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Rating Action:

Moody's assigns a definitive rating to RMBS notes issued by Dolphin Master Issuer B.V. Series 2015-3

29 Dec 2015

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
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND ITS RATINGS AFFILIATES (“MIS”) ARE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MOODY’S PUBLICATIONS MAY INCLUDE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS AND MOODY’S OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. CREDIT RATINGS AND MOODY’S PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. NEITHER CREDIT RATINGS NOR MOODY’S PUBLICATIONS COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS AND PUBLISHES MOODY’S PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any rating, agreed to pay to Moody’s Investors Service, Inc. for ratings opinions and services rendered by it fees ranging from $1,000 to approximately $2,700,000. MCO and MIS also maintain policies and procedures to address the independence of MIS’s ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”

Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.

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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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