DBRS Confirms Ratings on Dolphin Master Issuer B.V. Notes

DBRS Ratings Limited (DBRS) has today confirmed the ratings on the notes currently outstanding, and issued by Dolphin Master Issuer B.V. (Dolphin, issuer) as shown below.

-- Series 2009-2, Class A confirmed at AAA (sf)
-- Series 2010-1, Class A3 confirmed at AAA (sf)
-- Series 2010-1, Class A4 confirmed at AAA (sf)
-- Series 2010-2, Class A2 confirmed at AAA (sf)
-- Series 2011-1, Class A confirmed at AAA (sf)
-- Series 2012-2, Class A1 confirmed at AAA (sf)
-- Series 2012-2, Class A5 confirmed at AAA (sf)
-- Series 2012-2, Class A6 confirmed at AAA (sf)
-- Series 2012-2, Class A7 confirmed at AAA (sf)
-- Series 2013-1, Class A1 confirmed at AAA (sf)
-- Series 2013-1, Class A2 confirmed at AAA (sf)
-- Series 2013-2, Class A confirmed at AAA (sf)
-- Series 2014-1, Class A confirmed at AAA (sf)
-- Series 2014-2, Class A confirmed at AAA (sf)
-- Series 2014-3, Class A confirmed at AAA (sf)
-- Series 2015-1, Class A1 confirmed at AAA (sf)
-- Series 2015-1, Class A2 confirmed at AAA (sf)
-- Series 2015-1, Class A3 confirmed at AAA (sf)
-- Series 2015-1, Class A4 confirmed at AAA (sf)
-- Series 2012-2, Class B confirmed at AA (sf)
-- Series 2012-2, Class C confirmed at A (sf)

The confirmation of ratings follows DBRS assessment of the withdrawal of the 403-guarantee by ABN Amro Group N.V. (ABN Amro Group, parent) to ABN Amro Bank N.V. (ABN Amro Bank) on 1 June 2015. Under the Dutch Civil Code, article 403, ABN Amro Group provided a guarantee to ABN Amro Bank assuming joint and several liability for all liabilities arising from legal acts of the later. Such guarantee enabled reporting of consolidated financial results by the parent. Due to changes in laws and regulations, ABN Amro Bank publishes consolidated annual financial accounts as of 2014, and therefore the need for having a 403-guarantee is redundant. The withdrawal of the 403-guarantee triggered borrower notification of the assignment of the assets which has been waived. To reflect the withdrawal of the 403-guarantee the Asset Purchaser Mortgage Receivables Purchase Agreement has been amended.

The withdrawal of the 403-guarantee does not have any adverse credit implications on Dolphin’s ability make payment on the rated notes. The counterparty risk of Dolphin on ABN Amro Bank, acting as the swap provider, the account bank and the collections account bank is mitigated by DBRS’s long-term rating of ABN Amro Bank which is in line with DBRS legal criteria on counterparty risk in structured finance transactions. Please see the following link for the rating of ABN Amro Bank. http://www.dbrs.com/issuer/17333

Dolphin is a €50 billion, fully revolving continuous-issuance programme established in September 2007 and backed by prime Dutch mortgage loans originated by subsidiaries of ABN AMRO Bank N.V. The outstanding balance of collateralised notes is €30.14 billion.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is the “Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda”.

Other methodologies and criteria referenced in this transaction are listed at the end of this press release and can be found on www.dbrs.com at http://www.dbrs.com/about/methodologies

The sources of information used for this rating are the notifications provided by the issuer.

DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality. The information provided to DBRS was subjected to a reasonableness review but has not been verified.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last relevant rating actions on this transaction took place on 30 March 2015, when the final ratings for the Class A, Series 2015-1 notes were assigned and the ratings on the other outstanding notes were confirmed. The ratings on three classes of notes were discontinued as these were repaid in full. Please refer the link below for the details on the previous rating action. http://www.dbrs.com/research/278327/dbrs-assigns-final-ratings-to-dolphin-master-issuer-b-v-series-2015-1-notes.html

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

For information on DBRS historic default rates published by the European Securities and Markets Administration (ESMA) in a central repository, see
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

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

Initial Lead Analyst: Quincy Tang, Managing Director, Global Structured Finance

Initial Rating Date: 29 October 2009
Initial Rating Committee Chair: Claire Mezzanotte, Managing Director, Head – Global Structured Finance

Last Rating Date: 30 March 2015
Lead Surveillance Analyst: Kali Sirugudi
Rating Committee Chair: Erin Stafford

Kali Sirugudi
Lead Analyst
Vice President – European Structured Finance
+44 020 7855 6609
ksirugudi@dbrs.com

DBRS Ratings Limited
1 Minster Court, 10th Floor
Mincing Lane
London
EC3R 7AA
United Kingdom

Registered in England and Wales: No. 7139960

The methodologies applicable are as follows:

-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- Legal Criteria for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Unified Interest Rate Model for European Securitisations

The rating methodologies and criteria used in the analysis of this transaction can be found at http://www.dbrs.com/about/methodologies.

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375