DBRS Confirms Ratings on Dolphin Master Trust B.V.

DBRS, Inc. (DBRS) has confirmed ratings on the outstanding Series of Notes of Dolphin Master Trust B.V. (Dolphin). Dolphin is a €100 billion, fully revolving continuous-issuance programme established in August 2007 and is backed by prime Dutch mortgage loans originated by subsidiaries of ABN AMRO Bank N.V. As of 26 June 2012, the current outstanding balance of collateralised notes is €30.140 billion with an additional €271.35 million of Class E Notes which fund the Reserve Account.

On 28 June 2012, Dolphin will issue €153.75 million Series 2012-1 Class E Notes to refinance Series 2010-5 Class E Notes which mature on the same day.

The confirmation is based on the available credit enhancement for the rated Notes remaining at the same level following the refinancing of the Class E Notes.

Notes:
All figures are in euros unless otherwise noted.

The principal methodologies applicable are:
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Legal Criteria for European Structured Finance Transactions
• Swap Criteria for European Structured Finance Transactions
• Operational Risk Assessment for European RMBS Servicers
• Unified Interest Rate Model Methodology for European Securitisations
• Master European Structured Finance Surveillance Methodology

These can be found on dbrs.com under Methodologies. For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”.

The sources of information used for this rating include ABN AMRO Bank N.V. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

For additional information on these ratings, please refer to the linking document.

This credit rating has been issued outside the European Union (EU) and may be used for regulatory purposes by financial institutions in the EU.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

Lead Analyst: Keith Gorman
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 28 May 2009
Most Recent Rating Update: 10 February 2012