London, 29 December 2015 -- Moody's Investors Service has today assigned a definitive credit rating
to the following class of notes issued by Dolphin Master Issuer B.V.
Series 2015-3:
....EUR 500M Class A Series 2015-3
Notes due September 2099, Definitive Rating Assigned Aaa (sf)
The Class A Series 2015-3 note is a refinancing of the Class A
Series 2011-1 issuance. In addition, Moody's has affirmed
the rating of the existing Class A, B and C notes issued by Dolphin
Master Issuer B.V.
The notes are backed by mortgage loans that have been originated by ABN
AMRO Bank N.V. (former Fortis Bank (Nederland) N.V.;
"ABN AMRO", A2/P-1) and by subsidiaries of ABN AMRO,
i.e. by ABN AMRO Hypotheken Groep B.V. ("AAHG",
not rated), Oosteroever Hypotheken N.V. ("Oosteroever",
not rated), Quion 9 B.V. ("Quion 9", not rated)
and MoneYou B.V. ("MoneYou", not rated). The
total portfolio size of the Dolphin Master Issuer program is approx.
EUR 30.1 billion as of December 2015.
In this master issuer structure the sellers/originators sell mortgage
loans to the asset purchaser which in turn receives an inter-company
loan from the Dolphin Master Issuer to finance the acquisition of the
mortgage loans. The master issuer issues notes which are denominated
in Euro. The structure is a two-tier SPV structure,
whereby tranching (note specific features) is structured at issuer SPV
level and the excess spread (including interest rate swap) is structured
at asset purchaser SPV level.
RATINGS RATIONALE
The ratings of the notes take into account the credit quality of the underlying
mortgage loan pool, from which Moody's determined the MILAN Credit
Enhancement (CE) of 9.0% and portfolio expected loss of
1.0%.
The key drivers for the MILAN CE which is in line with other recently
closed prime Dutch RMBS transactions, are (i) the revolving nature
of the pool, (ii) the weighted average loan-to-market-value
(LTMV) of 73.8% and (iii) the proportion of interest-only
loan parts (54.9%).
The key drivers for the portfolio expected loss are (i) the performance
of the seller's precedent transactions, (ii) benchmarking with comparable
RMBS transactions in the Dutch market, and (iii) the current macro
economic conditions in the Netherlands.
The substitution criteria allow for an increase of mortgage loans in the
pool that are linked to life insurance policies (life mortgage loans)
up to 25% of the pool (the current proportion is 20.5%
including hybrid loans), which are exposed to the risk of set-off
if an insurance company should go bankrupt. For the majority of
the pool, the servicers have not provided loan-by-loan
insurance company counterparty data. The total amount of life mortgage
loan exposure as well as the distribution of insurance counterparties
might change over time because of the revolving nature of the transaction.
Moody's has addressed this in the cash flow analysis by assuming a stressed
proportion of life mortgage loans and a stressed distribution of life
insurance companies.
Liquidity risk analysis: A non-amortizing reserve account
fully funded at 1.1% of all outstanding notes (other than
the Class E notes) is in place. Credit enhancement is also provided
through excess spread at the asset purchaser level and subordination of
junior notes at the issuer level. Excess spread of 50 bps at the
asset purchaser level is available through the interest rate swap provided
by ABN AMRO. The subordination for the Class A notes is 9.1%
including the reserve fund.
Liquidity is provided by the interest rate swap at the asset purchaser
level. Under the swap agreement the asset purchaser pays actual
interest received (minus expenses and the excess margin) and receives
the interest payable on the inter-company loan to the issuer.
Should the asset purchaser receive no interest at all, the swap
would still pay the interest due on the inter-company loan and
thus effectively the interest due on the notes. Moody's views this
feature as a strength to the transaction. However given that ABN
AMRO is the originator and the interest rate swap counterparty Moody's
is of the opinion that this introduces a high degree of linkage between
the swap and the transaction. Although the swap documentation is
in compliance with Moody's published hedge de-linkage criteria,
this swap is less standard than a swap typically seen in Dutch RMBS transactions,
which makes it more difficult to transfer it to a third party swap counterparty
if needed. Moody's describes additional factors that may affect
the rating in "Approach to Assessing Linkage to Swap Counterparties in
Structured Finance Cashflow Transactions" published on 12 November 2013.
Operational risk analysis: AAHG, a wholly owned subsidiary
of ABN AMRO acts as servicer and cash manager on asset purchaser and on
issuer level. No back-up servicing or backup cash management
arrangements are in place. Given that ABN AMRO is rated A2,
the current operational arrangement is in line with the ratings assigned
to the notes under Moody's operational risk guidelines.
Moody's Parameter Sensitivities: If the MILAN CE was increased from
9.0% to 14.4% and the portfolio expected loss
was increased from 1.0% to 3.0%, the
Class A notes would no longer achieve Aaa but Aa2, assuming that
all other factors remain equal. Moody's Parameter Sensitivities
provide a quantitative/model-indicated calculation of the number
of rating notches that a Moody's structured finance security may vary
if certain input parameters used in the initial rating process differed.
The analysis assumes that the deal has not aged and is not intended to
measure how the rating of the security might migrate over time,
but rather how the initial rating of the security might have differed
if key rating input parameters were varied. Parameter Sensitivities
for the typical EMEA RMBS transaction are calculated by stressing key
variable inputs in Moody's primary rating model.
Principal Methodology:
The principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework" published in January 2015.
Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.
The analysis undertaken by Moody's at the initial assignment of
ratings for RMBS securities may focus on aspects that become less relevant
or typically remain unchanged during the surveillance stage. Please
see Moody's Approach to Rating RMBS Using the MILAN Framework for
further information on Moody's analysis at the initial rating assignment
and the on-going surveillance in RMBS.
The rating addresses the expected loss posed to investors by the legal
final maturity of the notes. In Moody's opinion, the structure
allows for timely payment of interest and principal with respect of the
notes by the legal final maturity.
Moody's ratings only address the credit risk associated with the transaction.
Other non-credit risks have not been addressed, but may have
a significant effect on yield to investors.
Factors that would lead to an upgrade or downgrade of the ratings:
Factors that could lead to an upgrade of the notes is better-than-expected
collateral performance. Factors that could lead to a downgrade
of the notes are worse-than-expected collateral performance,
a deterioration of the credit quality of ABN AMRO who performs multiple
roles in the transaction and change in the portfolio characteristics due
to substitution beyond the stressed assumptions that were modelled.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
The analysis relies on an assessment of collateral characteristics to
determine the collateral loss distribution, that is, the function
that correlates to an assumption about the likelihood of occurrence to
each level of possible losses in the collateral. As a second step,
Moody's evaluates each possible collateral loss scenario using a
model that replicates the relevant structural features to derive payments
and therefore the ultimate potential losses for each rated instrument.
The loss a rated instrument incurs in each collateral loss scenario,
weighted by assumptions about the likelihood of events in that scenario
occurring, results in the expected loss of the rated instrument.
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides certain regulatory disclosures in relation
to the credit rating action on the support provider and in relation to
each particular credit rating action for securities that derive their
credit ratings from the support provider's credit rating.
For provisional ratings, this announcement provides certain regulatory
disclosures in relation to the provisional rating assigned, and
in relation to a definitive rating that may be assigned subsequent to
the final issuance of the debt, in each case where the transaction
structure and terms have not changed prior to the assignment of the definitive
rating in a manner that would have affected the rating. For further
information please see the ratings tab on the issuer/entity page for the
respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this credit rating action,
and whose ratings may change as a result of this credit rating action,
the associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Jeroen Heijdeman
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Olga Gekht
VP - Sr Credit Officer/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Releasing Office:
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's assigns a definitive rating to RMBS notes issued by Dolphin Master Issuer B.V. Series 2015-3
