EUR 1 billion of rated debt securities affected
London, 24 January 2011 -- Moody's Investors Service assigns provisional ratings to the following
class of notes issued by Dolphin Master Issuer B.V.:
.
(P) Aaa (sf) to Euro [1,000,000,000] Class A Notes
Series 2011-1 Due 2099
RATINGS RATIONALE
The ratings of the notes takes into account the credit quality of the
underlying mortgage loan pool, from which Moody's determined the
MILAN Aaa Credit Enhancement and the portfolio expected loss, as
well as the transaction structure and any legal considerations as assessed
in Moody's cash flow analysis. The expected portfolio loss of 0.75%
and the MILAN Aaa required credit enhancement of 7.9% serve
as input parameters for Moody's cash flow model, which is based
on a probabilistic lognormal distribution as described in the report "The
Lognormal Method Applied to ABS Analysis", published in September
2000.
Key drivers for the MILAN Aaa CE number, which is in line with other
prime Dutch RMBS transactions closed in late 2010, is the revolving
nature of the pool, the loan to foreclosure value distribution of
the pool (about 39% of the pool consists of loans with a loan to
foreclosure value of above 100%) and the portion of interest-only
loans without an additional repayment vehicle (about 56% of the
pool consists of interest-only loans without an additional repayment
vehicle). Another key characteristic of this transaction is that
approximately 18% of the portfolio is linked to life insurance
policies (life mortgage loans), which are exposed to set-off
risk in case an insurance company goes bankrupt. The seller was
not able to provide loan-by-loan insurance company counterparty
data.
The key drivers for the portfolio expected loss are the performance of
the seller's precedent transactions, benchmarking with comparable
transactions in the Dutch market and the current economic conditions in
the Netherlands in combination with historic recovery data of foreclosures
received from the seller. Moody's expects Dutch GDP to have
increased 1.8% in 2010 and anticipates robust growth of
1.4% in 2011. The rating agency believes that this
level of economic growth will support the labour market and that the annual
average unemployment rate will fall from 5.6% in 2010 to
5.3% in 2011. House prices increased in the first
three quarters of 2010 after having fallen in 2009. Moody's
believes that tightness in housing supply will help house prices remain
stable and as a result will help minimise potential losses on repossessed
properties, as described in Moody's report "Dutch RMBS Indices",
November 2010. The current level of arrears of 2.3%
of the outstanding pool balance has been taken into account in the portfolio's
expected loss assumption.
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.
The Dolphin Master Issuer program was established in 2007 and Moody's
rated the first series issued in 2007. The Dolphin Master Issuer
Series 2011-1 is a refinancing of a portion of the notes from the
Series 2010-I issuance. All notes are backed by pools of
prime Dutch residential mortgages originated by ABN AMRO Bank N.V.
(former Fortis Bank (Nederland) N.V.; "ABN AMRO",
Aa3/P-1), Direktbank N.V. ("DiBa", not
rated), Oosteroever Hypotheken B.V. ("Oosteroever",
not rated) and Quion 9 B.V. ("Quion 9", not rated).
At closing the total portfolio of the Dolphin Master Issuer consists of
approximately EUR 30 billion of loans.
In this master issuer structure, for each originators an asset purchasing
company (asset purchasers) has been set up. The originators sell
portfolios to their respective asset purchaser which receives inter-company
loans from the Dolphin Master Issuer, in order to finance the acquisition
of the residential mortgage loan portfolio. The master issuer in
turn will issue notes to investors. This structure is a two-tier
SPV structure, whereby tranching and reserve account (note specific
features) are structured at Issuer level and the excess spread (including
interest rate swap) remain at asset purchaser SPV level. The reserve
fund is funded at 0.90 per cent of the total class A, B,
C and D notes of all series outstanding and the total credit enhancement
for the Aaa rated notes is 7.90 per cent.
The V-Score for this transaction is Medium, which is higher
than the Low/Medium V-Score assigned for the Dutch prime RMBS sector.
This is due to the missing elements of information on the collateral provided
by the originators on a loan-by-loan basis and the relative
complexity of the transaction resulting from the master issuer nature,
which is more complex than the average Dutch stand alone transactions.
The V-score based on the sub-components resulted in numerical
score of 2.5, which is exactly on the border of a Low/Medium
and Medium score. A numerical score of 2.5 would lead to
a Low/Medium composite score according to Moody's methodology.
However, in Moody's view a score of Medium more appropriately reflects
the variability for this transaction.
V-Scores are a relative assessment of the quality of available
credit information and of the degree of dependence on various assumptions
used in determining the rating. High variability in key assumptions
could expose a rating to more likelihood of rating changes. The
V-Score has been assigned according to the report "V-Scores
and Parameter Sensitivities in the Major EMEA RMBS Sectors" published
in April 2009.
Moody's Parameter Sensitivities: If the portfolio expected loss
was increased to 2.25%, the model output indicates
that Class A would have achieved Aaa even if the MILAN Aaa CE was as high
as 12.7% assuming all other factors remained the same.
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.
The principal methodologies used in this rating were: The Lognormal
Method Applied to ABS Analysis published in September 2000, Moody's
Updated MILAN Methodology for Rating Dutch RMBS published in March 2009,
Moody's Updated Methodology for Set-Off in Dutch RMBS published
in September 2009 and Cash Flow Analysis in EMEA RMBS: Testing Structural
Features with the MARCO Model published in January 2006.
Moody's Investors Service received and took into account a third party
due diligence report on the underlying assets or financial instruments
in this transaction and the due diligence report had a neutral impact
on the rating.
REGULATORY DISCLOSURES
The rating has been disclosed to the rated entity or its designated agents
and issued with no amendment resulting from that disclosure.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, and confidential and proprietary Moody's Investors
Service information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of maintaining
a credit rating.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entity or its related third parties within the
three years preceding the Credit Rating Action. Please see the
ratings disclosure page www.moodys.com/disclosures on our
website for further information.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
London
Ming Zhou
Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
London
Annabel Schaafsma
Senior Vice President
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
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 provisional rating to one class of Dutch RMBS notes issued by Dolphin Master Issuer B.V.
