DBRS Confirms Notes Issued by Dolphin Master Issuer B.V.

DBRS Ratings Limited (DBRS) confirmed the following ratings on the Notes issued by Dolphin Master Issuer B.V. (Dolphin):

-- Series 2010-1 Class A3 Notes, Series 2010-1 Class A4 Notes, Series 2013-1 Class A2 Notes, Series 2014-1 Class A Notes, Series 2014-3 Class A Notes, Series 2015-1 Class A2 Notes, Series 2015-1 Class A3 Notes, Series 2015-1 Class A4 Notes, Series 2015-3 Class A Notes, Series 2016-1 Class A1 Notes, Series 2016-1 Class A2 Notes, Series 2016-1 Class A3 Notes, and Series 2016-1 Class A4 Notes (together, the Class A Notes) confirmed at AAA (sf)
-- Series 2017-1 Class B Notes confirmed at AA (sf)
-- Series 2017-1 Class C Notes confirmed at A (sf)

DBRS also discontinued the ratings on the following Notes after their full redemptions on 28 September 2018:
-- EUR 750,000,000 Series 2013-2 Class A Notes, rated AAA (sf) prior to the full redemption.
-- EUR 1,700,000,000 Series 2014-2 Class A Notes, rated AAA (sf) prior to the full redemption.
-- EUR 2,000,000,000 Series 2015-1 Class A1 Notes, rated AAA (sf) prior to the full redemption.

The rating actions follow the annual review of the transaction and are based on the following analytical considerations:
-- Portfolio performance in terms of delinquencies and defaults.
-- Portfolio default (PD) rate, loss given default (LGD) rate and expected loss assumptions for the remaining collateral pool.
-- Current credit enhancement (CE) available to the Notes to cover the expected losses at their respective rating levels.

Dolphin is a fully revolving continuous-issuance programme established in August 2007 and backed by prime Dutch mortgage loans. ABN AMRO Hypotheken Groep B.V. (ABN AMRO) is the originator and the servicer on the loans in the program.

As of 31 May 2018, loans more than 90 days in arrears represented 0.2% of the outstanding Dolphin portfolio. The cumulative default ratio represented 2.0% of the total balance of the loans purchased into the portfolio. The pool’s performance is within DBRS’s expectations. DBRS has maintained the base case PD and LGD assumptions at 4.6% and 13.7%, respectively.

As the transaction is revolving, the CE available to the Notes remains at and above the required subordination of 7.9% for the Class A Notes, 5.8% for the Class B Notes, and 3.2% for the Class C Notes.

ABN AMRO is the collection account bank and the issuer account bank for the transaction and has a DBRS long-term critical obligations rating (COR) of AA. The reference rating of ABN AMRO, which is one notch below the COR, is consistent with the Account Bank Minimum Institution Rating criteria, given the ratings assigned to the Class A notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

ABN AMRO is also the swap counterparty to the interest rate hedging agreement in the program and its rating is consistent with the required first rating threshold, given the rating assigned to the Class A notes, as described in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is: “Master European Structured Finance Surveillance Methodology”.

DBRS has applied the principal methodology consistently and conducted a review of the transactions in accordance with the principal methodology.

An asset and a cash flow analysis were both conducted. Due to the inclusion of a revolving period in the transaction, the analysis continues to be based on the worst-case replenishment criteria set forth in the transaction legal documents.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent rating action.

Other methodologies referenced in the transaction are listed at the end of this press release.

These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.

The sources of data and information used for this rating action include the investor reports provided by ABN AMRO and the loan-by-loan data from European Data Warehouse GmbH.

DBRS did 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 data and information available to it for the purposes of providing this rating to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on this transaction took place on 28 September 2017, when DBRS discontinued, confirmed and assigned new ratings on the Notes.

The lead analyst responsibilities for this transaction have been transferred to Kevin Ma.

Information regarding DBRS ratings, including definitions, policies and methodologies, is 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 to the parameters used to determine the rating (the Base Case):

-- The base-case PD and LGD assumptions for the simulated portfolio PD and LGD are 4.6% and 12.5%, respectively. At the AAA (sf) rating level, the corresponding PD and LGD are 22.7% and 31.6%, respectively. At the AA (sf) rating level, the corresponding PD and LGD are 19.4% and 27.2%, respectively. At the A (sf) rating level, the corresponding PD and LGD are 15.7% and 22.9%, respectively.

-- The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the Base Case assumption. For example, if the LGD increases to 100%, the rating on the Class A Notes would be expected to be at AA (sf), assuming no change in the PD. If the PD increases by 50%, the rating on the Class A Notes would be expected to be at AA (sf), assuming no change in the LGD. Furthermore, if both the PD and the LGD increase by 50%, the rating on the Class A Notes would be expected to be at A (high) (sf).

Class A Notes risk sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)

Series 2017-1 Class B Notes risk sensitivity:
-- 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD, expected rating of AA (sf)
-- 50% increase in PD, expected rating of AA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)

Series 2017-1 Class C Notes risk sensitivity:
-- 25% increase in LGD, expected rating of A (sf)
-- 50% increase in LGD, expected rating of A (sf)
-- 25% increase in PD, expected rating of A (sf)
-- 50% increase in PD, expected rating of A (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)

For further information on DBRS historical default rates published by the European Securities and Markets Authority (“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 and US regulations only.

Lead Analyst: Kevin Ma, Vice President
Rating Committee Chair: Gareth Levington, Managing Director
Initial Rating Date: 28 September 2007

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

-- Legal Criteria for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology
-- European RMBS Insight Methodology
-- European RMBS Insight: Dutch Addendum
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- Interest Rate Stresses for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions

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.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.