DBRS Assigns Final Ratings to Dolphin Master Issuer B.V., Series 2013-1 Notes

DBRS Ratings Limited (“DBRS”) has today assigned final ratings to the following notes of Series 2013-1 issued by Dolphin Master Issuer B.V. (“Dolphin”):

-- AAA (sf) to Series 2013-1, Class A1
-- AAA (sf) to Series 2013-1, Class A2

DBRS has today, also confirmed ratings to the following notes issued under previous series of Dolphin:

-- 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 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 Class E notes are not rated by DBRS. Class E notes are uncollateralised and fund the reserve account at closing of the transaction. An additional Series 2013-1 of Class E notes for an amount €60.30 million has been issued to increase the reserve fund and hence the credit enhancement on the rated notes.

DBRS has today, also discontinued the ratings to the following notes under Dolphin, which have been repaid by the issue of the latest series of notes:

-- Class A, Series 2008-1 and
-- Class A2, Series 2012-2

Dolphin Master Issuer B.V. (“Dolphin”) is a €50 billion, fully revolving continuous-issuance programme established in September 2007 and is backed by prime Dutch mortgage loans originated by subsidiaries of ABN AMRO Bank N.V. As of August 2013, the outstanding balance of collateralised notes is €30.14 billion.

The credit enhancement on the rated notes has been increased as shown below. However, the minimum credit enhancement on the rated notes, under the program, remains at the levels before the current increase. DBRS has stressed the cash flows of the Dolphin structure based on both the minimum and the higher level of credit enhancement for each class of rated notes. The credit enhancement has been increased issuance of a further tranche of Class E notes, Series 2013-1 for an amount of €60.30 million.

As a result of this further issuance of Class E notes, the credit enhancement for all the series of Class A notes have increased from 7.90% to 8.10%. The credit enhancement for all the series of Class B notes has increased from 5.70% to 5.90%. The credit enhancement on Class C notes has increased from 3.10% to 3.30% and that for Class D from 1.10% to 1.30%.

The mortgage portfolio conditions for purchase of new loans, related to loan to value ratios (LTV) have been changed. The LTV ratios will now be consider the market value of a property securing the loan instead of its foreclosure value. This change to the conditions for purchase of new loans is largely neutral on the credit assessment of the Dolphin mortgage portfolio.

A further amendement has been made to the transaction documents to include ABN Amro Hypotheken Grope B.V., MoneYou B.V. and WooNexxt B.V., which are subsidiaries of ABN Amro Bank N.V., as sellers under Dolphin.

The ratings are based upon DBRS 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.
• 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 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

These methodologies can be found on dbrs.com under Methodologies.

The sources of information used for this rating include: a loan level data file for the mortgage receivables, performance of loans since closing of the transaction and foreclosure data, all of which has been provided by the issuer. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality. The information provided to us was subjected to a reasonableness review but has not been verified.

The final ratings concern newly issued financial instruments and pertain only to the 2013-1 series of notes.

This is the first DBRS rating on these financial instruments.

The rating confirmations concern existing financial instruments issued in the past under the Dolphin programme.

For additional information on this rating, please see the linking document which is located at http://www.dbrs.com/research/261157/dolphin-master-issuer-b-v-series-2013-1.pdf.

For further information on DBRS’s 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.

Lead Analyst: Kali Sirugudi
Rating Committee Chair: Erin Stafford
Initial Rating Date: 29 September 2010
Most Recent Rating Update: 19 December 2012
Lead Surveillance Analyst: Keith Gorman

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