Press Release

DBRS Morningstar Discontinues Ratings on Dolphin Master Issuer B.V.

RMBS

September 30, 2022

DBRS Ratings GmbH (DBRS Morningstar) discontinued its ratings on the Series 2010-1, Class A3; Series 2010-1, Class A4; Series 2015-1, Class A4; Series 2015-3, Class A; Series 2016-1, Class A3; Series 2016-1, Class A4; Series 2017-1, Class B; and Series 2017-1 Class C notes (the Rated Notes) issued by Dolphin Master Issuer B.V. (the Issuer).

The discontinuations reflect the full repayment of the notes at the payment date on 28 September 2022. Prior to their repayment, the ratings and the outstanding principal balance of the Rated Notes were as follows:

-- Series 2010-1, Class A3 notes rated at AAA (sf) with an outstanding principal balance of EUR 1,000,000,000
-- Series 2010-1, Class A4 notes rated at AAA (sf) with an outstanding principal balance of EUR 1,000,000,000
-- Series 2015-1, Class A4 notes rated at AAA (sf) with an outstanding principal balance of EUR 1,279,000,000
-- Series 2015-3, Class A notes rated at AAA (sf) with an outstanding principal balance of EUR 500,000,000
-- Series 2016-1, Class A3 notes rated at AAA (sf) with an outstanding principal balance of EUR 2,000,000,000
-- Series 2016-1, Class A4 notes rated at AAA (sf) with an outstanding principal balance of EUR 1,678,500,000
-- Series 2017-1, Class B notes rated at AA (sf) with an outstanding principal balance of EUR 550,000,000
-- Series 2017-1, Class C notes rated at A (sf) with an outstanding principal balance of EUR 700,000,000

The transaction is a securitisation of prime Dutch mortgage loans originated by subsidiaries of ABN AMRO Bank N.V. (ABN AMRO).

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
DBRS Morningstar considers that the help-to-buy (HTB) scheme applicable to 23% of the outstanding portfolio is a relevant social factor (social impact of products and services) as outlined in the “DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings”. The HTB scheme is credit negative, but DBRS Morningstar does not consider this to be a significant social factor given the limited exposure to HTB loans in this transaction.

There were no Environmental/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings (17 May 2022).

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is the “Master European Structured Finance Surveillance Methodology” (19 May 2022).

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at: https://www.dbrsmorningstar.com/about/methodologies.

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

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrsmorningstar.com/research/401817/global-methodology-for-rating-sovereign-governments.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The sources of data and information used for these ratings include investor reports provided by ABN AMRO and a notification provided by the Issuer.

DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial ratings, DBRS Morningstar was supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS Morningstar considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

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

The last rating action on this transaction took place on 1 October 2021, when DBRS Morningstar confirmed its rating on the following notes:
-- Series 2010-1, Class A3; Series 2010-1, Class A4; Series 2015-1, Class A4; Series 2015-3, Class A; Series 2016-1, Class A3; and Series 2016-1, Class A4 notes at AAA (sf)
-- Series 2017-1, Class B notes at AA (sf)
-- Series 2017-1, Class C notes at A (sf)

On 1 October 2021, DBRS Morningstar also discontinued its AAA (sf) ratings of the Series 2015-1, Class A3 and Series 2016-1, Class A2 notes.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available on www.dbrsmorningstar.com.

As this is a discontinued-repaid rating action, sensitivity analysis is not applicable.

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml. DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage: https://www.fca.org.uk/firms/credit-rating-agencies.

These ratings are endorsed by DBRS Ratings Limited for use in United Kingdom.

Lead Analyst: Shalva Beshia, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 28 September 2007

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

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

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://www.dbrsmorningstar.com/research/278375.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.

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