3.17 1.68 0.60 3.53 Q4 2012 Q3 2012 Q2 2012 Q1 2012

*Note that we have corrected our reported delinquency figures for this report, because previous reports underestimated 90+ day delinquency data for the Dolphin master trust. Source: Kadaster; year-on-year. Source: Statistics Netherlands; seasonally adjusted quarter-on-quarter. **Source: Eurostat; seasonally adjusted. Note that for Q1 2013, we reverted to using the international definition of unemployment as opposed to the Dutch definition, which we used in our Q4 2012 and Q3 2012 Dutch RMBS index reports. The Dutch definition of unemployment uses a minimum of 12 hours a week to define the labor force, resulting in a smaller employed labor force, and higher unemployment rates, compared with the international definition.

Table 2

Scenarios For Dutch RMBS Collateral: 2013 And 2014

Baseline effect on collateral credit quality

Actual 2012 Real GDP (year-on-year growth; %) Annual average unemployment rate (%) House prices (year-on-year growth; %) Net mortgage lending (year-on-year growth in balances; %) ECB policy rate (%) (0.9)

Baseline 2013 (0.5) 2014 0.8

Downside 2013 (1.4) 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)

6.3 (5.5)

6.5 (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

1.1

0.5

0.4

N/A

N/A

0.9

0.5

0.5

0.3

0.3

Neutral

Sources: Statistics Netherlands, Eurostat, Standard & Poor's. N/A--Not available. Baseline--Expected scenario. Downside--Alternative scenario; severe recession.

In the first quarter of 2013, the Dutch residential mortgage-backed securities (RMBS) transactions that Standard & Poor's Ratings Services includes in its index continued to demonstrate relatively stable performance, despite a further weakening of the Dutch economy and relatively high unemployment. The Dutch economy worsened in Q1 2013, and we expect it to contract by 0.5% in 2013 (see "Recession Keeps House

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Prices In The Dumps In Most European Markets," published on May 7, 2013). Unemployment reached a 17-year high, rising to 6.4%. We expect the average unemployment rate to reach 6.5% in 2014, from 2012's level of 5.3%. Overview Dutch RMBS transactions continued to demonstrate relatively stable performance, despite a further weakening of the Dutch economy and relatively high unemployment. In our view, the downturn in the housing market is likely to continue, with economic uncertainty and lack of buyer confidence depressing sales. We assigned ratings to three new issuances in Q1 2013, totaling 4.6 billion.

We expect the Dutch house price decline to continue in 2013, with prices decreasing by 7.6% year-on-year in April 2013 (see "Dutch RMBS Credit Conditions Sour, As House Prices Reach 10-Year Low," published on May 28, 2013). House prices have decreased by 3.0% since the end of 2012; our estimated nominal house decline for 2013 is 5.5%, with an expected further decline of 1.0% for 2014. Demand has been subdued recently; austerity measures are cutting consumers' purchasing power and households have remained cautious due to the economic uncertainty. Recent mortgage market reforms may depress house prices further, in our view. Although current interest rates are historically low, which should help borrower affordability, overall, we expect the downturn in the housing market to continue and we don't expect it to improve in the near term. The economic uncertainty and lack of buyer confidence will depress sales. In the long term, however, we anticipate that the economy will improve, and that housing will become more affordable, leading to more stable house prices. Additionally, a housing stock shortage may also support a gradual recovery. Total delinquencies increased to 1.99% from 1.76%, 15 basis points of this increase being in the 30-60 day bucket. Severe arrears increased by 0.02% quarter-on-quarter; however, this represents a 0.15% increase since Q1 2012. Prepayments increased slightly to 4.30% from 4.05%. We rated three new issuances totaling 4.6 billion in Q1 2013: Goldfish Master Issuer B.V. 2013-1, SAECURE 13 B.V., and STORM 2013-I B.V. We lowered our ratings on four tranches in three E-MAC Compartment transactions and lowered our rating on one tranche in Citadel 2010-II B.V. (see "Related Criteria And Research"). 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 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. 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.

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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. 2011-II 2011-II Series Class A-NHG A B C D E B A1 A2 A1 A2 B A1 C Current rating AAA (sf) AAA (sf) AA+ (sf) AA- (sf) BBB- (sf) BB+ (sf) AA- (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A- (sf) AAA (sf) BBB (sf) Estimated scenario rating if all counterparties were rated 'AAA' AAA (sf) AAA (sf) AA+ (sf) AA- (sf) BBB- (sf) BB+ (sf) AA- (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A- (sf) AAA (sf) BBB (sf)

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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. 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-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 2011-II 2011-II 2012-I 2012-I 2012-I 2012-I 2006-1 2007-II A2 B A1 A2 B C A3 A A Senior A A1 A2 B C B C A2 A1 B C A B A2 A1 A A A2 A1 A4 A3 A2 A1 A A1 A2 A3 A4 A5 A6 A7 B C AAA (sf) A- (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) BBB+ (sf) AAA (sf) AAA (sf) AAA (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) AAA (sf) AA (sf) A (sf) AAA (sf) A- (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) BBB+ (sf) AAA (sf) AAA (sf) AAA (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) AAA (sf) AA (sf) A (sf)

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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 II B.V. Dutch Mortgage Portfolio Loans II B.V. Dutch Mortgage Portfolio Loans II B.V. Dutch Mortgage Portfolio Loans II 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. Dutch Mortgage Portfolio Loans VI 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 A2 D B C E A1 A B C D A B C D Senior A A B C D A B C D E A B C D E A B C D E A B AAA (sf) BBB (sf) AA+ (sf) A+ (sf) BB+ (sf) AAA (sf) AAA (sf) AAA (sf) AA (sf) BB+ (sf) AAA (sf) AAA (sf) AA (sf) BB+ (sf) AAA (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) AAA (sf) BBB (sf) AA+ (sf) A+ (sf) BB+ (sf) AAA (sf) AAA (sf) AAA (sf) AA (sf) BB+ (sf) AAA (sf) AAA (sf) AA (sf) BB+ (sf) AAA (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)

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Table 3

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

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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-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 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. 2011-1 2011-1 2011-1 2011-1 A1 A2 B C 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 A2 A9 A6 A12 A (sf) A (sf) A (sf) A- (sf) BBB- (sf) A (sf) A (sf) A (sf) BBB (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) AA (sf) AA- (sf) A- (sf) BBB- (sf) AAA (sf) AA (sf) AA (sf) BBB (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)

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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. 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. 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) 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. 2011-1 2011-1 2011-1 2011-1 2011-1 2011-1 2011-1 2011-1 2007-1 2007-1 2007-1 2008-I 2008-II 2008-II 2009-III 2009-IV 2009-V 2009-V 2009-V 2010-I 2010-I 2010-2 2010-2 2010-2 2011-1 A10 A7 A8 A5 B A3 A4 A11 B A2 A1 B A B A A A2 A1 A3 A3 B A1 A3 A2 A1 A B C D A B C A B C AAA (sf) AAA (sf) AAA (sf) AAA (sf) AA- (sf) AAA (sf) AAA (sf) AAA (sf) AA- (sf) AAA (sf) AAA (sf) AA- (sf) AAA (sf) AA- (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AA- (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AA- (sf) AA- (sf) A (sf) BBB (sf) AAA (sf) AA (sf) BBB (sf) AA- (sf) AA- (sf) A (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AA- (sf) AAA (sf) AAA (sf) AAA (sf) AA- (sf) AAA (sf) AAA (sf) AA- (sf) AAA (sf) AA- (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AA- (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) AA+ (sf) A (sf) BBB (sf) AAA (sf) AA (sf) BBB (sf) AAA (sf) AA- (sf) A (sf)

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Table 3

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

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Table 3

Estimated Ratings Under A Scenario Where All Counterparties Are Rated 'AAA' (Right-Hand Column) (cont.)
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 2006-I B.V. STORM 2006-I B.V. STORM 2006-I B.V. STORM 2006-I B.V. STORM 2006-II B.V. STORM 2006-II B.V. STORM 2006-II B.V. STORM 2006-II 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 Storm 2010-III Storm 2010-III Storm 2010-III Storm 2010-III Storm 2010-IV B.V. Storm 2010-IV B.V. Storm 2010-IV B.V. A D C C A2 A1 B B D A1 C A2 A2 B C D A2 B C D A2 A3 B C D A2 C A1 B D B D A C B A1 D A2 C B A D AAA (sf) A (sf) AA (sf) A (sf) AAA (sf) AAA (sf) AA (sf) AA+ (sf) A (sf) AAA (sf) AA (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) AA- (sf) AAA (sf) AA (sf) BBB (sf) AA (sf) BBB (sf) AAA (sf) A (sf) AA+ (sf) AAA (sf) BBB- (sf) AAA (sf) A (sf) AA (sf) AAA (sf) BBB (sf) AAA (sf) A (sf) AA (sf) A (sf) AAA (sf) AAA (sf) AA (sf) AA+ (sf) A (sf) AAA (sf) AA (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) AA- (sf) AAA (sf) AA (sf) BBB (sf) AA (sf) BBB (sf) AAA (sf) A (sf) AA+ (sf) AAA (sf) BBB- (sf) AAA (sf) A (sf) AA (sf) AAA (sf) BBB (sf)

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Dutch RMBS Index Report Q1 2013: Collateral Performance Remains Relatively Robust

Table 3

Estimated Ratings Under A Scenario Where All Counterparties Are Rated 'AAA' (Right-Hand Column) (cont.)
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. 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. 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 C B A D C D B C A B D C A2 A1 A1 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 A+ (sf) AA (sf) AAA (sf) BBB (sf) A (sf) BBB (sf) AA (sf) A (sf) AAA (sf) AA (sf) BBB- (sf) A (sf) AAA (sf) AAA (sf) AAA (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) A+ (sf) AA (sf) AAA (sf) BBB (sf) A (sf) BBB (sf) AA (sf) A (sf) AAA (sf) AA (sf) BBB- (sf) A (sf) AAA (sf) AAA (sf) AAA (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)

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Dutch RMBS Index Report Q1 2013: Collateral Performance Remains Relatively Robust

Table 3

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

Related Criteria And Research

Dutch RMBS Credit Conditions Sour, As House Prices Reach 10-Year Low, May 28, 2013 Recession Keeps House Prices In The Dumps In Most European Markets, May 7, 2013 New Issue: SAECURE 13 NHG B.V., March 27, 2013 Entrenched In Recession, Europe Seeks A Balance Between Deleveraging And Growth, March 26, 2013 Citadel 2010-II's Class B Notes Downgraded Following Amendment To Documentation; Class A And C Notes Affirmed, March 25, 2013 New Issue: Goldfish Master Issuer B.V. (Series 2013-1), Feb. 28, 2013 Various Rating Actions Taken In Dutch RMBS Transactions E-MAC 2007-I, 2008-I, 2008-II, And 2008-IV Following Review, Feb. 12, 2013 New Issue: STORM 2013-I B.V., Jan. 31, 2013 European Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, March 14, 2012 Update To The Cash Flow Criteria For European RMBS Transactions, Jan. 6, 2009 Assessing The NHG Guarantee In Dutch RMBS TransactionsA Prudent Approach, June 11, 2008 Changes To The Treatment Of Potential Set-Off Risk In The Dutch RMBS Market, Sept. 8, 2006 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

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