DBRS Assigns Rating to Dolphin Master Issuer B.V. Series 2015-3 Notes

DBRS Ratings Limited (DBRS) has today assigned AAA (sf) ratings to the Series 2015-3, Class A notes aggregating EUR 500 million issued by Dolphin Master Issuer B.V. (Dolphin). The Series 2015-3 notes have refinanced the Series 2011-1, Class A notes, whose current interest margin would have stepped-up had they not been redeemed today. DBRS has withdrawn the ratings on the Series 2011-1 Class A notes, as the principal outstanding was fully paid down.

DBRS has also confirmed the ratings of all the notes issued by Dolphin currently outstanding as listed 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 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 credit enhancement for the Class A notes of all series, including the new notes issued, has been maintained at the current level of 9.10%, and at 6.90% for the outstanding Class B notes and 4.30% for the outstanding Class C notes.

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 the collateralised notes is €30.14 billion.

The basis swap included in the transaction structure mitigates the basis risk as well as the risk of possible shortfalls in revenue receipts to meet interest payments on the rated notes.

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’, short-term rating of R-1 (low)) satisfies DBRS 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 the DBRS Legal Criteria for European Structured Finance Transactions.

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, given the master trust structure of the transaction and preservation of credit enhancement on the notes, the asset portfolio complying with the composition limits set forth in the transaction legal documents, and the current transaction performance, no analysis on the asset or cash flows were conducted.

On account of the revolving period in the transaction, the collateral was initially modelled based on the worst-case replenishment criteria set forth in the transaction legal documents. These assumptions have not changed, and consequently, a detailed asset analysis was not conducted.

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 the investor reports on the transaction and the pool statistics provided by the issuer.

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

DBRS was not supplied with third party assessments. However, this did not impact the rating analysis.

DBRS considers the information available to it for the purposes of providing this rating 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 rating on the Series 2015-3, Class A notes concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

The last rating action on this transaction took place on 29 June 2015, when the ratings on the notes were confirmed and where the refinance of the Class E notes Series 2010-3 with the issuance of a new Series 2015-2 notes were considered.

See more at http://dbrs.com/research/281716/dbrs-confirms-ratings-on-dolphin-master-issuer-b-v-notes.html.

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

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios as compared with the parameters used to determine the rating (the Base Case):

For all the Class A notes, the Probability of Default (PD) of 20.04% and Loss Given Default (LGD) of 51.45% corresponding to a AAA stress scenario were stressed assuming a 25% and 50% increase in PD and LGD. DBRS concludes that a hypothetical increase of the Base Case expected default rate for the relevant rating stress scenario by 25% or higher at 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, or higher at 50% would lead to a downgrade of the Class A notes’ ratings to AA (high) (sf).

In respect of the Class B notes, the PD of 12.03% and LGD of 44.71% corresponding to a AA stress scenario were stressed assuming a 25% and 50% increase in PD and LGD. The ratings for Class B can withstand a hypothetical increases as described above without a downgrade from the AA rating level.

In respect of Class C notes, the PD of 8.52% and LGD of 41.33% corresponding to an ‘A’ stress scenario were stressed assuming a 25% and 50% increase in PD and LGD. The ratings for Class C can withstand a hypothetical increases as described above without a downgrade from the ‘A’ rating level.

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

Last Rating Date: 29 June 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
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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 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.