DBRS Assigns Final Ratings to Dolphin Master Issuer B.V., Series 2012-2 Notes

DBRS Ratings Limited (“DBRS”) has today assigned the following final ratings to notes of Series 2012-2 issued by Dolphin Master Issuer B.V. (“Dolphin”):

• AAA (sf) to Series 2012-2, Class A1
• AAA (sf) to Series 2012-2, Class A2
• AAA (sf) to Series 2012-2, Class A3
• AAA (sf) to Series 2012-2, Class A4
• AAA (sf) to Series 2012-2, Class A5
• AAA (sf) to Series 2012-2, Class A6
• AAA (sf) to Series 2012-2, Class A7
• AA (sf) to Series 2012-2, Class B
• A (sf) to Series 2012-2, Class C
• BBB (sf) to Series 2012-2, Class D

DBRS has today confirmed the following ratings to notes issued under previous series of Dolphin:

• AAA (sf) to Series 2008-1, Class A
• AAA (sf) to Series 2009-2, Class A
• AAA (sf) to Series 2010-1, Class A1
• AAA (sf) to Series 2010-1, Class A2
• AAA (sf) to Series 2010-1, Class A3
• AAA (sf) to Series 2010-1, Class A4
• AAA (sf) to Series 2010-2, Class A1
• AAA (sf) to Series 2010-2, Class A2
• AAA (sf) to Series 2011-1, Class A

Furthermore, DBRS has discontinued 17 classes of notes from 5 Series due to repayment of the notes.

The existing series of notes under Class E and a new series issued under the same class are not rated by DBRS. Class E notes are uncollateralised and funded the reserve account at closing of the transaction.

Dolphin Master Issuer B.V. is a €100 billion, fully revolving continuous-issuance programme established in August 2007 and is backed by prime Dutch mortgage loans originated by subsidiaries of ABN AMRO Bank N.V. As of 25 July 2012, the outstanding balance of collateralised notes is €30.140 billion with an additional €0.271 billion of Class E Notes which fund the Reserve Account. A part of the proceeds from the Series 2012-2 Notes will be used to redeem notes whose margin step-up-dates fall on 28 September 2012. The rest of the proceeds will be used to repurchase notes belonging to Class B, Class C and Class D, issued under previous series, in order to consolidate them as a single series under each subordinated class of notes.

The ratings are based upon DBRS review of the following analytical considerations:
• The transaction’s capital structure and the form and sufficiency of available credit enhancement. Relevant credit enhancement is in the form of subordination, a reserve fund, and excess spread.
• The credit quality of the mortgages backing the notes and the ability of the servicer to perform collection activities on the collateral.
• The transaction parties’ capabilities with respect to originations, underwriting, servicing and financial strength.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the transaction documents.
• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.
Notes:
All figures are in Euro unless otherwise noted.

The principal methodologies applicable are:

• Master European Residential Mortgage-Backed Securities Rating Methodology
• Legal Criteria for European Structured Finance Transactions
• Swap Criteria for European Structured Finance Transactions
• Operational Risk Assessment for European RMBS Servicers
• Unified Interest Rate Model Methodology for European Securitisations

These can be found on dbrs.com under Methodologies. For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”.

The sources of information used for this rating include a loan level data file for the receivables, performance of loans since closing of the transaction and foreclosure data provided by the issuer.

DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

The final ratings concern newly issued financial instruments.

This is the first DBRS rating on these financial instruments.

The rating confirmations concern existing financial instruments issued in the past.

For additional information on this rating, please see the linking document.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Lead Analyst: Kali Sirugudi
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 28 September 2012 (For new instruments to be issued)
Most Recent Rating Update: 27 June 2012