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.

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

The confirmation of ratings follows DBRS’s assessment of the refinance of the Class E notes Series 2010-3 with the issuance of a new Series 2015-2 notes. The new Class E Series 2015-2 notes have been issued for the same amount of €68 million and bear the same coupon rate of 3 months Euribor plus 8%.

The Class E notes of all series aggregate €331.65 million and fund the reserve fund in the transaction providing credit support to the rated notes. The refinance of the Class E notes as stated above is credit neutral to the issuer.

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.

The ratings are based upon DBRS’s review of the following analytical considerations:

-- The transaction’s capital structure and the form and sufficiency of available, relevant credit enhancement 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. DBRS stressed the credit risk of the mortgage portfolio based on the conditions to be satisfied for the purchase of new loans by the asset purchaser during the revolving period of the transaction.

-- The transaction parties’ capabilities with respect to originations, underwriting, servicing and financial strength. At the time of assigning the final ratings on the new notes, ABN Amro Bank N.V., (long-term rating of A (high); short-term rating of R-1 (middle); both ratings Under Review with Negative Implications), satisfies DBRS’s legal criteria for an account bank and a swap provider in a structured finance transaction.

-- 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 DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted. The principal methodology applicable is:
“Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda”.

• In DBRS’s opinion, the change under consideration, i.e. the refinance of Class E Series 2010-3 notes for the same amount of €68 million and bearing the same coupon rate, is credit neutral with relation to the risk of the mortgage portfolio and that of the transaction structure and hence does not require the application of the entire principal methodology. Therefore, the analysis of the revolving mortgage portfolio and the cash flows of the transaction structure was not conducted.

• A review of the transaction’s legal documents was not conducted as the documents have remained unchanged since the most recent rating action. DBRS has reviewed the terms and conditions of the new Class E Series 2015-2 notes.

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

The sources of information used for this rating include ABN Amro Bank N.V.

DBRS does not rely upon third-party due diligence in order to conduct its analysis.

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

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 rating action on this transaction took place on 1 June 2015, when the ratings of the notes outstanding were confirmed on account of the withdrawal of the 403-guarantee by ABN Amro Group to its wholly-owned subsidiary ABN Amro Bank N.V. and waiver of borrower notification triggered by the withdrawal of such guarantee.

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

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the stress scenarios, as compared to the parameters used to determine the rating (the Base Case). Please see the press release dated 30 March 2015 for the details of the stresses and the results.

For further 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

Lead Surveillance Analyst: Kali Sirugudi
Rating Committee Chair: Erin Stafford

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 Methodology for European Structured Finance Servicers
-- Unified Interest Rate Model for European Securitisations

The rating methodologies 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