Dutch RMBS Index Report Q4 2013:Severe Delinquencies Edge Higher AsThe 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

STRUCTURED

FINANCE

RESEARCH

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT FEBRUARY 13, 2014 1

1258508 | 300051529

Dutch RMBS Index Report Q4 2013: SevereDelinquencies Edge Higher As The EconomyStabilizesTable 1

Performance Indicators (%)

Q4 2013 Q3 2013 Q2 2013 Q1 2013 Q4 2012

Indices

Total delinquencies 1.60 1.89 1.78 1.89 1.76

90+ day delinquencies 0.78 0.74 0.71 0.72 0.73

Prepayment rate 4.19 3.71 4.28 4.35 4.05

Economic data

House price growth* -3.70 -4.10 -9.60 -7.00 -6.70

Real GDP growth§ - 0.20 0.00 -0.40 -0.40

Unemployment rate† 7.00 7.00 6.80 6.40 5.80

*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

Actual Baseline Downside Comment

Baseline effect on

collateral credit

quality

2012 2013 2014 2015 2014 2015

Real GDP (year-on-year

growth; %)

(1.2) (1.2) 0.2 1.1 (0.5) 0.1 The economy has remained weak in

2013, with only very modest growth

likely in 2014

Neutral

Unemployment rate

(annual average; %)

5.3 7.0 8.0 7.5 9.1 8.8 Unemployment is close to a 17-year high

and may rise further

Somewhat

unfavorable

House prices (year-on-year

growth; %)

(7.3) (4.5) 0.0 2.0 N/A N/A Weak economic prospects, high

households' debt level and credit

constraints will keep the recovery muted

Somewhat

unfavorable

Net mortgage lending

(year-on-year growth in

balances, %)

0.3 (1.5) (1.2) 0.5 N/A N/A Household deleveraging has modestly

begun

Neutral

ECB policy rate (%) 0.75 0.25 0.25 0.50 N/A N/A We consider that the ECB will keep its

policy rate low, given the ongoing

weakness in the Eurozone economy

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

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT FEBRUARY 13, 2014 2

1258508 | 300051529

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").

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT FEBRUARY 13, 2014 3

1258508 | 300051529

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

Chart 1

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT FEBRUARY 13, 2014 4

1258508 | 300051529

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

Chart 2

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT FEBRUARY 13, 2014 5

1258508 | 300051529

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

Chart 3

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT FEBRUARY 13, 2014 6

1258508 | 300051529

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

Chart 4

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT FEBRUARY 13, 2014 7

1258508 | 300051529

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

Chart 5

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT FEBRUARY 13, 2014 8

1258508 | 300051529

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

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.

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT FEBRUARY 13, 2014 9

1258508 | 300051529

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

Chart 7

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT FEBRUARY 13, 2014 10

1258508 | 300051529

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

Chart 8

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT FEBRUARY 13, 2014 11

1258508 | 300051529

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

Chart 9

Table 3

Estimated Ratings Under A Scenario Where All Counterparties Are Rated 'AAA' (Right-Hand Column)

Transaction Series Class Current rating

Estimated scenario rating if all

counterparties were rated 'AAA'

Arena 2007-1 B.V. 2007-1 A AAA (sf) AAA

Arena 2007-1 B.V. 2007-1 A-NHG AAA (sf) AAA

Arena 2007-1 B.V. 2007-1 B AA- (sf) AA-

Arena 2007-1 B.V. 2007-1 C A- (sf) A-

Arena 2007-1 B.V. 2007-1 D BB- (sf) BB-

Arena 2007-1 B.V. 2007-1 E B (sf) B

Arena 2009-I B.V. 2009-1 A1 AAA (sf) AAA

Arena 2009-I B.V. 2009-1 A2 AAA (sf) AAA

Arena 2009-I B.V. 2009-1 B AA- (sf) AA-

Arena 2011-1 B.V. 2011-1 A1 AAA (sf) AAA

Arena 2011-1 B.V. 2011-1 A2 AAA (sf) AAA

Arena 2011-1 B.V. 2011-1 B A- (sf) A-

Arena 2011-II B.V. 2011-II A1 AAA (sf) AAA

Arena 2011-II B.V. 2011-II A2 AAA (sf) AAA

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT FEBRUARY 13, 2014 12

1258508 | 300051529

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.)

Arena 2011-II B.V. 2011-II B BBB+ (sf) BBB+

Arena 2011-II B.V. 2011-II C BBB- (sf) BBB-

Arena 2012-I B.V. 2012-I A1 AAA (sf) AAA

Arena 2012-I B.V. 2012-I A2 AAA (sf) AAA

Arena 2012-I B.V. 2012-I B A (sf) A

Arena 2012-I B.V. 2012-I C BBB+ (sf) BBB+

Beluga Master Issuer B.V. 2006-1 A3 AAA (sf) AAA

Beluga Master Issuer B.V. 2007-II A AAA (sf) AAA

Candide Financing 2008 B.V. 2008 A AAA (sf) AAA

Candide Financing 2008-2 B.V. 2008-2 Senior A AAA (sf) AAA

Candide Financing 2012-1 B.V. 2012-1 A1 AAA (sf) AAA

Candide Financing 2012-1 B.V. 2012-1 A2 AAA (sf) AAA

Candide Financing 2012-1 B.V. 2012-1 B A (sf) A

Candide Financing 2012-1 B.V. 2012-1 C BBB+ (sf) BBB+

Citadel 2010-I B.V. 2010-I A1 AAA (sf) AAA

Citadel 2010-I B.V. 2010-I A2 AAA (sf) AAA

Citadel 2010-I B.V. 2010-I B AAA (sf) AAA

Citadel 2010-I B.V. 2010-I C BBB+ (sf) BBB+

Citadel 2010-II B.V. 2010-II A AAA (sf) AAA

Citadel 2010-II B.V. 2010-II B AA- (sf) AA-

Citadel 2010-II B.V. 2010-II C BBB+ (sf) BBB+

Citadel 2011-I B.V. 2011-I A1 AAA (sf) AAA

Citadel 2011-I B.V. 2011-I A2 AAA (sf) AAA

Citadel 2011-I B.V. 2011-I B AAA (sf) AAA

Courtine RMBS 2013-I B.V 2013-I A1 AAA (sf) AAA

Courtine RMBS 2013-I B.V 2013-I A2 AAA (sf) AAA

Dolphin Master Issuer B.V. 2012-2 A1 AAA (sf) AAA

Dolphin Master Issuer B.V. 2012-2 A3 AAA (sf) AAA

Dolphin Master Issuer B.V. 2012-2 A4 AAA (sf) AAA

Dolphin Master Issuer B.V. 2012-2 A5 AAA (sf) AAA

Dolphin Master Issuer B.V. 2012-2 A6 AAA (sf) AAA

Dolphin Master Issuer B.V. 2012-2 A7 AAA (sf) AAA

Dolphin Master Issuer B.V. 2012-2 B AA (sf) AA

Dolphin Master Issuer B.V. 2012-2 C A (sf) A

Dolphin Master Issuer B.V. 2009-2 A AAA (sf) AAA

Dolphin Master Issuer B.V. 2013-1 A1 AAA (sf) AAA

Dolphin Master Issuer B.V. 2013-1 A2 AAA (sf) AAA

Dolphin Master Issuer B.V. 2010-2 A1 AAA (sf) AAA

Dolphin Master Issuer B.V. 2010-2 A2 AAA (sf) AAA

Dolphin Master Issuer B.V. 2011-1 A AAA (sf) AAA

Dolphin Master Issuer B.V. 2013-2 A AAA (sf) AAA

Dolphin Master Issuer B.V. 2010-1 A1 AAA (sf) AAA

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT FEBRUARY 13, 2014 13

1258508 | 300051529

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.)

Dolphin Master Issuer B.V. 2010-1 A2 AAA (sf) AAA

Dolphin Master Issuer B.V. 2010-1 A3 AAA (sf) AAA

Dolphin Master Issuer B.V. 2010-1 A4 AAA (sf) AAA

Dome 2006-I B.V. 2006-1 A Suspended Suspended

Dome 2006-I B.V. 2006-1 B Suspended Suspended

Dome 2006-I B.V. 2006-1 C Suspended Suspended

Dome 2006-I B.V. 2006-1 D Suspended Suspended

Dutch MBS XV B.V. XV A1 AAA (sf) AAA

Dutch MBS XV B.V. XV A2 AAA (sf) AAA

Dutch MBS XV B.V. XV B AA+ (sf) AA+

Dutch MBS XV B.V. XV C A+ (sf) A+

Dutch MBS XV B.V. XV D BBB (sf) BBB

Dutch MBS XV B.V. XV E BB+ (sf) BB+

E-MAC NL 2004-1 B.V. 2004-1 A A+ (sf) AAA

E-MAC NL 2004-1 B.V. 2004-1 B A+ (sf) AA+

E-MAC NL 2004-1 B.V. 2004-1 C A (sf) AA+

E-MAC NL 2004-1 B.V. 2004-1 D BBB (sf) BBB

E-MAC NL 2004-II B.V. 2004-II A A+ (sf) AAA

E-MAC NL 2004-II B.V. 2004-II B A+ (sf) AA+

E-MAC NL 2004-II B.V. 2004-II C A (sf) AA+

E-MAC NL 2004-II B.V. 2004-II D BBB (sf) BBB

E-MAC NL 2004-II B.V. 2004-II E CCC (sf) CCC

E-MAC NL 2005-1 B.V. 2005-1 A A+ (sf) AAA

E-MAC NL 2005-1 B.V. 2005-1 B A+ (sf) AA+

E-MAC NL 2005-1 B.V. 2005-1 C A (sf) AA+

E-MAC NL 2005-1 B.V. 2005-1 D BBB- (sf) BBB-

E-MAC NL 2005-1 B.V. 2005-1 E CCC (sf) CCC

E-MAC NL 2005-III B.V. 2005-III A A (sf) AAA

E-MAC NL 2005-III B.V. 2005-III B A (sf) AA+

E-MAC NL 2005-III B.V. 2005-III C A (sf) AA+

E-MAC NL 2005-III B.V. 2005-III D BBB (sf) BBB

E-MAC NL 2005-III B.V. 2005-III E CCC (sf) CCC

E-MAC NL 2006-II B.V 2006-II A A (sf) AAA

E-MAC NL 2006-II B.V 2006-II B A (sf) AA

E-MAC NL 2006-II B.V 2006-II C A (sf) A

E-MAC NL 2006-II B.V 2006-II D BB (sf) BB

E-MAC NL 2006-II B.V 2006-II E CCC (sf) CCC

E-MAC Program B.V.

Compartment NL 2006-III

2006-III A2 A+ (sf) AAA

E-MAC Program B.V.

Compartment NL 2006-III

2006-III B A+ (sf) AA-

E-MAC Program B.V.

Compartment NL 2006-III

2006-III C BBB (sf) BBB

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT FEBRUARY 13, 2014 14

1258508 | 300051529

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.)

E-MAC Program B.V.

Compartment NL 2006-III

2006-III D BB- (sf) BB-

E-MAC Program B.V.

Compartment NL 2006-III

2006-III E CCC (sf) CCC

E-MAC Program B.V.

Compartment NL 2007-I

2007-I A2 A (sf) AAA

E-MAC Program B.V.

Compartment NL 2007-I

2007-I B A (sf) AA-

E-MAC Program B.V.

Compartment NL 2007-I

2007-I C BBB (sf) BBB

E-MAC Program B.V.

Compartment NL 2007-I

2007-I D BB- (sf) BB-

E-MAC Program B.V.

Compartment NL 2007-I

2007-I E CCC (sf) CCC

E-MAC Program B.V.

Compartment NL 2007-III

2007-III A1 A+ (sf) AAA

E-MAC Program B.V.

Compartment NL 2007-III

2007-III A2 A+ (sf) AAA

E-MAC Program B.V.

Compartment NL 2007-III

2007-III B A+ (sf) AA

E-MAC Program B.V.

Compartment NL 2007-III

2007-III C A (sf) A

E-MAC Program B.V.

Compartment NL 2007-III

2007-III D BB- (sf) BB-

E-MAC Program B.V.

Compartment NL 2007-III

2007-III E CCC (sf) CCC

E-MAC Program II B.V.

Compartment NL 2007-IV

2007-IV A AA- (sf) AAA

E-MAC Program II B.V.

Compartment NL 2007-IV

2007-IV B AA- (sf) AA

E-MAC Program II B.V.

Compartment NL 2007-IV

2007-IV C A (sf) A

E-MAC Program II B.V.

Compartment NL 2007-IV

2007-IV D BB (sf) BB

E-MAC Program II B.V.

Compartment NL 2008-IV

2008-IV A A (sf) AAA

E-MAC Program II B.V.

Compartment NL 2008-IV

2008-IV B A (sf) AAA

E-MAC Program II B.V.

Compartment NL 2008-IV

2008-IV C A (sf) A+

E-MAC Program II B.V.

Compartment NL 2008-IV

2008-IV D BB (sf) BB

E-MAC Program III B.V.

Compartment NL 2008-I

2008-I A1 A (sf) AAA

E-MAC Program III B.V.

Compartment NL 2008-I

2008-I A2 A (sf) AAA

E-MAC Program III B.V.

Compartment NL 2008-I

2008-I B A (sf) AAA

E-MAC Program III B.V.

Compartment NL 2008-I

2008-I C A- (sf) A-

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT FEBRUARY 13, 2014 15

1258508 | 300051529

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.)

E-MAC Program III B.V.

Compartment NL 2008-I

2008-I D BBB- (sf) BBB-

E-MAC Program III B.V.

Compartment NL 2008-II

2008-II A2 A (sf) AAA

E-MAC Program III B.V.

Compartment NL 2008-II

2008-II B A (sf) AAA

E-MAC Program III B.V.

Compartment NL 2008-II

2008-II C A (sf) AA-

E-MAC Program III B.V.

Compartment NL 2008-II

2008-II D BB- (sf) BB-

EMF-NL 2008-1 B.V. 2008-1 A2 A- (sf) A-

EMF-NL 2008-1 B.V. 2008-1 A3 BBB+ (sf) BBB+

EMF-NL 2008-2 B.V. 2008-2 A1 BBB+ (sf) BBB+

EMF-NL 2008-2 B.V. 2008-2 A2 BBB- (sf) BBB-

EMF-NL 2008-2 B.V. 2008-2 B BB- (sf) BB-

EMF-NL 2008-2 B.V. 2008-2 C B- (sf) B-

EMF-NL 2008-2 B.V. 2008-2 D CCC (sf) CCC

EMF-NL Prime 2008-A B.V. 2008-A A2 BB (sf) BB

EMF-NL Prime 2008-A B.V. 2008-A A3 BB (sf) BB

EMF-NL Prime 2008-A B.V. 2008-A B B (sf) B

EMF-NL Prime 2008-A B.V. 2008-A C B- (sf) B-

EMF-NL Prime 2008-A B.V. 2008-A D CCC (sf) CCC

Essence III B.V. III A AAA (sf) AAA

Eurosail-NL 2007-1 B.V. 2007-1 A A- (sf) AAA

Eurosail-NL 2007-1 B.V. 2007-1 B A- (sf) AAA

Eurosail-NL 2007-1 B.V. 2007-1 C A- (sf) A-

Eurosail-NL 2007-1 B.V. 2007-1 D BB (sf) BB

Eurosail-NL 2007-1 B.V. 2007-1 E1 CCC (sf) CCC

Eurosail-NL 2007-2 B.V. 2007-2 A A- (sf) AA+

Eurosail-NL 2007-2 B.V. 2007-2 B BB (sf) BB

Eurosail-NL 2007-2 B.V. 2007-2 C BB- (sf) BB-

Eurosail-NL 2007-2 B.V. 2007-2 D1 B- (sf) B-

Eurosail-NL 2007-2 B.V. 2007-2 M A- (sf) A-

Fishbowl Master Issuer B.V. 2011-1 A10 AAA (sf) AAA

Fishbowl Master Issuer B.V. 2011-1 A11 AAA (sf) AAA

Fishbowl Master Issuer B.V. 2011-1 A12 AAA (sf) AAA

Fishbowl Master Issuer B.V. 2011-1 A2 AAA (sf) AAA

Fishbowl Master Issuer B.V. 2011-1 A3 AAA (sf) AAA

Fishbowl Master Issuer B.V. 2011-1 A4 AAA (sf) AAA

Fishbowl Master Issuer B.V. 2011-1 A5 AAA (sf) AAA

Fishbowl Master Issuer B.V. 2011-1 A6 AAA (sf) AAA

Fishbowl Master Issuer B.V. 2011-1 A7 AAA (sf) AAA

Fishbowl Master Issuer B.V. 2011-1 A8 AAA (sf) AAA

Fishbowl Master Issuer B.V. 2011-1 A9 AAA (sf) AAA

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT FEBRUARY 13, 2014 16

1258508 | 300051529

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.)

Fishbowl Master Issuer B.V. 2011-1 B AA- (sf) AA-

Goldfish Master Issuer B.V. 2007-I A1 AAA (sf) AAA

Goldfish Master Issuer B.V. 2007-I A2 AAA (sf) AAA

Goldfish Master Issuer B.V. 2007-I B AA- (sf) AA-

Goldfish Master Issuer B.V. 2008-I B AA- (sf) AA-

Goldfish Master Issuer B.V. 2008-II A AAA (sf) AAA

Goldfish Master Issuer B.V. 2008-II B AA- (sf) AA-

Goldfish Master Issuer B.V. 2009-III A AAA (sf) AAA

Goldfish Master Issuer B.V. 2009-IV A AAA (sf) AAA

Goldfish Master Issuer B.V. 2009-V A1 AAA (sf) AAA

Goldfish Master Issuer B.V. 2009-V A2 AAA (sf) AAA

Goldfish Master Issuer B.V. 2009-V A3 AAA (sf) AAA

Goldfish Master Issuer B.V. 2010-2 A1 AAA (sf) AAA

Goldfish Master Issuer B.V. 2010-I A3 AAA (sf) AAA

Goldfish Master Issuer B.V. 2010-I B AA- (sf) AA-

Goldfish Master Issuer B.V. 2013-I A1 AAA (sf) AAA

Goldfish Master Issuer B.V. 2013-I A2 AAA (sf) AAA

Goldfish Master Issuer B.V. 2013-II A1 AAA (sf) AAA

Goldfish Master Issuer B.V. 2013-II A2 AAA (sf) AAA

Goldfish Master Issuer B.V. 2013-II A3 AAA (sf) AAA

Goldfish Master Issuer B.V. 2013-II A4 AAA (sf) AAA

Goldfish Master Issuer B.V. 2013-II A5 AAA (sf) AAA

Goldfish Master Issuer B.V. 2013-II A6 AAA (sf) AAA

Goldfish Master Issuer B.V. 2013-II A7 AAA (sf) AAA

Goldfish Master Issuer B.V. 2013-II B AA- (sf) AA-

Holland Mortgage Backed Series

(Hermes) IX B.V.

IX A A+ (sf) AAA

Holland Mortgage Backed Series

(Hermes) IX B.V.

IX B A+ (sf) AA+

Holland Mortgage Backed Series

(Hermes) IX B.V.

IX C BBB (sf) BBB

Holland Mortgage Backed Series

(Hermes) IX B.V.

IX D BB+ (sf) BB+

Holland Mortgage Backed Series

(Hermes) XI B.V.

XI A A+ (sf) AA+

Holland Mortgage Backed Series

(Hermes) XI B.V.

XI B A- (sf) A-

Holland Mortgage Backed Series

(Hermes) XI B.V.

XI C BBB (sf) BBB

Holland Mortgage Backed Series

(Hermes) XI B.V.

XI D BB (sf) BB

Lunet RMBS 2013-I B.V. 2013-1 A1 AAA (sf) AAA

Lunet RMBS 2013-I B.V. 2013-1 A2 AAA (sf) AAA

Lunet RMBS 2013-I B.V. 2013-1 B AA- (sf) AA-

Monastery 2004-I B.V. 2004-I A2 AA- (sf) AA-

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT FEBRUARY 13, 2014 17

1258508 | 300051529

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.)

Monastery 2004-I B.V. 2004-I B A (sf) A

Monastery 2004-I B.V. 2004-I C BBB (sf) BBB

Monastery 2004-I B.V. 2004-I D BB (sf) BB

Monastery 2006-I B.V. 2006-I A2 A- (sf) A-

Monastery 2006-I B.V. 2006-I B BB- (sf) BB-

Monastery 2006-I B.V. 2006-I C B- (sf) B-

Monastery 2006-I B.V. 2006-I D CCC (sf) CCC

Oceanarium Master Issuer B.V. 2011-1 A1 AAA (sf) AAA

Oceanarium Master Issuer B.V. 2011-1 A10 AAA (sf) AAA

Oceanarium Master Issuer B.V. 2011-1 A11 AAA (sf) AAA

Oceanarium Master Issuer B.V. 2011-1 A12 AAA (sf) AAA

Oceanarium Master Issuer B.V. 2011-1 A13 AAA (sf) AAA

Oceanarium Master Issuer B.V. 2011-1 A14 AAA (sf) AAA

Oceanarium Master Issuer B.V. 2011-1 A2 AAA (sf) AAA

Oceanarium Master Issuer B.V. 2011-1 A3 AAA (sf) AAA

Oceanarium Master Issuer B.V. 2011-1 A4 AAA (sf) AAA

Oceanarium Master Issuer B.V. 2011-1 A5 AAA (sf) AAA

Oceanarium Master Issuer B.V. 2011-1 A6 AAA (sf) AAA

Oceanarium Master Issuer B.V. 2011-1 A7 AAA (sf) AAA

Oceanarium Master Issuer B.V. 2011-1 A8 AAA (sf) AAA

Oceanarium Master Issuer B.V. 2011-1 A9 AAA (sf) AAA

Oceanarium Master Issuer B.V. 2011-1 B AA (sf) AA

Oceanarium Master Issuer B.V. 2011-1 C A- (sf) A-

PEARL Mortgages Backed

Securities 4 B.V.

A AAA (sf)/Watch

Neg

AAA

Phedina Hypotheken 2013-1 2013-1 A1 AAA (sf) AAA

Phedina Hypotheken 2013-1 2013-1 A2 AAA (sf) AAA

Phedina Hypotheken 2013-1 2013-1 B A+ (sf) A+

Phedina Hypotheken 2013-1 2013-1 C A (sf) A

Principal Residential Investment

Mortgages 1 S.A.

A AAA (sf) AAA

Principal Residential Investment

Mortgages 1 S.A.

B AA (sf) AA

Provide Lowlands 1 B.V. A AAA (sf) AAA

Provide Lowlands 1 B.V. A+ AAA (sf) AAA

Provide Lowlands 1 B.V. B AAA (sf) AAA

Provide Lowlands 1 B.V. C BBB (sf) BBB

Provide Lowlands 1 B.V. Snr Swap AAA (sf) AAA

Saecure 10 B.V. 10 A1 AAA (sf) AAA

Saecure 10 B.V. 10 A2 AAA (sf) AAA

Saecure 10 B.V. 10 B AA (sf) AA

Saecure 12 B.V. 12 A1 AAA (sf) AAA

Saecure 12 B.V. 12 A2 AAA (sf) AAA

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT FEBRUARY 13, 2014 18

1258508 | 300051529

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.)

Saecure 13 NHG B.V 13 A1 AAA (sf) AAA

Saecure 13 NHG B.V 13 A2 AAA (sf) AAA

Saecure 7 B.V. 7 A AAA (sf) AAA

Saecure 7 B.V. 7 B AA+ (sf) AA+

Saecure 7 B.V. 7 C AA (sf) AA

Saecure 7 B.V. 7 D A (sf) A

Saecure 8 NHG B.V. 8 A1 AAA (sf) AAA

Saecure 8 NHG B.V. 8 A2 AAA (sf) AAA

Saecure 8 NHG B.V. 8 B AA (sf) AA

Saecure 8 NHG B.V. 8 C A (sf) A

Saecure 9 B.V. 9 A1 AAA (sf) AAA

Saecure 9 B.V. 9 A2 AAA (sf) AAA

Saecure 9 B.V. 9 B AA+ (sf) AA+

Saecure 9 B.V. 9 C AA (sf) AA

Saecure 9 B.V. 9 D A (sf) A

STORM 2010-I B.V. 2010-I A1 AAA (sf) AAA

STORM 2010-I B.V. 2010-I A2 AAA (sf) AAA

STORM 2010-I B.V. 2010-I B AA (sf) AA

STORM 2010-I B.V. 2010-I C A+ (sf) A+

STORM 2010-I B.V. 2010-I D BBB (sf) BBB

STORM 2010-II B.V. 2010-II A AAA (sf) AAA

STORM 2010-II B.V. 2010-II B AA (sf) AA

STORM 2010-II B.V. 2010-II C A (sf) A

STORM 2010-II B.V. 2010-II D BBB (sf) BBB

Storm 2010-III B.V. 2010-III A1 AAA (sf) AAA

Storm 2010-III B.V. 2010-III A2 AAA (sf) AAA

Storm 2010-III B.V. 2010-III B AA (sf) AA

Storm 2010-III B.V. 2010-III C A (sf) A

Storm 2010-III B.V. 2010-III D BBB- (sf) BBB-

Storm 2010-IV B.V. 2010-IV A AAA (sf) AAA

Storm 2010-IV B.V. 2010-IV B AA (sf) AA

Storm 2010-IV B.V. 2010-IV C A+ (sf) A+

Storm 2010-IV B.V. 2010-IV D BBB (sf) BBB

STORM 2011-I B.V. 2011-I A AAA (sf) AAA

STORM 2011-I B.V. 2011-I B AA (sf) AA

STORM 2011-I B.V. 2011-I C A (sf) A

STORM 2011-I B.V. 2011-I D BBB (sf) BBB

STORM 2011-II B.V. 2011-II A AAA (sf) AAA

STORM 2011-II B.V. 2011-II B AA (sf) AA

STORM 2011-II B.V. 2011-II C A (sf) A

STORM 2011-II B.V. 2011-II D BBB (sf) BBB

STORM 2011-III B.V. 2011-III A1 AAA (sf) AAA

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT FEBRUARY 13, 2014 19

1258508 | 300051529

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. 2011-III A2 AAA (sf) AAA

STORM 2011-III B.V. 2011-III B AA (sf) AA

STORM 2011-III B.V. 2011-III C A (sf) A

STORM 2011-III B.V. 2011-III D BBB- (sf) BBB-

STORM 2011-IV B.V. 2011-IV A1 AAA (sf) AAA

STORM 2011-IV B.V. 2011-IV A2 AAA (sf) AAA

STORM 2011-IV B.V. 2011-IV B AA- (sf) AA-

STORM 2011-IV B.V. 2011-IV C A (sf) A

STORM 2011-IV B.V. 2011-IV D BBB- (sf) BBB-

STORM 2012-I B.V. 2012-I A1 AAA (sf) AAA

STORM 2012-I B.V. 2012-I A2 AAA (sf) AAA

STORM 2012-I B.V. 2012-I B AA (sf) AA

STORM 2012-I B.V. 2012-I C A (sf) A

STORM 2012-I B.V. 2012-I D BBB (sf) BBB

STORM 2012-II B.V. 2012-II A1 AAA (sf) AAA

STORM 2012-II B.V. 2012-II A2 AAA (sf) AAA

STORM 2012-II B.V. 2012-II B AA (sf) AA

STORM 2012-II B.V. 2012-II C A (sf) A

STORM 2012-II B.V. 2012-II D BBB (sf) BBB

STORM 2012-III B.V. 2012-III A1 AAA (sf) AAA

STORM 2012-III B.V. 2012-III A2 AAA (sf) AAA

STORM 2012-III B.V. 2012-III B AA (sf) AA

STORM 2012-III B.V. 2012-III C A+ (sf) A+

STORM 2012-III B.V. 2012-III D BBB (sf) BBB

STORM 2012-IV B.V. 2012-IV A1 AAA (sf) AAA

STORM 2012-IV B.V. 2012-IV A2 AAA (sf) AAA

STORM 2012-IV B.V. 2012-IV B AA+ (sf) AA+

STORM 2012-IV B.V. 2012-IV C A+ (sf) A+

STORM 2012-IV B.V. 2012-IV D BBB (sf) BBB

STORM 2012-V B.V. 2012-V A AAA (sf) AAA

STORM 2012-V B.V. 2012-V B AA+ (sf) AA+

STORM 2012-V B.V. 2012-V C A+ (sf) A+

STORM 2012-V B.V. 2012-V D BBB (sf) BBB

STORM 2013-I B.V. 2013-I A1 AAA (sf) AAA

STORM 2013-I B.V. 2013-I A2 AAA (sf) AAA

STORM 2013-I B.V. 2013-I B AA (sf) AA

STORM 2013-I B.V. 2013-I C A (sf) A

STORM 2013-I B.V. 2013-I D BBB- (sf) BBB-

STORM 2013-II B.V. 2013-II A1 AAA (sf) AAA

STORM 2013-II B.V. 2013-II A2 AAA (sf) AAA

STORM 2013-II B.V. 2013-II B AA+ (sf) AA+

STORM 2013-II B.V. 2013-II C AA (sf) AA

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT FEBRUARY 13, 2014 20

1258508 | 300051529

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. 2013-II D A- (sf) A-

STORM 2013-III B.V. 2013-III A AAA (sf) AAA

STORM 2013-III B.V. 2013-III B AA+ (sf) AA+

STORM 2013-III B.V. 2013-III C AA- (sf) AA-

STORM 2013-III B.V. 2013-III D BBB (sf) BBB

STORM 2013-IV B.V. 2013-IV A1 AAA (sf) AAA

STORM 2013-IV B.V. 2013-IV A2 AAA (sf) AAA

STORM 2013-IV B.V. 2013-IV B AA+ (sf) AA+

STORM 2013-IV B.V. 2013-IV C AA- (sf) AA-

STORM 2013-IV B.V. 2013-IV D BBB (sf) BBB

Strong 2011- I B.V. 2011-I A AAA (sf) 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.

Additional Contact:

Structured Finance Europe; StructuredFinanceEurope@standardandpoors.com

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT FEBRUARY 13, 2014 21

1258508 | 300051529

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

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.

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.

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.

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.

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.

Copyright © 2014 Standard & Poor's Financial Services LLC, a part of McGraw Hill Financial. All rights reserved.

WWW.STANDARDANDPOORS.COM/RATINGSDIRECT FEBRUARY 13, 2014 22

1258508 | 300051529