DBRS Assigns Provisional Ratings to Dolphin Master Issuer B.V., Series 2013-2 Notes

DBRS Ratings Limited (“DBRS”) has today assigned provisional ratings to the following notes of Series 2013-2 issued by Dolphin Master Issuer B.V. (“Dolphin”):

-- AAA (sf) to Series 2013-2, Class A

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

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 for the proposed issuance of the Class A, Series 2013-2 will be 8.10%, which is also the same for all other existing series of Class A notes under Dolphin. The credit enhancement for all the series of Class B notes is proposed to remain at 5.90%. The credit enhancement on Class C notes is proposed to remain at 3.30% and that for Class D at 1.30%.

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 can be found on www.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: 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 provisional ratings concern proposed issuance of new financial instruments and pertain only to the 2013-2 series of notes.

This is the first DBRS rating on these financial instruments.

For additional information on this rating, please see the linking document which is located at http://www.dbrs.com/research/261249/linking-document-dolphin-master-issuer-b-v-series-2013-2.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.