DBRS Takes Rating Actions on Dolphin Master Issuer B.V.

DBRS Ratings Limited (DBRS) assigned ratings to the Series 2017-1 Notes issued by Dolphin Master Issuer B.V. (Dolphin or the Issuer) as follows:

-- EUR 550,000,000 Class B Notes rated AA (sf)
-- EUR 700,000,000 Class C Notes rated A (sf)

On the September 2017 Interest Payment Date, the current interest margins on the notes below were due to step-up. These notes have been fully redeemed, and consequently, DBRS has discontinued their ratings:

-- Series 2012-2, Class A1 Notes
-- Series 2012-2, Class A5 Notes
-- Series 2012-2, Class A6 Notes
-- Series 2012-2, Class A7 Notes
-- Series 2012-2, Class B Notes
-- Series 2012-2, Class C Notes

The redemption and issuance of the various notes have resulted in a decrease of credit enhancement available to all notes currently outstanding. DBRS has reviewed these changes and confirmed the ratings on the existing notes:

-- Series 2010-1, Class A3 Notes confirmed at AAA (sf)
-- Series 2010-1, Class A4 Notes confirmed at AAA (sf)
-- Series 2013-1, Class A2 Notes confirmed at AAA (sf)
-- Series 2013-2, Class A Notes confirmed at AAA (sf)
-- Series 2014-1, Class A Notes confirmed at AAA (sf)
-- Series 2014-2, Class A Notes confirmed at AAA (sf)
-- Series 2014-3, Class A Notes confirmed at AAA (sf)
-- Series 2015-1, Class A1 Notes confirmed at AAA (sf)
-- Series 2015-1, Class A2 Notes confirmed at AAA (sf)
-- Series 2015-1, Class A3 Notes confirmed at AAA (sf)
-- Series 2015-1, Class A4 Notes confirmed at AAA (sf)
-- Series 2015-3, Class A Notes confirmed at AAA (sf)
-- Series 2016-1, Class A1 Notes confirmed at AAA (sf)
-- Series 2016-1, Class A2 Notes confirmed at AAA (sf)
-- Series 2016-1, Class A3 Notes confirmed at AAA (sf)
-- Series 2016-1, Class A4 Notes confirmed at AAA (sf)

The credit enhancement for the Class A Notes of all series, including the new notes issued, will be 7.91%; 5.81% for the outstanding Class B Notes; and 3.14% for the outstanding Class C Notes.

Dolphin is a EUR 50 billion fully revolving continuous-issuance program established in September 2007 backed by prime Dutch mortgage loans originated by subsidiaries of ABN AMRO Bank N.V. (rated A (high) with a Stable trend by DBRS). The outstanding balance of the collateralised notes is EUR 26.23 billion.

The basis swap included in the transaction structure mitigates the basis risk as well as the risk of possible shortfalls in revenue receipts to meet interest payments on the rated notes.

DBRS based the ratings primarily on the following:

-- The transaction capital structure, form and sufficiency of available credit enhancement and liquidity provisions.
-- The credit quality of the mortgage loan portfolio and the ability of the servicer to perform collection activities. DBRS calculated stressed portfolio default rates (PDRs) and loss given default (LGD) and expected loss (EL) outputs on the mortgage loan portfolio based on the conditions to be satisfied for the purchase of new loans by the asset purchaser during the revolving period of the transaction.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay the rated notes according to the terms of the transaction documents. The transaction cash flows were modelled using PDRs and LGD outputs provided by the European RMBS Insight Model. Transaction cash flows were modelled using INTEX Calc.
-- The structural mitigants in place to avoid potential payment disruptions caused by operational risk, such as downgrades and replacement language in the transaction documents.
-- The transaction’s ability to withstand stressed cash flow assumptions and repay investors in accordance with the terms and conditions of the notes.
-- The legal structure and presence of legal opinions addressing the assignment of the assets to the Issuer and consistency with DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodologies applicable to the ratings are “European RMBS Insight Methodology” and “European RMBS Insight: Dutch Addendum.”

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the surveillance section of 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 is continues to be based on the worst-case replenishment criteria set forth in the transaction legal documents.

In DBRS’s opinion, a discontinued-repaid rating action does not warrant the application of the entire principal methodology, as the bonds have been repaid in full.

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 DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of data and information used for this rating include investor reports on the transaction and the pool statistics provided by ABN AMRO Bank N.V. and its agents.

DBRS did not rely upon third-party due diligence in order to conduct its analysis. 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 this rating to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

These ratings assigned to the Series 2017-1, Class B and Class C Notes concern newly issued financial instruments. This is the first DBRS rating on this financial instrument.

The last rating action on this transaction took place on 19 May 2017, when the ratings on the notes were confirmed following the publication of DBRS’s “European RMBS Insight: Dutch Addendum” on 24 April 2017.

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 in addition to its base case, further stress scenarios for its main rating parameters PDRs and LGD in its cash flow analysis. The additional stresses assume a 25% and 50% increase in both the PDRs and LGD assumptions for each series of notes.

The following scenarios constitute the parameters used to determine the ratings (the Base Case):

-- In respect of the Class A Notes, the PDR and LGD at the AAA (sf) stress scenario of 22.69% and 31.62%
-- In respect of the Class B Notes, the PD and LGD at the AA (sf) stress scenario of 19.41% and 27.18%
-- In respect of the Class C Notes, the PD and LGD at the A (sf) stress scenario of 15.73% and 22.89%

DBRS concludes the following impact on the Class A Notes:
-- 25% increase of the PD, ceteris paribus would lead to maintaining the ratings at AA (sf).
-- 50% increase of the PD, ceteris paribus would lead to a downgrade to A (high) (sf).
-- 25% increase of the LGD, ceteris paribus would lead to a downgrade to AA (sf).
-- 50% increase of the LGD, ceteris paribus would lead to a downgrade to A (high) (sf).
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus would lead to a downgrade to A (high) (sf).
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus would lead to a downgrade to A (low) (sf).
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus would lead to a downgrade to A (low) (sf).
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus would lead to a downgrade to BBB (high) (sf).

DBRS concludes the following impact on the Class B Notes:
-- 25% increase of the PD, ceteris paribus would lead to a downgrade to A (high) (sf).
-- 50% increase of the PD, ceteris paribus would lead to a downgrade to BBB (high) (sf).
-- 25% increase of the LGD, ceteris paribus would lead to a downgrade to A (high) (sf).
-- 50% increase of the LGD, ceteris paribus would lead to a downgrade to BBB (high) (sf).
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus would lead to a downgrade to BBB (high) (sf).
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus would lead to a downgrade to BBB (sf).
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus would lead to a downgrade to BBB (sf).
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus would lead to a downgrade to BB (high) (sf).

DBRS concludes the following impact on the Class C Notes:
-- 25% increase of the PD, ceteris paribus would lead to a downgrade to BBB (high) (sf).
-- 50% increase of the PD, ceteris paribus would lead to a downgrade to BBB (low) (sf).
-- 25% increase of the LGD, ceteris paribus would lead to a downgrade to BBB (high) (sf).
-- 50% increase of the LGD, ceteris paribus would lead to a downgrade to BBB (low) (sf).
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus would lead to a downgrade to BBB (low) (sf).
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus would lead to a downgrade to BB (high) (sf).
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus would lead to a downgrade to BB (high) (sf).
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus would lead to a downgrade to BB (low) (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.

The lead analyst responsibilities for this transaction have been transferred to Rehanna Sameja.

Lead Analyst: Rehanna Sameja, Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 29 October 2009

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

-- European RMBS Insight Methodology
-- European RMBS Insight: Dutch Addendum
-- Unified Interest Rate Model for European Securitisations
-- Legal Criteria for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology
-- 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