DBRS Confirms Ratings on 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 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 classes of notes after their redemption in full on 30 September 2019:

-- EUR 2,000,000,000 Series 2013-1 Class A2 Notes
-- EUR 2,000,000,000 Series 2014-1 Class A Notes
-- EUR 500,000,000 Series 2014-3 Class A Notes
Prior to their redemption in full, the aforementioned classes of notes were rated AAA (sf).

The ratings on the Notes address the timely payment of interest and ultimate payment of principal on or before the legal final maturity date, the payment date in September 2099.

The confirmations follow an annual review of the transaction and are based on the following analytical considerations:
-- Portfolio performance in terms of delinquencies and defaults as of the June 2019 payment date
-- Portfolio default rate (PD), loss given default (LGD) and expected loss assumptions for the worst-case collateral pool.
-- Current and minimum levels of credit enhancement (CE) sufficient to cover the expected losses for each class of notes at their respective rating levels.

Dolphin is a fully revolving continuous-issuance programme established in August 2007 and backed by prime Dutch mortgage loans, where ABN AMRO Bank (ABN AMRO) is the originator alongside various of its subsidiaries and where ABN AMRO Hypotheken Groep B.V., another subsidiary, is the servicer of the loans in the programme.

The notes issued by Dolphin can be soft-bullet or pass-through notes that amortise sequentially. The notes can be floating rate or fixed rate, denominated in euros or other currencies. Currently the Notes are soft bullet, bear a floating interest rate and are denominated in euros.

PORTFOLIO PERFORMANCE
The portfolio balance has been declining since the date of the last restructuring in September 2017, which is within the limit triggering a Portfolio Review Event. Delinquencies have been trending downwards since the July 2013 payment date. As of the June 2019 payment date, loans in arrears for more than 90 days represented 0.2% of the portfolio, which is also within the limit triggering a Portfolio Review Event. As of the June 2019 payment date, the cumulative default ratio is 2.1%. As per the servicer’s definition, a loan is classified as defaulted when amounts due have been unpaid for more than 90 days or in respect of which an instruction has been given to the civil-law notary to commence Foreclosure Procedures. DBRS notes that the rate at which the cumulative default ratio increases has been declining.

PORTFOLIO ASSUMPTIONS
DBRS has updated its base case PD and LGD assumptions to 4.9% and 14.5% respectively, from 4.6% and 13.7% a year ago. The changes reflect updates to its house price indexation and market value decline assumption as published in its updated “European RMBS Insight: Dutch Addendum” methodology on 30 April 2019.

CREDIT ENHANCEMENT
As of the June 2019 payment date, the CE available to the Class A Notes increased to 9.5% from 7.9% 12 months prior. The CE available to the Class B Notes increased to 7.0% from 5.8% 12 months prior. The CE available to the Class C Notes increased to 1.2% from 1.0% 12 months prior. The sources of CE are the subordinated notes and the reserve fund. The current subordination levels are commensurate with the CE levels and stand above the minimum required levels, which are 7.9%, 5.7% and 3.1% for the Class A, Class B and Class C Notes, respectively.

The transaction benefits from a non-amortising reserve fund, currently at its target amount of EUR 250 million, providing liquidity as well as credit support (via the principal deficiency ledgers) to the Notes.

DBRS considers commingling and set-off risks to be sufficiently mitigated in this transaction. Therefore no adjustment in the cashflow analysis has been applied.

ABN AMRO acts as the issuer account bank for the transaction. Based on the account bank reference rating of ABN AMRO at AA (low), one notch below the DBRS public Long-Term Critical Obligations Rating (COR) of AA, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS considers the risk arising from the exposure to the account bank to be consistent with the rating assigned to the Class A Notes, as described in DBRS's "Legal Criteria for European Structured Finance Transactions" methodology.

ABN AMRO also acts as the swap counterparty to the interest rate and currency hedging agreements for the programme. DBRS’s Long-Term COR of ABN AMRO at AA is above the 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.

The transaction structure was analysed in IntexCalc.

Notes:
All figures are in euros unless otherwise noted.

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

DBRS has applied the principal methodology consistently and conducted a review of the transaction 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 amended transaction legal documents has been conducted following an amendment executed on 28 June 2019 in the context of a merger between ABN AMRO Group and ABN AMRO Bank. A review of the remaining transaction documents was not conducted as the legal documents have remained unchanged since the most recent rating action.

Other methodologies referenced in this 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 “Global Methodology for Rating Sovereign Governments” at: https://www.dbrs.com/research/350410/global-methodology-for-rating-sovereign-governments.

The sources of data and information used for these ratings include investor reports provided by ABN AMRO and loan-level data provided by the European DataWarehouse GmbH.

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

At the time of the initial rating, 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 these ratings 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 1 October 2018, when DBRS discontinued and confirmed its ratings on various classes of notes.

The lead analyst responsibilities for this transaction have been transferred to Natalia Coman.

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 4.9% and 14.5%, respectively. At the AAA (sf) rating level, the corresponding PD and LGD are 23.6% and 35.2%, respectively. At the AA (sf) rating level, the corresponding PD and LGD are 20.4% and 29.2%, respectively. At the A (sf) rating level, the corresponding PD and LGD are 16.6% and 24.5%, 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 50%, the rating on the Class A Notes would be expected to fall at AA (low) (sf), assuming no change in the PD. If the PD increases by 50%, the rating on the Class A Notes would be expected to fall 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 (low) (sf).

Class A Notes risk sensitivity:
-- 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in LGD, expected rating of AA (low) (sf)
-- 25% increase in PD, expected rating of AA (high) (sf)
-- 50% increase in PD, expected rating of AA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (high) (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 B Notes risk sensitivity:
-- 25% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD, expected rating of AA (low) (sf)
-- 50% increase in PD, expected rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (low) (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 BBB (high) (sf)
-- 50% increase in LGD, expected rating of BBB (high) (sf)
-- 25% increase in PD, expected rating of BBB (high) (sf)
-- 50% increase in PD, expected rating of BBB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BBB (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (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: Natalia Coman, Senior Financial Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 28 September 2007

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

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

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.