DBRS Confirms Ratings to Dolphin Master Issuer B.V.

DBRS Ratings Limited (“DBRS”) has today confirmed the following ratings to notes issued by Dolphin Master Issuer B.V. (“Dolphin”):

• AAA (sf) to Series 2008-1, Class A
• AAA (sf) to Series 2009-2, Class A
• AAA (sf) to Series 2010-1, Class A1
• AAA (sf) to Series 2010-1, Class A2
• AAA (sf) to Series 2010-1, Class A3
• AAA (sf) to Series 2010-1, Class A4
• AAA (sf) to Series 2010-2, Class A1
• AAA (sf) to Series 2010-2, Class A2
• AAA (sf) to Series 2011-1, Class A
• AAA (sf) to Series 2012-2, Class A1
• AAA (sf) to Series 2012-2, Class A2
• AAA (sf) to Series 2012-2, Class A3
• AAA (sf) to Series 2012-2, Class A4
• AAA (sf) to Series 2012-2, Class A5
• AAA (sf) to Series 2012-2, Class A6
• AAA (sf) to Series 2012-2, Class A7
• AA (sf) to Series 2012-2, Class B
• ‘A’ (sf) to Series 2012-2, Class C
• BBB (sf) to Series 2012-2, Class D

The existing Class E notes are not rated by DBRS. Class E notes are uncollateralised and funded the reserve account at closing of the transaction.

The Issuer has made a number of changes to the legal documentation that governs the transaction. Effective from 13 December 2012, the Dolphin transaction has merged the five asset purchasers (AP) into a single entity - Dolphin Asset Purchasing B.V. The transaction now includes a single Intercreditor (IC) Loan agreement between Dolphin and the AP. The transaction also now has a single basis swap, provided by ABN Amro Bank N.V., hedging the risk regarding a potential adverse variation between the interest rate received by the AP on the mortgage receivables and the interest payable by the AP on the IC Loan. In DBRS opinion, these changes do not impact the outstanding ratings of the transaction.

A further amendment has been to update the prospectus for Dolphin to reflect the changes in the transaction documents and align with the standards set by the recently formed Dutch Securitisation Association. As part of this revision, the prospectus has been updated and contains language that states DBRS is to provide a rating confirmation (the outstanding rating(s) will not be reduced or withdrawn as a result of the amendment) at every future instance of an amendment or material event in the transaction. The prospectus also contains language that if DBRS does not provide a rating confirmation within 30 days, it can be assumed that such a confirmation from DBRS has been received.

Notwithstanding the language in the documents, DBRS is not obliged or required to provide rating confirmation and that the issuance of a rating confirmation(s) remains entirely at the discretion of DBRS. Furthermore, DBRS may take more than 30 days, from the date of notification of an event, to assess the impact of the event on the ratings of the notes. The absence of a rating confirmation or any other communication by DBRS, with regard to a notified event, within 30 days should not be treated as a rating confirmation and DBRS reserves the right to take rating action, as a result of an amendment or event in the transaction, after this 30 day period.

The ratings are based upon DBRS review of the following analytical considerations:
• The transaction’s capital structure and the form and sufficiency of available credit enhancement. Relevant credit enhancement is 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.
• The transaction parties’ capabilities with respect to originations, underwriting, servicing and financial strength.
• 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 Euro 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 investor reports and revised documents provided by the issuer. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Lead Analyst: Kali Sirugudi
Rating Committee Chair: Mary Jane Potthoff
Initial Rating Date: 29 October 2009
Most Recent Rating Update: 28 September 2012