Dolphin Master Issuer B.V., Series

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1 Rating Report Dolphin Master Issuer B.V., Series Rehanna Sameja Vice President Global Structured Finance Asim Zaman Vice President Global Structured Finance Vito Natale, CFA, FRM Senior Vice President Global Structured Finance Christian Aufsatz Managing Director Global Structured Finance Ratings and Issuer s Assets and Liabilities Debt Outstanding Balance (EUR) Size 1 Credit Enhancement 2 Coupon Step-Up Coupon Rating Rating Action Class B 550,000, % 5.81% 3M Euribor % 3M Euribor % AA (sf) New Rating Class C 700,000, % 3.14% 3M Euribor % 3M Euribor % A (sf) New Rating Notes: 1 Credit enhancement consists of subordination of the Class B, C and D Notes and the reserve account funded by the Class E Notes. 2 Please see the complete capital structure under Appendix B. On 28 September 2017, DBRS Ratings Limited (DBRS) assigned new ratings of AA (sf ) to the Series , Class B notes and A (sf ) to the Series , Class C notes issued by Dolphin Master Issuer B.V. (the Issuer). The newly issued notes partially refinance the notes being called at their step-up dates, with the remainder reducing the size of the trust. The credit enhancement (CE) for the Class A notes has been reduced to 7.91% from 9.10%. The Class B notes are currently supported by 5.81% CE from 6.90% from before, and the Class C notes are currently supported by 3.14% of CE from 4.30% before. The Class D and Class E notes are not rated by DBRS. The Class E notes are not collateralised and fund the Reserve Account. Dolphin is a EUR 50 billion (previously EUR 100 billion), fully revolving continuous-issuance programme established in August 2007 and backed by prime Dutch mortgage loans originated by ABN AMRO Bank N.V. (ABN AMRO) and its subsidiaries. The outstanding balance of the collateralised notes is EUR billion with an additional EUR 250 million of Class E notes that fund the Reserve Account. Portfolio Summary (As at July 2017) Gross Current Balance* EUR 30,140,348,338 Asset Class RMBS Current Balance (Net of Savings Deposits)) EUR 30,134,100,158 Construction Deposits EUR 6,248,180 Governing Jurisdiction Kingdom of the Netherlands Number of Loans 167,668 Sovereign Rating AAA/R-1 (high)/stable Weighted-Average Coupon 3.7% Weighted-Average Current Indexed Loan-to-Market Value 72.2% Weighted-Average Seasoning (Months) *On 28 September 2017, the Seller will repurchase loans with an outstanding balance of EUR 3,813,836,798, thereby reducing the size of the portfolio.

2 Rating Report Dolphin Master Issuer B.V., Series DBRS.COM 2 Table of Contents Ratings and Issuer s Assets and Liabilities 1 Rating Considerations 3 Origination and Servicing 4 Transaction Structure 7 Collateral Summary 13 Transaction Parties Issuer Security Trustee Issuer Administrator/ Asset Purchaser Administrator/ Servicer Dolphin Master Issuer B.V. Stichting Security Trustee Dolphin ABN AMRO Hypotheken Groep B.V. Retention Holder ABN AMRO Bank N.V. A (high)/r-1 (middle)/cor: AA/R-1 (high) Rating Analysis 14 Appendix A 17 Appendix B Capital Structure 18 Originator/Seller ABN AMRO Bank N.V. ABN AMRO Hypotheken Groep B.V. Oosteroever Hypotheken B.V. Quion 9 B.V. MoneYou B.V. A (high)/r-1 (middle)/cor: AA/R-1 (high) NR NR NR NR Servicers ABN AMRO Hypotheken Groep B.V. Stater Nederland B.V. Quion Groep B.V. Special Servicing Lindorff B.V. Collection Account Bank ABN AMRO Bank N.V. Coöperatieve Rabobank U.A. A (high)/r-1 (middle)/cor: AA/R-1 (high) AA/R-1 (high)/stable GIC Provider ABN AMRO Bank N.V. A (high)/r-1 (middle)/cor: AA/R-1 (high) Swap Counterparty ABN AMRO Bank N.V. A (high)/r-1 (middle)/cor: AA/R-1 (high) 403 Guarantor ABN AMRO Bank N.V. A (high)/r-1 (middle)/cor: AA/R-1 (high) Principal Paying Agent BNP Paribas Securities Services DBRS Private Rating Paying Agent ABN AMRO Bank N.V. A (high)/r-1 (middle)/cor: AA/R-1 (high) Relevant Dates Trust Closing Date 21 August 2007 Series Issue Date 28 September 2017 Next Payment Date 28 December 2017 Payment Frequency Quarterly Legal Final Maturity Date 28 September 2099

3 Rating Report Dolphin Master Issuer B.V., Series DBRS.COM 3 Rating Considerations The principal methodologies applied to assign the ratings to the above-referenced transaction are the European RMBS Insight Methodology, European RMBS Insight: Dutch Addendum and Rating European Consumer and Commercial Asset-Backed Securitisations. The ratings assigned to the Class B and Class C notes address timely payment of interest and ultimate payment of principal. Notable Features The structure is a fully revolving, continuous-issuance Master Trust. The redemption profile of the Notes is soft-bullet or pass-through notes that amortise sequentially. Redemption only occurs if subordination levels for the more senior notes are sufficient. Currently, all outstanding notes are soft bullet. The programme has a two-tier structure in which notes are issued by Dolphin to finance intercompany loans (IC Loans) to the Asset Purchaser under the IC Loan Agreement, which will be used to purchase the mortgage receivables from different Sellers. Strengths The Class A notes benefit from a minimum CE of 7.91% from subordination of the Class B, C and D notes; the reserve fund; and excess spread. The Class B notes benefit from a minimum CE of 5.81% from subordination of the Class C and D notes, the reserve fund and excess spread. The Class C notes benefit from a minimum CE of 3.14% from subordination of the Class D notes, the reserve fund and excess spread. The performance of the trust to date is within DBRS expectations, with current arrears greater than three months at 0.30% as at June The cumulative foreclosed loans stand at 1.85%, and the net cumulative losses are at 0.52%. Challenges and Mitigating Factors The trust is subject to reinvestment risk because of the revolving structure of the programme. Mitigant: The programme incorporates purchase conditions for the addition of new collateral. This limits the change to the credit risk profile of the mortgage portfolio. Effective 29 September 2014, some of the conditions for the purchase of new loans were tightened. DBRS has stressed the default expectations and estimation of loss given default (LGD) to account for the possible deterioration of credit quality of the portfolio based on the purchase conditions. The transaction has a number of products that have potential exposure to set-off risk. Mitigant: This risk is mitigated by sub-participation and by available CE and structural features that provide protection against potential set-off claims. The transaction has counterparty exposure to the originators, servicers, account bank and swap provider. Mitigant: DBRS believes the nature of the servicing and banking agreements to be standard and replaceable. In addition, the derivative agreements incorporate collateralisation and replacement and guarantor criteria as a cure for the downgrade of the swap counterparty, which is in line with DBRS swap criteria.

4 Rating Report Dolphin Master Issuer B.V., Series DBRS.COM 4 Origination and Servicing DBRS last conducted a review of ABN AMRO Hypotheken Groep B.V. s (AAHG) Dutch mortgage operations in August 2013 in Amersfoort, Netherlands. DBRS considers the origination and servicing practices observed at AAHG to be consistent with the overall Dutch mortgage market. AAHG is a wholly owned subsidiary of ABN AMRO Group N.V. (rated A with a Stable trend by DBRS) and the Dutch state-acquired ownership of the Dutch activities of ABN AMRO Holding N.V. and Fortis Bank (Nederland) N.V. (Fortis Bank Nederland) in ABN AMRO and Fortis Bank Nederland legally merged in 2010 to form the current ABN AMRO. AAHG was founded in January 2006 and commenced with the residential mortgage activity of Bouwfonds Hypotheken; the residential mortgage activity of ABN AMRO was subsequently added in AAHG offers a wide range of mortgage products and services to its clients. As at the end of June 2013, AAHG s outstanding Dutch mortgage portfolio totalled EUR 152 million, with interest-only (IO; 58%) and savings mortgages (17%) comprising the bulk of the portfolio. Life, investment, hybrid, linear and annuity loans make up the remainder of the portfolio. NHG loans total approximately EUR 36 million and represent 23% of the total portfolio. There have been 26 stand-alone transactions and several issuances from five Master Issuer programmes (Goldfish/Fishbowl/ Dolphin/Oceanarium/Beluga), with mortgages originated by former Fortis Bank Nederland and ABN AMRO. Currently, all five Master Issuers have transactions outstanding, and one stand-alone transaction is outstanding. Origination & Underwriting Origination and Sourcing AAHG is a provider of financial services in the Netherlands through the following labels: AAB, Florious, MoneYou B.V. and MNF. The majority of the mortgages underwritten by AAHG are to borrowers who are either salaried employees or self-employed, and both must prove their stated income by employer declarations and pay slips or by audited annual accounts. Potential borrowers are also screened using several databases, including both fraud and credit data; this software used by the underwriters also integrates the acceptance procedure with insurance policy and investment account forecasting. All mortgaged properties are valued by independent appraisers with recognised qualifications that are affiliated with specific property-related associations. Direktbank was founded in 1983 as a label through which loans are originated by AAHG and is a wholly owned subsidiary of ABN AMRO. Direktbank sells customised mortgage loans in the Dutch market through qualified professional intermediaries. Direktbank uses procedures similar to AAHG in terms of underwriting and servicing mortgage loans. Loans originated through the Direktbank arm come through ASR or Direktbank s own private or white labels. Oosteroever Hypotheken B.V. (Oosteroever) and Quion 9 B.V. (Quion 9) are private labels, whereas REAAL (via Alkmaar) is a white label. All of the mortgages originated by Oosteroever and Quion 9 are offered through registered intermediaries. The servicing for both originators is outsourced to subsidiaries of Quion Groep B.V. All of the mortgages originated by AAHG, whether through Florious, AAB, Direktbank, Oosteroever or Quion 9, are recorded electronically in a customised system that is backed up continually in several locations. The retrieval of such data is also possible from these off-site locations should the primary server be made unavailable. Underwriting Process The credit process at AAHG is consistent across the whole branch network and follows guidelines outlined by the head office in Amersfoort. All underwriting guidelines and internal credit policies are set by the appropriate business unit and approved by the board, with ongoing monitoring through credit risk management as well as ABN AMRO s internal audit group. All applicants are run through the bank s internal credit scoring model, which includes data from the national credit bureau (BKR) and fraud registry. The credit scoring system includes auto-decisioning functionality; only 5% of new production is approved automatically. While this rate is very low, it is viewed positively as the bank recently migrated to a new credit scoring system. All documents supporting the credit decision are reviewed manually and are distributed electronically to the responsible party.

5 Rating Report Dolphin Master Issuer B.V., Series DBRS.COM 5 AAHG sells a proportion of its mortgage products through intermediaries. These intermediaries are responsible for identification and advice. They advise their customers on the basis of an assessment of client wishes, financial possibilities (e.g., income) and risk appetite (if applicable). Apart from that, AAHG key documentation requirements include the following: Customer data Extract of credit register (BKR) and fraud register (SFH) Recent pay slip Employment contract Affordability calculation Banking details for direct debit Proof of residence (land registry and deed) Self-Employed: Income: Average net profit of last three years with maximum most-recent year, an IB60 form (formal income statement provided by the Dutch tax authorities) and at least three tax returns are required. Property Related: Appraisal Report and/or Property tax assessment and/or Building and purchase contract In the underwriting process, three key aspects are reviewed: (1) the applicant (credit history, employment, etc.); (2) borrower income; and (3) property. AAHG s underwriting criteria are consistent with the Code of Conduct. Within the Code of Conduct, AAHG is allowed to deviate on an individual basis with respect to maximum borrowing capacity. These mortgage loans contain extensive documentation and are to be flagged as explain mortgage loans. The credit history of all applicants is checked with the BKR and the SFH. Applicants are required to provide proof of employment and salary information. Self-employed applicants are required to provide three years of annual accounts, a copy of the certificate of the chamber of commerce, a formal income statement provided by the Dutch tax authorities and at least three tax returns. The ratio of the loan balance to the income of the applicant is an important measure to determine affordability of the loan. AAHG has historically not granted a loan to an applicant with a loan-to-foreclosure value that exceeds 130% now 105% of the market value of the property. Valuations Three types of valuation reports are acceptable in the underwriting process of the Seller to determine the value of a property: 1. A valuation by a qualified Dutch appraiser (Appraisal Report); 2. A valuation by the Dutch tax authorities in the context of the Valuation of Immovable Property Act (WOZ Value Statement); and 3. A building and purchase agreement (Building and Purchase Agreement) in the context of newly built properties. The types of valuation reports described above are generally acceptable as part of the standard market practice by financial institutions originating mortgage loans in the Netherlands. WOZ Value Statements are independent desktop valuations arranged by the municipalities, which serve as a basis to calculate property tax. Building and Purchase Agreements are legal agreements between borrowers and property developers, which have consideration over the sale of new-build properties. Summary Strengths Major Dutch originator with 24% market share, active residential mortgage-backed securities (RMBS) issuer and parental support through group with strong global brand. Sound risk management regime and robust credit scoring models, including behavioural scoring functionality. Increased focus on fraud detection with more applications being referred for review, although the number of actual fraud cases has remained consistent with previous years.

6 Rating Report Dolphin Master Issuer B.V., Series DBRS.COM 6 Summary Weaknesses Heavy reliance on brokers and intermediaries for sourcing new originations. Mitigant: Products linking savings accounts and annuities to mortgage loans increase borrower capacity to repay capital upon maturity. The Dutch government continues to reduce the maximum LTV level to reach 100% by 2018 (currently 102%). AAHG, like the wider Dutch market, benefits from historically low default rates. High LTV loans. Mitigant: Products linking savings accounts and annuities to mortgage loans increase borrower capacity to repay capital upon maturity. The Dutch government continues to reduce the maximum LTV level to reach 100% by 2018 (currently 102%). Servicing All servicing is performed internally at AAHG, either through subsidiaries, Stater Nederland B.V. or HypoCasso B.V., with limited outsourcing associated exclusively with particular origination labels (i.e., Quion 9 or Oosteroever, which is serviced by Quion Groep B.V.). The majority of mortgage payments are collected by direct debit. If the account of the borrower has insufficient funds to make the necessary payment, the direct debit claim is resubmitted. If the direct debit fails again, notification letters are sent to the borrower. These notification letters will be resent multiple times until the funds are received or the account is passed to arrears management. The timelines for arrears management differs slightly among originators. Continuous attempts to contact delinquent borrowers include personal visits. If the delinquent borrower fails to recover in several months, then the loans are considered in default and foreclosure proceedings are initiated. Once a loan is 90 days past due, a pre-cancellation letter is issued informing the borrower of the lender s right to begin foreclosure and to notify BRK of the arrears and pending default. At any time during the arrears management process, AAHG may try to obtain an assignment of earnings in preparation for initiating enforcement action. Court-appointed notaries are responsible for executing the sales (voluntary or forced/auction). The enforcement process in the Netherlands is highly efficient and creditor friendly, resulting in the shortest recovery timelines in Europe, although the timelines are increasing. Approximately 75% of assets are sold via private sale, and the servicer aims to arrange a managed private sale of the property to avoid an auction. Summary Strengths Historically low arrears and default levels with high self-cure rate. Captive servicer for AAHG-originated products, resulting in strong working relationship between lending and servicing operations. Strong securitisation-reporting experience and capabilities as one of the most active RMBS issuers in the Netherlands. Summary Weaknesses N/A. Opinion on Backup Servicer: There is no backup servicer on AAHG s RMBS transactions. DBRS believes that AAHG s current financial condition mitigates the risk of a potential disruption in servicing caused by a servicer event of default, particularly insolvency.

7 Rating Report Dolphin Master Issuer B.V., Series DBRS.COM 7 Transaction Structure The transaction structure is summarised below: Structural Features Asset Purchase Account Bank The Asset Purchaser entered into a guaranteed investment contract (GIC) with the account bank (ABN AMRO) upon closing. ABN AMRO will pay a re-investment amount on the balance outstanding on the Asset Purchaser Collection Account and the construction account to the credit of these accounts. Asset Interest Rate Swap The mortgage loans bear a fixed rate of interest, which is reset periodically in accordance with the terms of the mortgage loan. The majority of the Notes and, consequently the IC Loan, bears floating-rate interest. In order to hedge this interest rate exposure, the Asset Purchaser has entered into a swap agreement with ABN AMRO. The notional under the cash flow swap is defined as the principal amount outstanding under the IC Loan minus any IC Loan Principal Deficiency Ledger (PDL). The interest on the mortgage loans payable under the cash flow swap by the Asset Purchaser is defined as actual interest received by the Asset Purchaser. As a result, the swap counterparty is implicitly acting as a liquidity provider, as it is covering the interest shortfall caused by delinquent loans. In addition, the asset swap counterparty pays the interest due on the Class E notes, which are not specifically backed by the collateral pool. Although the rating of the guarantor of the swap counterparties is acceptable under DBRS criteria, DBRS considers this arrangement to be non-standard and potentially more difficult to replace in the event of swap counterparty insolvency than a more standard swap. Cross-currency risk for the Notes issued outside of euros is hedged through a currency swap with the Currency Swap Counterparty. The Currency Swap Counterparty will make payments of interest and principal as outlined in the Final Terms of each Note in the stated currencies. The currency swaps are considered to be balance guaranteed swaps in that the counterparty

8 Rating Report Dolphin Master Issuer B.V., Series DBRS.COM 8 will accept proceeds from the investor at the closing in the relevant currency at the spot rate for the notional balance of the Notes, make interest payments in the relevant currency at the initial spot rate over the term of the Notes and repay the investor the initial amount of proceeds received at the respective call date. Reserve Fund The Issuer Reserve Account is fully funded through the issuance of the Class E notes and is available to support payments to senior fees, interest on the Class A to E notes and cover any losses recorded on the Class A to D note PDLs. The Issuer Reserve Account is split into two further ledgers: the reserved and unreserved ledgers. The reserve ledger records any amounts required to make good any shortfall on the Issuer PDL. The unreserved ledger is sized to total the amount of Class E notes outstanding and is topped up following payment of interest on the Class E notes in the Issuer Revenue Priority of Payments. Trapping of Excess Spread The deferred purchase price subordinated loan mechanism allows for the Asset Purchaser to benefit from the available excess spread for the transaction. Issuance Test In accordance with the fully revolving continuous nature of the programme, the Issuer may issue new series and classes of notes from time to time. To do so, the Issuer must satisfy all criteria set out in the Issuance Tests: No event of default shall have occurred that is continuing or will occur as a consequence of such issuance. No debit balance on the Issuer PDL. No Enforcement Notice has been severed on the Issuer by the Security Trustee. No seller or guarantor is in insolvency. Sufficient subordination is provided for the new series and the already-outstanding notes to maintain the ratings of the outstanding notes. The swap counterparty consents to such issue of notes.

9 Rating Report Dolphin Master Issuer B.V., Series DBRS.COM 9 Interest Cash Flow Summary

10 Rating Report Dolphin Master Issuer B.V., Series DBRS.COM 10 Principal Cash Flow Summary Effective 29 September 2014, the pro rata conditions on repayment of principal on the Notes have been removed. The removal of this feature is positive as the sequential paydown of the Notes principal will allow the CE on the Notes to grow over time.

11 Rating Report Dolphin Master Issuer B.V., Series DBRS.COM 11 Transaction Accounts Issuer Collection Account The Issuer Collection Account is maintained with the Issuer GIC Provider (ABN AMRO). To this account, all amounts of interest, costs and principal received under the IC Loan will be transferred by the Asset Purchaser. Asset Purchaser Collection Account The Asset Purchaser Collection Account is maintained with the Asset Purchaser GIC Provider (ABN AMRO). To this account, all amounts of interest, principal, penalty interest and prepayment penalty payments received on the mortgage pool are transferred by the Seller. Seller Collection Account The Seller collects interest, principal, penalty interest and prepayment penalty payments from the borrowers via direct debit. The amount is collected on the Collection Account of the respective Seller. Reserve Account The Reserve Account is held with the Issuer GIC Provider to deposit proceeds from the issuance of Class E notes, which are available to cover any shortfall in certain senior expenses and interest on the Notes, and to reserve amounts in the event of a shortfall recorded on any of the Issuer PDLs. Pre-Funded Account The Pre-Funded Account is held with the Issuer GIC Provider. Net proceeds of the Notes that are not used to grant IC Loans or purchase notes are credited to this account. The interest on the Pre-Funded Account equals the weighted-average coupon on the Notes to avoid negative carry. Law(s) Affecting the Transaction The Notes will be secured indirectly through the Security Trustee by (1) a first-ranking pledge granted by the Asset Purchaser to the Security Trustee over the relevant mortgages and beneficiary rights, (2) a first-ranking pledge by the Asset Purchaser to the Security Trustee over the Asset Purchaser s rights under or in connection with (most of ) the Asset Purchaser documents and (3) a first-ranking pledge by the Issuer to the Security Trustee over the Issuer s rights under or in connection with (most of ) the relevant Issuer documents. To ensure the valid creation of the security rights under Netherlands law in favour of the Security Trustee, the Issuer shall undertake in the Issuer Parallel Agreement to pay to the Security Trustee, by way of parallel debt under the same terms and conditions, an amount equal to the aggregate of all its undertakings, liabilities and obligations to the Issuer Secured Parties pursuant to the relevant Issuer documents. The Asset Purchaser has undertaken in the Asset Purchaser Trust Agreement to guarantee the undertakings, liabilities and obligations of the Issuer to the Security Trustee pursuant to the Issuer Parallel Debts Agreement. To ensure the valid creation of the security rights under Netherlands law in favour of the Security Trustee in respect of the Asset Purchaser to the Asset Purchaser Secured Parties, the Asset Purchaser shall undertake in the Asset Purchaser Trust Agreement to pay to the Security Trustee, by way of a parallel debt under the same terms and conditions, an amount equal to the aggregate of all its undertakings, liabilities and obligations to the Asset Purchaser Secured Parties pursuant to the Asset Purchaser Documents. The Issuer Trust Deed sets out the priority claims of the Programme Secured Parties, the Issuer Secured Parties and the Asset Purchaser Trust Agreement. Set-Off Risk The Dutch market is unique compared with other European residential mortgage markets in that mortgage interest is, up to a certain limit, tax deductible. This creates incentive for borrowers to not pay off their mortgages but rather to pay monthly contributions to pay off principal into a separate repayment vehicle. There is an element of legal uncertainty as to whether certain types of products where the repayment vehicle in which the Issuer has no security rights can be set off against the mortgage loan. The main set-off risk derives from savings, life insurance loans and hybrid loans. For savings loans and the savings component of hybrid loans, the set-off risk is fully mitigated by a sub-participation agreement.

12 Rating Report Dolphin Master Issuer B.V., Series DBRS.COM 12 For life insurance loans and a life insurance component of hybrid loans, it may be possible for a borrower to set off the mortgage loan liability against the life insurance asset. Life insurance loans represent 19.73% of the portfolio. One of the possible mitigants to set-off risk related to life insurance loans is diversification among the insurers. This is absent in the Dolphin portfolio; however, the Asset Purchaser has a purchase condition that limits the maximum amount of life insurance loans with a single insurance company to 25% (40% until 29 September 2014) of the principal outstanding on the pool. The key component that is likely to be instrumental in any court deliberation of a borrower s right to set-off is the relationship between the mortgage lender and the insurance company used to accrue the capital. From a DBRS perspective, set-off is very much minimised if the following conditions are met: 1. The insurance company and mortgage loan lender do not form part of the same group of companies. 2. The insurance company and the mortgage loan lender (the Seller, in this case) are not the same legal entity. 3. There are no marketing ties between the insurance company and the mortgage loan lender. 4. The mortgage loan and the insurance policy are not sold as a single package; that is, the borrower has a free choice in respect of the insurance company. For all the potential set-off loans in the current portfolio, in most cases, condition (1) is not met. That is, while the current insurers are non-abn AMRO-related entities, the insurers at the time of origination of the loans were related to ABN AMRO. In all cases, however, condition (2) is met. That is, the insurance company and the mortgage lender are not the same legal entity. This means that the borrower s right to set off is likely to be weakened, as there is a legal disconnect between the capital accrual vehicle and the mortgage itself. In the case of ABN AMRO (or its legal predecessor, Fortis Bank Nederland), Oosteroever- or Quion 9 originated life insurance mortgage loans (8.01% of the total portfolio), both conditions (3) and (4) apply. These are considered to be further mitigants to the risk of set-off, as the promotional materials do not offer the mortgage loan part products under one name and the borrowers have the option to choose a different scheme from an unrelated provider. For the life insurance mortgage loans originated by the former Fortis Hypotheek Bank N.V. (FHB; 9.54% of the total portfolio), given that FHB was the mortgage bank of ASR Insurance Companies, it did not originate loans with a third-party insurance policy. As such, (3) and (4) do not apply. DBRS has, therefore, concluded that it is more likely that this 9.54% of the portfolio may result in a successful set-off claim. Although the loan type analysis indicates that 9.54% of the portfolio has a stronger potential for set-off risk exposure, there are other considerations that need to be taken into account when estimating what the actual exposure to this set-off is through time. The amount at risk from set-off at any point in time is represented by the amount accrued in the insurance accounts (which is dependent on loan characteristics and prepayment rates) and the potential loss from the defaulted life insurance provider. It is not expected that insurance company insolvency would result in all accrued monies being lost to the policyholders, as the policyholders are considered to be preferential creditors (after tax requirements and employees). In addition, although there is no formal legal or regulatory support mechanism, there could also be other systemic market support that might diminish policyholder losses, given that the borrowers in this case are retail customers and considering the importance of the insurance product within the Dutch mortgage market; therefore, the recovery rate of an insurance policy is expected to be high. DBRS is of the opinion that the level of CE relative to the potential size of set-off amounts is consistent with the rating of the Notes.

13 Rating Report Dolphin Master Issuer B.V., Series DBRS.COM 13 Collateral Summary Data Quality DBRS was provided with a loan-by-loan data tape as at July DBRS considers the information available to it for the purposes of providing these ratings to be of satisfactory quality. Portfolio Characteristics (as at 1 July 2017) The portfolio of EUR billion, as at July 2017, with 67,668 loans consisting of 342,909 loan parts are secured by owneroccupied residential properties in the Netherlands. The underlying portfolio can revolve, and as a result, the portfolio characteristics may change through time. The portfolio currently has an indexed weighted-average current indexed loan-to-market-value (CLTMV) of 72.2%, with 9.93% of the portfolio having a CLTMV of greater than 100%. The weight-average seasoning of the portfolio is months with months remaining to maturity. The mortgage products in the portfolio are primarily IO (54.9%), life insurance (12.5%) and savings mortgages (9.62%). Eligibility Criteria To be considered for inclusion in the collateral pool, the mortgage loans must meet all of the following eligibility criteria: Property is located in the Netherlands. Borrower is a private individual. Borrower is not an employee of any ABN AMRO related entity. Loan is originated after 1 January Each is secured by a mortgage right on mortgaged assets used for residential purposes and is governed by Netherlands law. Loans are either Annuity mortgage loans, Linear mortgage loans, IO loans, Investment loans, Savings mortgage loans, Life mortgage loans, or A combination of these types of mortgage loans. Payments are all direct debit or wire transfer. Interest payments are made monthly in arrears or monthly, quarterly, semi-annually or annually in advance. Loans must not be in arrears. Consists of the entire loan (not just some of the loan part constituents). The outstanding amount of loans granted to the borrower did not exceed 110.5% of the market value. The outstanding amount of loans granted to the borrower did not exceed EUR 1.0 million. The loans are part first-priority and sequentially lower mortgage loans. If 2.5% of the outstanding portfolio is in arrears for more than 90 days (Loan-to-Original Market Value (LTMV) Trigger Event), each mortgage loan has an LTMV ratio lower than the weighted-average LTMV ratio of all loans sold and assigned to the Asset Purchaser as at the moment of the LTMV Trigger Event. The purchase by the Asset Purchaser of new receivables and further advances are subject to a number of conditions. These conditions were tightened in September 2014 to the following: The outstanding balance of IO loans does not exceed 58% (from 80% until 28 September 2014) of the outstanding balance of all loans. The weighted-average LTMV of all mortgages does not exceed 75% (from 80% until 28 September 2014).

14 Rating Report Dolphin Master Issuer B.V., Series DBRS.COM 14 Not more than 45% of all receivables have an LTMV ratio above 80%; not more than 33% of the receivables have an LTMV ratio above 90%; not more than 22% of all receivables have an LTMV ratio above 100%; and not more than 3.5% of all receivables have an LTMV ratio above 107%. The aggregate construction amounts of the Asset Purchaser do not exceed 0.05%. The weighted-average seasoning of the all the outstanding receivables is at least 42 months. The amount of outstanding receivables more than EUR 500,000 does not exceed 7%. The amount of outstanding life mortgage loans does not exceed 25% of all the outstanding receivables. Historical Performance Performance of the Dolphin mortgages has been relatively stable since the transaction closed, although delinquencies did rise coinciding with the observed rise in Dutch unemployment levels; however, delinquencies have been steadily falling since this peak. As at June 2017, the 90-days-plus arrears have fallen to 0.30% from 1.06% in March The cumulative defaults are 1.85%, with cumulative net losses at 0.52%. Exhibit 1: Arrears, Cumulative Defaults and Losses 1.8% 1.6% 1.4% 1.2% 1.0% 0.8% 0.6% 0.4% 0.2% 0.0% Cum. Defaults 1.85% Cum. Net Loss 0.52% 90 Days Past Due 0.30% Dec-07 Mar-08 Jun-08 Sep-08 Dec-08 Mar-09 Jun-09 Sep-09 Dec-09 Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun Days Past Due Cum. Defaults Cum. Net Loss Rating Analysis The DBRS rating on the Class B and C notes addresses the timely payment of interest and ultimate payment of principal. The ratings are based on DBRS s review of the following analytical considerations: The transaction capital structure and form and sufficiency of available CE. The credit quality of the mortgage loan portfolio and the ability of the servicer to perform collection activities. DBRS calculated the portfolio default rates (PDRs) and LGD and expected loss (EL) outputs on the mortgage loan portfolio. DBRS stressed the portfolio in accordance with the relevant asset conditions. The transaction s ability to withstand stressed cash flow assumptions and repay investors according to the terms of the transaction documents. The transaction cash flows were modelled using PDR and LGD and EL outputs provided by the European RMBS Insight Model. DBRS assessed the commercial properties in accordance with DBRS s European CMBS Rating and Surveillance Methodology. The transaction cash flows were modelled using INTEX Calc. The legal structure and presence of legal opinions addressing the assignment of the assets to the Issuer and the consistency with DBRS s Legal Criteria for European Structured Finance Transactions. The relevant counterparties, as rated by DBRS, are appropriately in line with DBRS legal criteria to mitigate the risk of counterparty default or insolvency.

15 Rating Report Dolphin Master Issuer B.V., Series DBRS.COM 15 European RMBS Insight Analysis The results of the model were used as the inputs in the cash flow analysis of the structure. The results of the model are listed below. Rating Scenario PDR LGD EL AAA 22.7% 31.6% 7.2% AA 19.4% 27.2% 5.3% A 15.7% 22.9% 3.6% BBB 11.5% 18.4% 2.1% Summary of the Cash Flow Scenarios To assess the timely payment of interest and the ultimate payment of principal on the rated notes, DBRS applied its default curves (front ended and back ended); its prepayment curves (low, medium and high conditional prepayment rate assumptions); and interest rates stresses per its unified interest rate methodology. Based on a combination of these assumptions, a total of 12 cash flow scenarios were applied to test the performance of the rated notes (see table below). Scenario Prepayments Default timing Interest Rate 1 5% Front Upward 2 5% Front Downward 3 5% Back Upward 4 5% Back Downward 5 10% Front Upward 6 10% Front Downward 7 10% Back Upward 8 10% Back Downward 9 20% Front Upward 10 20% Front Downward 11 20% Back Upward 12 20% Back Downward Interest Rate Stresses DBRS applied its standard interest rate stresses, as detailed in its Unified Interest Rate Model for European Securitisations. Timing of Defaults and Recovery Lag DBRS used five-year front- and back-loaded default timing curves and assumed a recovery lag of 24 months.

16 Rating Report Dolphin Master Issuer B.V., Series DBRS.COM 16 Risk Sensitivity DBRS estimated the PDR and LGD for the pool based on a review of historical data and an assessment of the mortgage pool characteristics. Adverse changes to asset performance may cause stresses to base-case assumptions and, therefore, have a negative impact on the credit ratings. The tables below illustrate the sensitivity of the rating to various changes in the base-case default rates and loss severity assumptions relative to the base-case assumptions in the respective rating scenario of the following classes: Class A PD 0% 25% 50% LGD 0% AAA AA AH 25% AA AH AL 50% AH AL BBBH Class B PD 0% 25% 50% LGD 0% AA AH BBBH 25% AH BBBH BBB 50% BBBH BBB BBH Class C PD 0% 25% 50% LGD 0% A BBBH BBBL 25% BBBH BBBL BBH 50% BBBL BBH BBL

17 Rating Report Dolphin Master Issuer B.V., Series DBRS.COM 17 Appendix A Methodologies Applied The principal methodologies applied to assign ratings to the above-referenced transaction are European RMBS Insight Methodology (May 2016) and European RMBS Insight: Dutch Addendum (April 2017). Other methodologies referenced in this transaction are listed below: European CMBS Rating and Surveillance Methodology (January 2017) Legal Criteria for European Structured Finance Transactions (September 2016) Derivative Criteria for European Structured Finance Transactions (October 2016) Unified Interest Rate Model for European Securitisations (November 2016) Operational Risk Assessment for European Structured Finance Originators (October 2016) Operational Risk Assessment for European Structured Finance Servicers (October 2016) The rating methodologies and criteria used in the analysis of this transaction can be found at: Alternatively, please contact info@dbrs.com. Surveillance Methodology The transaction is monitored by DBRS in accordance with its Master European Structured Finance Surveillance Methodology (March 2017), which is available at under Methodologies. Alternatively, please contact info@dbrs.com.

18 Rating Report Dolphin Master Issuer B.V., Series DBRS.COM 18 Appendix B Capital Structure Series Class Outstanding Balance (EUR) Credit Enhancement Coupon (Bps) Step-Up Coupon (Bps) DBRS Rating Rating Action A3 1,000,000, % 3MEuribor % 3MEuribor % AAA (sf) Confirmed A4 1,000,000, % 3MEuribor % 3MEuribor % AAA (sf) Confirmed A2 2,000,000, % 3MEuribor % 3MEuribor % AAA (sf) Confirmed A 750,000, % 3MEuribor % 3MEuribor % AAA (sf) Confirmed A 2,000,000, % 3MEuribor % 3MEuribor % AAA (sf) Confirmed A 1,700,000, % 3MEuribor % 3MEuribor % AAA (sf) Confirmed A 500,000, % 3MEuribor % 3MEuribor % AAA (sf) Confirmed A1 2,000,000, % 3MEuribor % 3MEuribor % AAA (sf) Confirmed A2 2,000,000, % 3MEuribor % 3MEuribor % AAA (sf) Confirmed A3 2,000,000, % 3MEuribor % 3MEuribor % AAA (sf) Confirmed A4 1,279,000, % 3MEuribor % 3MEuribor % AAA (sf) Confirmed A 500,000, % 3MEuribor % 3MEuribor % AAA (sf) Confirmed A1 2,000,000, % 3MEuribor % 3MEuribor % AAA (sf) Confirmed A2 2,000,000, % 3MEuribor % 3MEuribor % AAA (sf) Confirmed A3 2,000,000, % 3MEuribor % 3MEuribor % AAA (sf) Confirmed A4 1,678,500, % 3MEuribor % 3MEuribor % AAA (sf) Confirmed B 550,000, % 3MEuribor % 3MEuribor % AA (sf) New Rating C 700,000, % 3MEuribor % 3MEuribor % A (sf) New Rating D 575,000, % 3MEuribor % 3MEuribor % NR N/A E 250,000,000 N/A 3MEuribor % 3MEuribor % NR N/A Note: All figures are in British pounds sterling unless otherwise noted. This report is based on information as of 2 October 2017, unless otherwise noted. Subsequent information may result in material changes to the rating assigned herein and/or the contents of this report. The DBRS group of companies consists of DBRS, Inc. (Delaware, U.S.)(NRSRO, DRO affiliate); DBRS Limited (Ontario, Canada)(DRO, NRSRO affiliate); DBRS Ratings Limited (England and Wales)(CRA, NRSRO affiliate, DRO affiliate); and DBRS Ratings México, Institución Calificadora de Valores S.A. de C.V. (Mexico)(CRA, NRSRO affiliate, DRO affiliate). Please note that DBRS Ratings Limited was registered as an NRSRO affiliate on July 14, For more information on regulatory registrations, recognitions and approvals, please see: , DBRS. All rights reserved. The information upon which DBRS ratings and reports are based is obtained by DBRS from sources DBRS believes to be reliable. DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance. The extent of any factual investigation or independent verification depends on facts and circumstances. DBRS ratings, reports and any other information provided by DBRS are provided as is and without representation or warranty of any kind. DBRS hereby disclaims any representation or warranty, express or implied, as to the accuracy, timeliness, completeness, merchantability, fitness for any particular purpose or non-infringement of any of such information. In no event shall DBRS or its directors, officers, employees, independent contractors, agents and representatives (collectively, DBRS Representatives) be liable (1) for any inaccuracy, delay, loss of data, interruption in service, error or omission or for any damages resulting therefrom, or (2) for any direct, indirect, incidental, special, compensatory or consequential damages arising from any use of ratings and rating reports or arising from any error (negligent or otherwise) or other circumstance or contingency within or outside the control of DBRS or any DBRS Representative, in connection with or related to obtaining, collecting, compiling, analyzing, interpreting, communicating, publishing or delivering any such information. Ratings and other opinions issued by DBRS are, and must be construed solely as, statements of opinion and not statements of fact as to credit worthiness or recommendations to purchase, sell or hold any securities. A report providing a DBRS rating is neither a prospectus nor a substitute for the information assembled, verified and presented to investors by the issuer and its agents in connection with the sale of the securities. DBRS receives compensation for its rating activities from issuers, insurers, guarantors and/or underwriters of debt securities for assigning ratings and from subscribers to its website. DBRS is not responsible for the content or operation of third party websites accessed through hypertext or other computer links and DBRS shall have no liability to any person or entity for the use of such third party websites. This publication may not be reproduced, retransmitted or distributed in any form without the prior written consent of DBRS. ALL DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AT ADDITIONAL INFORMATION REGARDING DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES AND METHODOLOGIES, ARE AVAILABLE ON