DOLPHIN MASTER ISSUER - Series 2013-2 Investor presentation October 2013
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DOLPHIN MASTER ISSUER
Investor presentation
Series 2013-2 October 2013Important notice CONFIRMATION OF YOUR REPRESENTATION: IN ORDER TO BE ELIGIBLE TO VIEW THIS MATERIAL OR MAKE AN INVESTMENT DECISION WITH RESPECT TO THE SECURITIES, YOU MUST: (I) NOT BE A U.S. PERSON (WITHIN THE MEANING OF REGULATION S UNDER THE U.S. SECURITIES ACT OF 1933, AS AMENDED (THE SECURITIES ACT)) AND BE OUTSIDE THE UNITED STATES; OR (II) BE A ‘‘QUALIFIED INSTITUTIONAL BUYER’’ (WITHIN THE MEANING OF RULE 144A UNDER THE SECURITIES ACT). YOU HAVE BEEN SENT THE ATTACHED MATERIAL ON THE BASIS THAT YOU HAVE CONFIRMED TO US THAT EITHER: (A)(I) YOU AND ANY CUSTOMERS YOU REPRESENT ARE NOT U.S. PERSONS; AND (II) THE ELECTRONIC MAIL (OR E-MAIL) ADDRESS TO WHICH IT HAS BEEN DELIVERED IS NOT LOCATED IN THE UNITED STATES OF AMERICA, ITS TERRITORIES AND POSSESSIONS, ANY STATE OF THE UNITED STATES AND THE DISTRICT OF COLUMBIA; ‘‘POSSESSIONS’’ INCLUDE PUERTO RICO, THE U.S. VIRGIN ISLANDS, GUAM, AMERICAN SAMOA, WAKE ISLAND AND THE NORTHERN MARIANA ISLANDS; OR (B) YOU AND ANY CUSTOMERS YOU REPRESENT ARE ‘‘QUALIFIED INSTITUTIONAL BUYERS’’ AND, IN EITHER CASE, THAT YOU CONSENT TO DELIVERY BY ELECTRONIC TRANSMISSION. For the purposes of this disclaimer and this presentation ABN AMRO Group N.V. and its consolidated subsidiaries are referred to as "ABN AMRO“. This document (the “Presentation”) has been prepared by ABN AMRO. No other party to this transaction (including for the avoidance of doubt any manager or underwriter) has been involved in the preparation of, or takes any responsibility for the contents of this presentation. The Presentation is solely intended to provide financial and general information about ABN AMRO following the publication of its condensed consolidated interim financial statements for the period starting on 1 January 2013 and ending on 30 June 2013. For purposes of this notice, the Presentation shall include any document that follows oral briefings by ABN AMRO that accompanies it and any question-and-answer session that follows such briefings. The information in the Presentation is strictly proprietary and is being supplied to you solely for your information. It may not (in whole or in part) be reproduced, distributed or passed to a third party or used for any other purposes than stated above. The Presentation is informative in nature and does not constitute an offer of securities to the public as meant in any laws or rules implementing the Prospectus Directive (2003/71/EC), and amendments thereto (including Directive 2010/73/EU), nor do they constitute a solicitation to make such an offer. The information in this presentation and other information included on ABN AMRO‘s website (including the information included in the prospectuses on ABN AMRO’s website) does not constitute an offer of securities or a solicitation to make such an offer, and may not be used for such purposes, in the United States or any other country or jurisdiction in which such an offer or solicitation is unlawful, or in respect of any person in relation to whom the making of such an offer or solicitation is unlawful. Everyone using this Presentation should acquaint themselves with and adhere to the applicable local legislation. Any securities referred to in the information furnished in this Presentation have not been and will not be registered under the US Securities Act of 1933, and may be offered or sold in the United States only pursuant to an exemption from such registration. The information in the Presentation is, unless expressly stated otherwise, not intended to be available to any person in the United States or any "U.S. person" (as such terms are defined in Regulation S of the US Securities Act 1933). No reliance may be placed for any purposes whatsoever on the information, opinions, forecasts and assumptions contained in the Presentation or on its completeness, accuracy or fairness. No representation or warranty, express or implied, is given by or on behalf of ABN AMRO, or any of its directors, officers, affiliates or employees as to the accuracy or completeness of the information contained in this document and no liability is accepted for any loss, arising, directly or indirectly, from any use of such information. Nothing contained herein shall form the basis of any contract or commitment whatsoever. ABN AMRO has included in this presentation, and from time to time may make certain statements in our public filings, press releases or other public statements that may constitute “forward-looking statements” within the meaning of the safe harbour provisions of the United States Private Securities Litigation Reform Act of 1995. This includes, without limitation, such statements that include the words ‘expect’, ‘estimate’, ‘project’, ‘anticipate’, ‘should’, ‘intend’, ‘plan’, ‘probability’, ‘risk’, ‘Value-at-Risk (“VaR”)’, ‘target’, ‘goal’, ‘objective’, ‘will’, ‘endeavour’, ‘outlook’, 'optimistic', 'prospects' and similar expressions or variations on such expressions. In particular, this document includes forward-looking statements relating, but not limited, to ABN AMRO’s potential exposures to various types of operational, credit and market risk, such as counterparty risk, interest rate risk, foreign exchange rate risk and commodity and equity price risk. Such statements are subject to risks and uncertainties. These forward-looking statements are not historical facts and represent only ABN AMRO ‘s beliefs regarding future events, many of which, by their nature, are inherently uncertain and beyond our control. Other factors that could cause actual results to differ materially from those anticipated by the forward-looking statements contained in this document include, but are not limited to: The extent and nature of future developments and continued volatility in the credit and financial markets and their impact on the financial industry in general and ABN AMRO in particular; The effect on ABN AMRO’s capital of write-downs in respect of credit exposures; General economic, social and political conditions in the Netherlands and in other countries in which ABN AMRO has significant business activities, investments or other exposures, including the impact of recessionary economic conditions on ABN AMRO's performance, liquidity and financial position; Macro-economic and geopolitical risks; Reductions in ABN AMRO’s credit rating; Actions taken by governments and their agencies to support individual banks and the banking system; Monetary and interest rate policies of the European Central Bank and G-20 central banks; Inflation or deflation; Unanticipated turbulence in interest rates, foreign currency exchange rates, commodity prices and equity prices; Liquidity risks and related market risk losses; Potential losses associated with an increase in the level of substandard loans or non-performance by counterparties to other types of financial instruments, including systemic risk; Changes in Dutch and foreign laws, regulations and taxes; Changes in competition and pricing environments; Inability to hedge certain risks economically; Adequacy of loss reserves and impairment allowances; Technological changes; Changes in consumer spending, investment and saving habits; Effective capital and liquidity management; and the success of ABN AMRO in managing the risks involved in the foregoing. The forward-looking statements made in this presentation are only applicable as from the date of publication of this document. ABN AMRO does not intend to publicly update or revise these forward-looking statements to reflect events or circumstances after the date of this report, and ABN AMRO does not assume any responsibility to do so. The reader should, however, take into account any further disclosures of a forward-looking nature that ABN AMRO may make in ABN AMRO’s reports. No reliance may be placed for any purposes whatsoever on the information, opinions, forecasts and assumptions contained in the Presentation or on its completeness, accuracy or fairness. No representation or warranty, express or implied, is given by or on behalf of ABN AMRO, or any of their directors, officers, affiliates or employees as to the accuracy or completeness of the information contained in this document and no liability is accepted for any loss, arising, directly or indirectly, from any use of such information. Nothing contained herein shall form the basis of any contract or commitment whatsoever. Any Manager may provide investment banking services (including without limitation corporate finance services) for the companies mentioned in this document and may from time to time participate or invest in commercial banking transactions (including without limitation loans) with the companies mentioned in this document. Accordingly, information may be available to the Managers which is not reflected in this document. Any Manager may make a market in the securities described in this document. Accordingly, any Manager may actively trade these securities for its own account and those of its customers and, at any time, may have a long or short position in these securities or derivatives related hereto. None of the Managers is a legal, tax or accounting advisor. The legal, tax and accounting implications of an investment in the securities must be verified by separate and qualified independent legal, tax and accounting counsel before proceeding with any such investment.
Table of contents 1. ABN AMRO Bank N.V. 5 2. ABN AMRO Mortgage Business 11 3. Dutch Economy and Mortgage Market 14 4. Underwriting, Servicing & Arrears Management 20 5. Dolphin Master Issuer 25 6. Annexes 36
Executive Summary
Transaction highlights
Size Rating (S/M/D) Coupon Step-Up Redemption WAL
EUR[500]m AAA/Aaa/AAA 3mE+[]bps 2x margin Soft Bullet 4.93 years1
Series 2013-2
Dolphin Master Issuer is marketing its first Series since 2011, subject to market conditions
Class A Notes
The Class A Notes benefit from 50bps of excess spread and current credit enhancement of 8.1% consisting of
7% subordination and a 1.1% reserve fund
First Optional Redemption Date (FORD) of [28 September 2018]
First interest payment date of [28 December 2013] with quarterly payments thereafter
Prime Collateral Securities (PCS) and Dutch Securitisation Association (DSA) compliant
Dolphin is ABN AMRO’s main securitisation programme for prime (non-NHG) Dutch residential mortgages, and
its pool represents 20% of ABN AMRO’s mortgage book
Dolphin is a master issuer programme with an approximately EUR30bn revolving portfolio supporting all
Dolphin Master outstanding series issued under the programme
Issuer Third party investors hold 27% of all outstanding notes, whilst the remainder is held by ABN AMRO
Weighted average CLTOMV 72.8%; fixed rate 95.2%; w.a. seasoning 7.6 years; avg. loan size EUR160.2k
Eligibility criteria and portfolio tests structured to ensure portfolio quality on an on-going basis
ABN AMRO (A/A2/A+/A(high)), is a leading Dutch bank providing key ancillary roles to the Dolphin transaction
The majority of revenues are generated in the Netherlands (83%) across merchant, commercial, private and
retail banking sectors
Total assets of EUR402bn, of which EUR153bn relate to residential mortgage loans representing 24% of the
ABN AMRO
Dutch mortgage market
Origination via own branches and intermediaries. Origination via intermediaries is quite common in the
Netherlands and subject to strict rules. Intermediaries are not involved in the acceptance process.
The Dutch mortgage market and economy are currently in a period of transition
Recent changes have been made to the mortgage interest tax deductibility, the code of conduct, the NHG
Dutch Mortgage programme and social welfare benefits
Note(s):
Market Property prices have declined, and arrears have increased during the economy’s contraction
1. Assumes 23 Oct 2013 settlement
Underlying fundamentals however remain strong as the financial position of Dutch households and overall
mortgage market performance are amongst the best in Europe 4ABN AMRO Bank N.V.
ABN AMRO Bank N.V.
Profile
A leading Dutch bank with the majority of revenues generated by interest income and fees & commissions
Clearly defined business model
Strong position in the Netherlands
International growth areas in Private Banking, asset-based financing, ECT and ABN AMRO Clearing1
Moderate risk profile
Enhanced risk management & control framework
Diversified loan book
Primarily client-related trading and investment banking activities
Execution excellence with strong focus on improving service to customer, lowering cost base and achieving integration synergies
Retail Banking Private Banking Commercial Banking Merchant Banking
Top position in the Netherlands No.1 in the Netherlands and Leading position in the Strong domestic position, leading
Serves Dutch Mass Retail and No.3 in the Eurozone2 Netherlands global positions in
Mass Affluent clients with Serves private clients with Serves Business Clients (SMEs) ECT & Clearing1
investible assets up to EUR 1m investible assets >EUR 1m, and Corporate Clients (up to Serves Large Corporates &
Institutions and Charities EUR 500m revenues) Merchant Banking and Markets
clients
Group Functions: supports the businesses with TOPS, Finance (incl. ALM/Treasury), Risk Management & Strategy and ICC1
Operating income by type of income Operating income by business Operating income by geography
Merchant Rest of World
Other non- Banking 7%
interest 15% Rest of
income Europe
3% 10%
Retail
Note(s): Banking
1. ECT: Energy, Commodities & H1 2013 Commercial H1 2013 47%
Net fee and EUR 3.6bn Banking EUR 3.6bn H1 2013
Transportation; Clearing refers to the
commission 23% EUR 3.6bn
clearing activities of the bank and its
subsidiaries; TOPS: Technology, income Net interest
Operations and Property Services; 23% income
ICC: Integration, Communication 74%
and Compliance Netherlands
2. Source: based on Scorpio Private
Group functions 83%
Private EUR -65m (-1%)
Banking Benchmark report 2012 Banking
16%
6ABN AMRO Bank N.V.
Long term strategy
To prepare for the challenges of the future, we made clear choices locally and internationally to ensure sustainable profit.
These choices are crystallised through five strategic priorities
Drivers
1 Enhancing client centricity
Quality and relevance of advice
Using technology to better serve
our clients
Invest in our future
2
1. Enhance
Re-engineer IT landscape &
client optimising processes Targets 2017
centricity Recognised position in sustainability
Recognised as top class employer
5. Improve 2. Invest in
profitability our future Strongly commit to moderate risk Cost/income ratio 56-60%
3
profile
Optimise balance sheet
4. Pursue 3. Strongly Further diversification Return on Equity 9-12%1
selective commit to Good capital position
international moderate risk
growth profile
Pursue selective international
4 CET1 ratio 11.5-12.5%1
growth
Capability led
Fitting moderate risk profile
Fitting efficiency focus
Improve profitability
5
Improve top line revenues
Continuous focus on costs
Strive for a sustainable risk - return
Note(s):
1. Assuming no further volatility of
the pension liability after first-time
adoption of IAS19 (as revised in
2011) as per 1-1-2013
7ABN AMRO Bank N.V.
Financial highlights first half 2013 results
Key messages Key figures
Net profit for H1 2013 declined by 3%. Excl. special items, net profit was in EUR m H1 2013 H1 2012 FY2012
2
Operating income 3,601 3,813 7,338
down 36% due mainly to higher loan impairments and pension costs Operating expenses 2,311 2,229 4,686
Impairment charges 216 554 1228
Impairments charges, excl. special item releases related to the Madoff Net profit 817 840 1,153
Cost/Income ratio 64% 58% 64%
files and the sale of Greek exposures1, went up 38% mainly in SMEs 12% 12% 9%
Return on average Equity
and to a lesser extent in mortgages Return on average RWA (in bps) 135 137 92
Cost of risk 3 (in bps) 36 90 98
Cost/income (C/I) ratio increased to 64% in H1 2013; excl. special items in EUR bn 31 Jun 13 31 Dec 12
Total assets 402.3 393.8
the cost/income was 61% Assets under Management 164.5 163.1
RWA/Total assets 29% 31%
Net profit in Q2 decreased to EUR 402m from EUR 415m in Q1. The FTEs (#) 22,788 23,059
Equity (IFRS) 13.5 12.9
improved operating result was more than offset by higher impairments RWA Basel II 115.6 121.5
Core tier 1 ratio 13.3% 12.1%
Retail, Private and Commercial banking operating result improved Tier 1 ratio 14.2% 12.9%
Total Capital ratio 19.2% 18.4%
significantly. Merchant Banking operating result decreased, largely due
Loan-to-deposit ratio 123% 125%
to lower result in Markets
Note(s): Core Tier 1 ratio was 13.3% at H1 2013, Tier 1 ratio 14.2% and total Credit ratings4
1. Greek exposures are Greek
government-guaranteed capital ratio 19.2% Rating agency Long term Standalone LT Outlook Short term
corporate exposures
2. 2012 results have been adjusted
for comparison purposes Under new CRD IV rules the phase-in 2014 CET1 ratio is 12.8% S&P A bbb+ Stable A-1
following the adoption of the P-1
Moody’s A2 C- (baa2) Negative
amended pension accounting
standard IAS 19 The fully loaded CET1 ratio was 11.5% and includes instruments issued Fitch A+ bbb+ Negative F1+
3. Cost of risk: impairment charges DBRS A(high) A Stable R-1(middle)
over average RWA. Cost of risk in 2012.
excl. special item releases is
127bps and excludes EUR 297m
impairment releases related to
The Basel III phase-in leverage ratio is at 3.5% and fully loaded leverage
the sale of a part of Greek
Government-guaranteed
ratio is at 3.0% on 30 June 2013
exposures and EUR 253m
related to the Madoff files
4. Credit ratings as at 2 October
2013
8ABN AMRO Bank N.V.
Maturity calendar and funding profile
The outstanding amount of Maturity calendar LT programme funding at 30 June 2013 1,3
Government Guaranteed Bonds
In EUR bn Total outstanding
(Senior Guaranteed) decreased from
20 Subordinated
EUR 2.7bn to EUR 1.4bn over H1 2013 Securitisations (incl LT repo) Sr Secured Debt
due to a cash tender offer. The Sr Unsecured Sr Guaranteed 10% Securitisations
Sr Guaranteed (incl LT repo)
Subordinated Debt
remainder will mature in May 2014 16 2% 19%
30 Jun 2013
12
MTN (senior unsecured) and covered EUR 77.0bn
bond (senior secured) funding
Sr Unsecured Sr Secured
increased significantly since 2009 8 39% 30%
4
Wholesale programme funding
outstanding as percentage of total
assets has decreased from 26% at 0
H2 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 ≥2023
YE2012 to 24% on 30 June 2013
Long-term funding as a percentage of
ST funding: 5% LT programme funding: 19%
Note(s):
total assets has decreased from 21% to
1. This maturity graph assumes 19% in the first six months of 2013 % of balance sheet total
the redemption on the earliest 31 Dec 2010 31 Dec 2011 31 Dec 2012 30 Jun 2013
possible call date or otherwise 8%
the legal maturity date as 7.2%
early redemption of In H1 2013, short-term funding CP/CD 6.2%
subordinated instruments is decreased slightly from YE2012 levels 6%
5.1%
subject to the approval of
regulators
2. No CP government 4%
guaranteed nor ECB facilities 2.9%
outstanding 2.0%
3. Securitisation = Residential 2%
Mortgage Backed Securities
0.3%
and other Asset Backed
0%
Securities and includes long- CP/CD Senior Senior Securitisations (incl Subordinated Senior
term repos. Senior Secured = Unsecured Secured LT repo) debt Guaranteed
2
Covered Bonds and
Bouwfonds
9Capital, Funding & Liquidity
Continuing to build on-going access to global capital markets
Funding strategy aims to
Maintain long-term funding position and liquidity profile
Be active with issuances in core funding markets in Europe, US and
Asian-Pacific region
Create and enhance strong relationships with investor base through
active marketing and issuance
Optimise balance between private placements and (public) benchmark
deals
Present attractive investment opportunities for investors
Build and manage the credit curve and issuance levels for both Senior
Unsecured and Covered Bonds
Decrease funding costs within the targets set for volume, maturity and
diversification in anticipation of Basel III liquidity requirements
Targeting both institutional and retail investors
Long term programmes Europe US Asia / Rest of the world
1
Unsecured Institutional Euro MTN 144A MTN programme Euro MTN
AUD Note Issuance
Retail Private Investor Products
1 1
Secured Institutional Covered Bond Covered Bond Covered Bond
1
Securitisation Securitisation
Short term programmes Europe US Asia / Rest of the world
Unsecured Institutional European CP US CP -
Note(s):
French CD
1. Existing programme can be London CD
used after amending or
supplementing
10ABN AMRO Mortgage Business
ABN AMRO Mortgage Business
ABN AMRO mortgage portfolio as of 30 June 2013
Past due (up to 90 days) and impaired exposures Loan to market value (indexed) - LtMV
In EUR m
4,000 LtMV 50%-
31 Dec 2012 30 Jun 2013 3,562 80%
3,315 LtMV 80%-
20%
100%
3,000 17%
LtMV 100%
1,433 1,504
1,288 23%
1,000
477 448
NHG
23% Unclassified
0 2%
≤ 30 days > 30 ≤ 60 days > 60 < 90 days Total past due Total impaired
Past due exposures decreased as clients used holiday allowances LtMV increased from 82% to 84% as declining house prices were
to pay arrears. Impaired exposures increased, mainly due to a partly offset by increased voluntary repayments
growing number of clients facing unemployment
Portfolio product split Breakdown portfolio per year of origination
In EUR bn
Interest Loan-to-market value split
only for 100% interest- only: 50,000
(mixed) Interest only Savings Mortgages Redemption (Annuity/Linear) Other
34% 30 June 2013
% of total 40,000
Annuity & LtMV mortgage book
Linear 100%
4% Interest 100% 1%
Universal Total 23%
life
8% 10,000
Saving Hybrid & life
mortgages investment
16% 13% 0
Note(s): 2013-2012 2011-2010 2009-2008 2007-2006 2005-2000ABN AMRO Mortgage Business
Mortgage book use
ABN AMRO
€ 153 bn H1 2013
ex-FBN ex-ABN AMRO Standalone
€60 bn €93 bn
CB Standard Prime COVERED BOND
Residential mortgages €33 bn
DOLPHIN
Standard Prime Master Issuer
Residential mortgages €30 bn
OCEANARIUM
Master Issuer
€15 bn
GOLDFISH
NHG guaranteed Master Issuer
RMBS Residential mortgages €15 bn
FISHBOWL
Master Issuer
€9 bn
Special Prime BELUGA
Residential mortgages Master Issuer
€3 bn
13Dutch Economy and Mortgage Market
Dutch Economy and Mortgage Market
Economy
Dutch economic outlook Dutch leading indicators1
Last year, GDP dropped by 1.3%. In Q1, the economy still contracted by 120 60
1.4% y-o-y (-0.4% q-o-q). The weak development is due to lower domestic
spending. Available monthly figures suggest that GDP continued to fall in Q2.
100 50
The economy may pick up in the second half of the year on the back of
improving world trade. Several sentiment indicators for the Eurozone as well
as for the Netherlands have been slightly improving for several months in a
80 40
row now. However, declining real disposable income is probably still Economic Sentiment Indicator (lhs)
depressing consumer spending. PMI Manufacturing (rhs)
60 30
Average economic growth will still be negative in 2013 (forecast: -1 to -1¼%). 2000 2002 2004 2006 2008 2010 2012
In 2014, however, GDP may expand again. But additional fiscal consolidation
will reduce GDP growth to only ¼ tot ½%. Source: Thomson Reuters Datastream
Source: Thomson Reuters Datastream
ABN AMRO Group Economics key economic forecasts
GDP (% yoy) 2011 2012 2013E 2014E Unemployment rate (%) 2011 2012 2013E 2014E
US 1.8 2.2 1.8 3.2 US 8.9 8.1 7.5 6.6
Japan -0.5 1.9 1.9 2.1 Japan 4.6 4.4 4.0 3.8
Eurozone 1.5 -0.5 -0.5 1.3 Eurozone 10.2 11.4 12.2 12.5
Germany 3.1 0.9 1.8 3.2 Germany 7.1 6.8 6.9 6.7
France 1.8 2.2 0.5 2.0 France 9.2 9.8 10.5 10.4
Italy 0.5 -2.4 -1.8 0.7 Italy 8.4 10.6 12.3 13.4
Spain 0.4 -1.4 -1.5 0.9 Spain 21.7 25.0 26.8 26.6
Netherlands 1.1 -1.3 -1.1 0.4 Netherlands 4.4 5.3 6.8 7.3
UK 1.1 0.2 0.8 1.8 UK 8.1 8.2 8.0 7.9
China 9.3 7.8 7.5 8.0 China 4.0 4.0 4.3 5.3
Source: CBS (central bureau for statistics), August 2013 Source: CBS (central bureau for statistics), August 2013
Stable economy with historically above Eurozone average Relatively low (although rising) unemployment rate compared
growth rate to other European countries
Note(s):
1. PMI >50 points to growth,Dutch Economy and Mortgage Market
Overview of the Dutch Mortgage Market
A competitive and mature market of almost EUR 647bn1 in total size (30 June 2013) and new mortgage production of EUR 16.2bn in H1 2013
and EUR 47.4bn2 in 2012
Granted building permits3 Population and household development3
Transaction prices and volumes (quarterly, 1995=100)4 Number of foreclosures (rolling 12 month average)5
EUR ‘000 # Transactions # Foreclosures
Number of transactions (rhs)
300 70,000 3,000 2.5%
Median House Price Index (lhs)
CPI-adjusted Median House Price Index (lhs) Foreclosures (lhs) % of total transactions (rhs)
250 60,000 2,500
Note(s): 2.0%
1. Source: DNB 50,000
2. Source: Dutch Land Registry 200 2,000
Office (Kadaster) 40,000 1.5%
3. Source: Dutch Bureau of 150 1,500
Statistics (CBS) 30,000
1.0%
4. Based on a combination of data 100 1,000
from the Land Register 20,000
(Kadaster) and the Dutch
50 0.5%
10,000 500
Bureau of Statistics (CBS)
5. Source Land Registry,
foreclosures are execution sales 0 0 0 0.0%
1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 2005 2006 2007 2008 2009 2010 2011 2012 2013
.
16Dutch Economy and Mortgage Market
Dutch Mortgage Market up to 2013
Previous tax regimes incentivized customers to take out mortgages that were:
Interest only loans: the tax system has historically incentivised borrowers to opt for loans in interest only (IO) format that
maximise the tax benefit
High LTV: as a result of the interest only format, high loan-to-value (LTV) mortgages are common and relatively high
compared with other jurisdictions
Mortgage product types
Capital build up
Mortgage Mortgage Type Amortisation
for redemption
Interest Only Interest Only
Interest Only w/linked account Savings, Life, Hybrid Investment
Amortising Linear, Annuity
Why are the Dutch comfortable with high LTV’s?
Credit driven underwriting process, including the involvement of a notary and verification of loan applicants using data maintained
by the national credit registry (BKR), as well as a Code of Conduct and duty of care to prevent over-indebtedness of the borrower
There is a lender friendly legal system, if the borrower defaults and doesn’t cooperate with the lender, repossession and sale of
property often happens within a year of first default
The lender has full recourse to borrowers if a loss has incurred upon foreclosure. Borrowers therefore don’t have the option of
‘strategically defaulting’’ i.e. handing in the keys, and walking away in the event of negative equity
The lender has access to the borrowers income, which can stay in place till the repayment of the entire mortgage debt
There is a generous social security regime, which could be up to 70% of the last earned salary
Large percentage of mortgage loans have linked accounts that build up capital over the life of the mortgage to allow for repayment
at loan maturity
In recent years, regulation has moved on to reduce the use of Interest Only loanparts
17Dutch Economy and Mortgage Market
Mortgage Market Developments
Recent regulatory developments
Changes to the tax system in 2013
Tax deductibility (with a maximum of 30 years) on mortgage interest payments is conditional on a fully amortising mortgage loan for new
mortgages originated as of January 2013
Mortgages originated prior to January 2013 will still benefit from full tax deductibility
Tax deductibility for both new and existing mortgages will decline annually by 0.5% starting in 2014, from currently 52% to ultimately 38%,
Interest payments on new mortgage loans to finance negative equity following a sale, are tax deductible for a maximum period of 10 years
Transfer tax on purchase of existing homes has been permanently lowered from 6% to 2%
To increase flexibility for first time buyers, a new rule has been proposed by the government (but is not yet approved) whereby, as a
maximum, half of the down payment on the first loan can be financed by a second loan with a maximum duration of 35 years
Stricter Bank’s Mortgage Code of Conduct
Maximum LTV is 105% (103% + 2% transfer tax) following the new government reform agreement as of January 2013 (106% before that
date). In the housing market reform the government has decided to gradually further reduce the maximum total LTV with 1% per annum to
100% in 2018
Interest-only mortgage loans maximum 50% LTV
Stricter regulations for non-compliance (on a comply or explain basis)
Changes in NHG mortgage guarantee
NHG loan maximum lowered from EUR 320k to EUR 290k (as of 1 July 2013) and will be gradually lowered to EUR 225k by 1 July 2016
Only annuity and linear mortgages with a maximum term of 30 years qualify for the NHG guarantee from 1 January 2013
One-off, tax deductible fee, increased from 0.70% to 0.85% of the mortgage amount from 1 January 2013
Proposal to create the National Mortgage Institute (“Nationale Hypotheek Instelling”), which issues Dutch government guaranteed debt
backed by NHG RMBS
Social benefits developments
In April 2013, the Dutch government reached agreement with the social partners regarding the social agenda for the employment market.
The maximum period for unemployment benefits will be gradually reduced from 38 to 24 months starting January 2016 so that in July 2019
the maximum period will be 24 months. This period can be extended by the social partners for up to 14 months
18Dutch Economy and Mortgage Market
Performance vs. European Peers
2012 Households net financial asset as % GDP Moody’s 60+ days arrears index* (% by balance)
400 4.0
Financial assets Financial liabilities
300 Net financial assets 3.5
3.0
200
2.5
100 2.0
0 1.5
1.0
-100
0.5
-200 0.0
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Netherlands (Non-NHG) UK Spain Italy Portugal
Sources: Statistics Netherlands, EIU
Source: Moody’s
Note: 2012 data unless otherwise stated *2011 data
The Netherlands’ aggregate mortgage debt (EUR647bn1 or Mortgage performance of Dutch mortgages remains amongst
approximately 108% of GDP) should be viewed in the context of the best in Europe, as detailed by the above Moody’s indices
Dutch households’ balance sheets
Contributors to this performance include:
The large mortgage liability of households has been driven by - Robust household balance sheets
tax policy, and non-mortgage consumer credit is negligible - Relatively low unemployment (5.3% YE 2012) and
generous unemployment benefits
Households hold considerable financial assets as well as high - Sound underwriting (Code of Conduct)
levels of pension savings due to a three pillared2 pension - Full recourse to borrowers upon default
system, with almost EUR 1 trillion of pension savings
The resulting net level of household debt is one of the best in
Notes Europe
1. Source: DNB, Q2 2013
2. Pay-as-you-earn national
scheme, mandatory
employer schemes, and
voluntary schemes
19Underwriting, Servicing & Arrears
ManagementUnderwriting, Servicing & Arrears Management
Underwriting 2013 based on Code of Conduct and new Government Reforms
Key aspects Code of Conduct and new Government Reforms
The Code of Conduct (see appendix for further details) dictates the strict framework of mortgage underwriting and is
Governance
endorsed by all major mortgage lenders and intermediaries in the Netherlands
The Code of Conduct has been prepared in consultations with the Government, mortgage lenders, consumer
organisations and intermediaries. The government is preparing to include certain aspects into a law that is currently
awaiting approval of the Upper-House. Ahead of this approval some reforms are already implemented as of January
2013
Maximum loans:
Loan size may not exceed 105% of Market Value of the property. This will be further decreased to 100% by 2018 (in
Loan
steps of 1% per year)
As of January 2013 mortgage loans have to be 100% amortising to benefit from tax deductibility. For mortgages
originated between 1 August 2011 and 1 January 2013 an interest only loan part is allowed up to a maximum of 50%
of the Market Value
Financial position:
Annual gross salary of borrower and any secondary (of their partner, for example)
Loan size will be restricted to roughly 4 times the gross annual salary (until € 60.000) and gradually increases to
roughly 5 times (above € 70.000)
Borrower
Borrowing capacity will also be dependant on:
the interest rate to be paid
any additional security offered by the borrower
Moral behaviour:
Credit history checks (BKR)
Tax history
Fraud check (EVA)
Valuation:
Property
For loans with a LTV higher than approx. 40% only certified Full Valuation is allowed, for lower LTV’s a valuation
based on the value used by the Dutch Tax Authorities (WOZ-value) is sufficient
Full Valuation of the property should be done by a professional certified valuator, living in the same area and cannot
be older than 6 months
Information
Strict requirements regarding information a lender is required to provide to its borrowers
As a result, borrowers have a profound understanding of how their mortgage will work, what they can expect to
change in the future, and what their choices are. This prevents unfavourable borrower behaviour
21Underwriting, Servicing & Arrears Management
Underwriting: Recent Changes to Composition of Dutch Mortgage Loans
PRIOR TO JANUARY 2013 (CODE OF CONDUCT) AS OF JANUARY 2013
(GOVERNMENT REFORMS)
Additional
Costs 4%
Minimum part
with either
Transfer Tax1 Capital Build-
2% Up or Annuity1
30yr Amortizing
=
+
Maximum 56
Mortgage Loan1 Amortizing2
Max 50% 35yr
Additional
Market Value of = = Interest only
Property (no Tax
deductibility)3
Notes: 106 105
= Maximum
1. Prior to June 2011 Transfer tax was 6%.
Interest Only is
Maximum mortgage loan before that date =
was 110 50% of Market
2. As part of the government reforms the
100 Value
maximum LTV is reduced from 106% to
105% in 2013 and will gradually decrease
105
with 1% per year to 100% in 2018.
Please note that other repayment types =
are also allowed. However for those
repayment types borrowers do not benefit
from tax deduction.
50
3. This is an additional loan for half of the
down payment of the first loan (the so-
called “Blok-Mortgage”). This loan is
initially 0% and gradually increases to
50% of the MV. Please note this
additional loan is not yet implemented.
22Underwriting, Servicing & Arrears Management
Current developments: Initiatives to cope with the current market circumstances
Mortgage Care Team to prevent or cure arrears Increase Borrower Awareness regarding high LTV’s
The Mortgage Care Team is set up by ABN AMRO to help As a result of the current market circumstances, ABN AMRO has
clients steer clear of payment arrears and debt strengthened its management of the residential mortgages
accumulation. portfolio. As part thereof, the bank initiated the Care Free Living
campaign (“zorgeloos wonen”) in 2012
The Mortgage Care Team has been operational since 2009
and offers borrowers (among other services): This campaign is a proactive and multi-channel approach toward
Budget coaching customers with a high loan to value or high payment risk. The
Insights into their expenses and spending patterns majority of the clients approached have seen their property
Savings measures to help them repay their debt market value decline to less than their current loan size and are
therefore facing a residual debt in case they would sell their
Early contact and advice can often be sufficient to keep property.
borrowers from getting behind on payments.
Potential remedies offered to those clients could include, for
Practical examples of how the bank helps clients handle example:
double housing expenses are the extension of a mortgage
bridge facility or a temporary rental. Additional repayments (dependent on the mortgage
conditions, usually allowed for up to 10% a year without
Results of this approach have been: penalty)
Mortgage Care Team in Improved ability of borrowers meet payments
Build up capital outside of the mortgage agreement
Figures Increased borrower awareness of their financial
Change (part of) the interest only mortgage loan into a
Savings mortgage loan (prior to 1 April 2013)
Over 20,000 borrowers situation
Change interest only mortgage loan to annuity mortgage
helped to prevent credit Increased customer satisfaction
loan
losses (on a total portfolio Decreased provisions and losses
of 800,000 bank clients) Public recognition of ABN AMRO’s corporate social
responsibility
95% of payment problems
solved within 6 months
Only 0.25% of those
borrowers ended up facing
a foreclosure
23Underwriting, Servicing & Arrear Management
Arrear Management: Overview
Within Early Collections most activities are automatic and all start with an automated
letter sent immediately after arrears are detected. Depending on the customer risk
Early Collections
profile (LTV, payment history, exposure) the client is assigned to an activity path and
several letters are sent and outbound calls are given.
0 - (max) 90 Days
When clients are transferred to Late Collections, the first stage is still aimed at curing
the client. During this phase it is also decided whether or not the client is curable and
Late Collections the foreclosure strategy is determined. In this stage, payment arrangements and
assignment/attachment of wages are most common.
90+ Days
The Foreclosure phase is started when the loan is flagged as not curable. After a
new appraisal it is usual to start with a controlled private sale. Only in cases where
clients are not cooperating or when fraud has occurred is the house put up for a
Foreclosure forced auction sale.
< 1080 Days The general policy of ABN AMRO is to finalize a foreclosure within 1 year after the
first arrear. However exceptions are possible due to local market circumstances or
specific customer issues. Due to regulation the maximum time to foreclosure is 3
years (1080 days).
If after foreclosure a liability remains outstanding on the mortgage loan, the shortfall
Note: will be handed over to the phase ‘Recovery of deficit debts’. The borrower remains
Focus of Early Collections (EC) and Late Recovery liable for the entire shortfall.
Collections (LCS) is curing the arrears in the
most (cost) efficient and quick way. of deficit debts
Foreclosure is only commenced when a loan
is considered as ‘non-curable’. Goal in case
of Foreclosure is to minimize credit loss by
avoiding auction by using tripartite
agreements in order to sell property on
regular market within a reasonable period by
active mediation, preferred and dedicated
suppliers (law firms, real estate agents,
notaries)
24Dolphin Master Issuer
Dolphin Master Issuer
Key characteristics of programme
Dolphin is ABN AMRO’s main securitisation
programme for Prime Dutch residential mortgages Issuer Dolphin Master Issuer B.V.
Dolphin is one of five established master issuer Programme size Maximum: EUR 50bln; Currently 30.5bln
programmes and has over time been ABN AMRO’s
primary vehicle for market distribution
Rating Class A Notes AAA (S&P) / Aaa (Moody’s) / AAA (DBRS)
Dolphin represents about 20% of ABN AMRO’s
mortgage portfolio of EUR 153bln as of June 2013
Format Dutch Standard Prime Residential Mortgage Backed Notes
Dolphin has issued EUR 30.5bln of notes as of July
2013: Soft Bullet Notes or Pass-Through (currently only SB)
Redemption Type
o ABN AMRO holds EUR 22.3bln of the
outstanding Dolphin notes Currencies Multiple (currently only EUR outstanding)
o External investors hold EUR 8.1bln of the
outstanding Dolphin notes Interest Rate Type Floating or Fixed
Programme Terms
Dolphin note placement 7.9% minimum Required Class A Subordination,
AAA Credit Enhancement as of 30 September 2013 8.1%
Publicly placed Final Maturity 2099
27%
Listing Euronext Amsterdam
31 July 2013
EUR 30.5bln Payment frequency Quarterly for Floating; Annually for Fixed
Asset Purchaser Swap Counterparty ABN AMRO
Retained
73%
Regulatory & Industry compliance
DSA and PCS compliant, Loan level data at EDWIN
26Dolphin Master Issuer
Programme and transaction highlights
Originators All originators (ABN AMRO Bank, Direktbank, Quion, Oosteroever, ABN AMRO Hypotheken Groep, Moneyou
and Woonnexxt) are well known, solid and committed
Well established originators with more than 20 years experience in the Dutch mortgage market
Transaction Terms EUR [500]m of [4.9]yr class A notes may be offered, subject to market conditions
Margin step-up: if the class A notes are not redeemed on FORD the margin will double
Class A notes rated AAA/Aaa/AAA by S&P/Moody’s/DBRS
Dolphin Master Issuer Transaction benefits from three levels of protection:
50 bps p.a. excess spread guaranteed through interest rate swap
Non-amortising cash backed reserve fund of 1.10%
Minimum Required Class A subordination of 7.9%, as of 30 September 2013 8.1%
All ancillary facilities provided by ABN AMRO (A/A2/A+/A(high))
Collateral pool Revolving pool of EUR 30 bln of prime Dutch residential mortgage loans
characteristics Robust underwriting process including comprehensive credit check
Strict eligibility criteria in line with Code of Conduct
High weighted average seasoning of 7.6 years
Low weighted average Current Loan to Original Market Value of 72.8%
Collateral pool Good performance with arrear and losses as of July 2013:
performance 90+ days in arrears stood at 0.92%
Annual losses amounted to 0.09%
27Dolphin Master Issuer
Programme Structure
SELLERS ASSET PURCHASER MASTER ISSUER NOTEHOLDERS
Asset Purchaser
Swap Counterparty
ABN AMRO Bank N.V.
ABN AMRO Bank N.V.
Direktbank N.V.
Class A
Oosteroever
Hypotheken B.V. Class B
Mortgage
IC Loan
Quion 9 B.V. payments Dolphin Dolphin Class C
Asset Purchasing B.V. Master Issuer B.V.
ABN AMRO
Hypotheken Group B.V. Class D
WoonNexxt
Class E
Hypotheken B.V.
MoneYou B.V.
AP Administrator Issuer
Asset Purchaser Issuer
& Servicer Administrator
Savings Account Bank Account Bank
ABN AMRO ABN AMRO
Participants ABN AMRO ABN AMRO
Hypotheken Hypotheken
Bank N.V Bank N.V
Groep B.V Groep B.V
28Dolphin Master Issuer
Three levels of protection for Class A notes
Asset Purchaser Swap Counterparty # 1:
50 bps annual
Actual received interest from the excess spread to
Interest on IC Loan, pool protect for first
(i.e. interest due on (i.e. mortgage interest, penalties, loss
the Notes less PDL) fees, interest on funds)
less senior costs and
less excess spread of 50bps
Sellers Asset Purchaser
Mortgage
payments
# 3:
Class A – 93% 700 bps
Asset
Purchaser mezzanine
Account Bank mortgage
Notes
backed
Insurance Master Issuer notes
Savings IC Loan
Participants
Construction Class B – 2.2%
Account
Class C – 2.6%
Re-investment
Interest Class D – 2.2%
# 2:
Re-investment New IC Loans or Note 110 bps
Interest Repurchase/ Redemption cash
Class E - 1.1%
backed
Issuer Account Bank
reserve
Source: Dolphin programme documentation Prefunded Account
fund
29Dolphin Master Issuer
Key characteristics of programme
For each issuance of notes certain conditions and tests will have to be fulfilled. Generally speaking, the available
subordination of each class of notes to be issued should be equal or greater than the required level of subordination
and on the issuance date:
• No event of default shall have occurred which is continuing or will occur as a consequence of the issuance;
Issuance Test • No debit balance on the PDL;
• No enforcement notice has been served on the Issuer by the Security Trustee;
• No trigger event shall have occurred or will occur as a consequence of the issuance;
• Each rating agency has confirmed the issuance has no negative impact on the rating of the other outstanding
notes on the issuance date
• Repayment of principal on the subordinated notes of any class is subject to fulfillment of the repayment test.
• Generally speaking, the repayment test provides that the issuer may only repay a series and class or sub-class of
Repayment Test subordinated notes (class B to E) if sufficient subordination is provided for the remaining series and classes of
notes by one or more lower ranking classes of notes.
• The issuer will have the option to redeem all, but not some only, of the notes (other than the class E notes) of a
Notes clean-up series and class, or, if applicable, sub-class at their aggregate principal amount outstanding on each notes
call option payment date on which the aggregate principal amount outstanding of such notes is less than 10 per cent. of the
aggregate principal amount outstanding of such notes at the issue date of such notes.
• The issuer will have the option to redeem all of the notes, but not some only, at their aggregate principal amount
Programme clean-
outstanding if the percentage of the principal outstanding of all mortgage receivables falls below 10 per cent. of
up call option
the highest outstanding of all mortgage receivables reached since the programme signing date.
Regulatory call • The issuer will have the option to redeem the notes in whole, but not in part, on any notes payment date at their
option principal amount outstanding, if any of the sellers exercise its regulatory call option.
• Rating agency compliant triggers for novation of key counterparty roles: swap counterparty, account banks.
Rating Triggers • Establishment of set-off account upon loss of A2/P-2/R-1(middle) (S&P/Moody’s/DBRS) or BBB+(S&P).
• Mortgage assignment upon loss of BBB-/Baa3/BBB (low) (S&P/Moody’s/DBRS).
Sub-participation • Mitigation of set-off risk for savings deposits in relation to Savings and Hybrid mortgage loans.
Source: Dolphin programme documentation
30Dolphin Master Issuer
Redemption Timeline of Soft Bullet Notes (non-call & Trigger Event)
• If at FORD the call is not exercised:
• The coupon margin of the Soft Bullet Notes increases to [2x] the
coupon at issuance
• 1 year after a FORD, the Asset Purchaser will no longer be able to
acquire new mortgages (i.e. the programme will become static)
• The Soft Bullet Notes become Pass-Through Notes. They are paid
down pro-rata with other classes of notes, subject to satisfaction of
the Pro-Rata Conditions
• The Pro-Rata Conditions shall be satisfied if:
(i) no amount is recorded on the Issuer principal
deficiency ledger;
(ii) no more than 2.5% of the mortgage loans are in
arrears for more than 90 days; and
(iii) the reserve fund is at its required level
• If at any point after issuance a Trigger Event occurs, the notes will begin to amortize sequentially:
1. Principal due on Class A Notes until repaid
2. Principal due on Class B Notes until repaid
3. Principal due on Class C Notes until repaid
4. Principal due on Class D Notes until repaid
• a “Trigger Event” will occur if:
- a PDL occurs on Class A notes (i.e. the subordination for the senior notes is exhausted), or
- liquidation proceedings are initiated against the Sponsor (or any Sellers) or any assets of the Sponsor (or any
Sellers) are placed under administration, or
- the Sponsor (or any Seller) becomes subject to
a) emergency regulations or suspension of payments and within one month the security trustee has not
received proof that these have been lifted;
b) bankruptcy; or
c) insolvency proceedings
Time
Source: Dolphin programme
documentation
Issuance Date FORD
31Dolphin Master Issuer
Transaction parties
Role Counterparty
Sellers ABN AMRO N.V., Direktbank N.V., Oosteroever Hypotheken B.V. , Quion 9 B.V.,ABN AMRO Hypotheken Groep
B.V., WoonNexxt Hypotheken B.V. and MoneYou B.V.
Servicers ABN AMRO Hypotheken Groep B.V.
Sub-servicers Stater Nederland B.V. and Quion Groep B.V.
Cashflow Swap ABN AMRO Bank N.V.
Account Bank Provider ABN AMRO Bank N.V.
SPV Administrator ABN AMRO Hypotheken Groep N.V
SPV Director ATC Management B.V.
32Dolphin Master Issuer
Key characteristics pool as of July 2013
Product type Current mix by geography
Key Characteristics Linear
Friesland 2.1%
Groningen 2.0%
0.2% Annuity
Principal balance € 31,029,027,749 Hybrid 1.0%
5.1%
Value of savings deposits € 1,101,501,215 Investment
7.5% Noord-Holland 18.5%
Drenthe 2.0%
Net principal balance € 29,927,526,534
Flevoland 2.6%
Savings
Construction deposits € 4,522,648 11.8% Overijssel 4.9%
Utrecht 9.5%
31 July 2013
Net principal balance excl. € 29,923,003,886
EUR 29.9 bln Zuid-Holland 27.1% Gelderland 9.8%
construction and saving
deposits
Interest Only
Number loans 186,711 Life 54.9%
18.0% Limburg 4.0%
Number loan parts 327,964 Zeeland 2.2%
Other
Noord-Brabant 15.2%
1.5%
Average principal balance (loan) € 160,288
Weighted average current 4.69% Rates composition CLTOMV
interest rate
Floating rate
Weighted average maturity 21.15 4.8% [< 50%]
[>100%]
(in years) 19.6%
16.9%
Weighted average seasoning 7.57
(in years)
31 July 2013
Weighted average CLTOMV 72.82% EUR 29.9 bln
31 July 2013
EUR 29.9 bln
[50%-70%]
22.5%
[70%-100%]
Fixed rate 41.0%
95.2%
Note: For the latest mortgage portfolio information please refer to Dolphin Investor Reports at http://www.abnamro.com/en/investor-relations/debt- 33
investors/securitisations/residential-mortgages/dolphin/index.htmlDolphin Master Issuer
Dolphin Collateral Performance as of July 2013
Arrears (bps)
Monthly CPR is relatively stable between 5% and 6%. The
traditional slightly higher CPR in December is absent in 2012. 150
90+ Days past due 60+ Days past due
Arrears have increased slightly since the beginning of the year. 125
As of 31 July 2013:
100
90 days+: 0.95%
75
60 days+: 1.29%
50
The Excess Spread on the Dolphin transaction of 50 bps per 25
annum (i.e. 12.5 bps per quarter) is notably higher than current
realized losses. 0
Jan-08
Oct-08
Oct-10
Apr-08
Jan-09
Oct-09
Jan-10
Jan-11
Oct-11
Jan-12
Oct-12
Jan-13
Jul-08
Apr-09
Jul-09
Apr-10
Jul-10
Apr-11
Jul-11
Apr-12
Jul-12
Apr-13
Jul-13
Note: Calculated as total overdue interest and principal divided by total principal
balance
Monthly CPR (%) Realized losses per Quarter vs. Excess Spread (bps)
9% 14
8% 12
(Quarterly excess spread)
7% 10
8
6%
6
5%
4
4%
2
(Realized losses)
3%
0
Mar-08
Mar-09
Mar-10
Mar-11
Mar-12
Mrt-13
Dec-07
Jun-08
Sep-08
Dec-08
Jun-09
Sep-09
Dec-09
Jun-10
Sep-10
Dec-10
Jun-11
Sep-11
Dec-11
Jun-12
Sep-12
Dec-12
Jun-13
Sep-13
More detailed performance 2%
Jul-09
Jan-10
Jan-11
Jan-12
Jan-13
Jul-10
Jul-11
Jul-12
Jul-13
Oct-09
Oct-10
Oct-11
Oct-12
Apr-10
Apr-11
Apr-12
Apr-13
information is available on ABN
AMRO’s investor relations website:
www.abnamro.com/ir Note: Calculated as the Realized Losses claimed at the AP in the Note
Note: Calculated as Monthly Annualized Prepayments divided by Net Principal Collection Period related to each Note Payment Date.
Balance of the pool in that period. 34Dolphin Master Issuer
Eligibility Criteria1
Key loan level criteria Key revolving criteria
Purchase of new mortgages will be permitted if amongst
Each new loan added to the pool must meet amongst
others the below minimum conditions are met following
others the below minimum criteria:
such purchase:
Prime Dutch owner occupied residential property Minimum WA pool seasoning: 42 months
1st or 1st and sequentially lower ranking priority Loan size EUR 500k - EUR 1m: capped at 13% of the total
portfolio
Outstanding balance 80% = 50%
LTMV less than the pool’s WA LTMV at the time arrears LTMV > 90% = 40%
breached 2.5% LTMV >100% = 25%
LTMV >107% = 5%
Note:
1. This slide does not provide a
comprehensive list of eligibility
criteria, please consult the OC
for further details
Source: Dolphin programme
documentation
35Annexes
Annex – ABN AMRO Bank N.V.
Ownership structure
Ownership structure NLFI acts on behalf of the Dutch State
All ordinary shares in ABN AMRO Group N.V., are held by a foundation
named Stichting administratiekantoor beheer financiële instellingen
Dutch State
Dutch State
('NLFI”)
On 29 September 2011 the Dutch State transferred its shares in ABN
AMRO Group N.V. and in ABN AMRO Preferred Investments B.V. to
NLFI. NLFI is set up as a means to avoid potential conflicting
NLFI responsibilities that the Minister of Finance might otherwise face, as a
shareholder and as a regulator, as well as to avoid political influence
being exerted.
Ordinary shares
(100%) NLFI issued exchangeable depositary receipts for shares in return for
acquiring and holding, in its own name, the shares of the Dutch State.
NLFI is responsible for managing these shares and exercising all rights
ABN AMRO Group N.V. associated with these shares under Dutch law, including voting rights.
This is in keeping with the intended commercial, non-political
management of the shares. However, material or principal decisions
All shares
require the prior approval of the Minister of Finance, who will also be
(100%)
able to provide binding voting instructions with respect to such
Operating company decisions. NLFI's objectives exclude disposing of or encumbering the
Rated entity shares, except pursuant to authorisation from the Minister of Finance.
ABN AMRO Bank N.V.1
Issuing entity
Exit Dutch State
Fortis Bank Nederland N.V. legally The Dutch State announced on 24 January 2011 that in relation to ABN
merged into ABN AMRO Bank N.V. AMRO, the exit of its ownership is not expected before 2014. The Dutch
on 1 July 2010 State keeps all options open but has indicated it favours an initial public
offering (IPO) of ABN AMRO
On 29 October 2012 the new government agreement states ABN
The non-cumulative preference shares in ABN AMRO will not be privatised until the financial markets are stable, there
AMRO Group N.V. (previously held by ABN AMRO is enough interest in the market, ABN AMRO has to be ready and the
Preferred Investments B.V.) have been repurchased total investments by the Dutch State have to be retrieved
on 11 March 2013 by ABN AMRO Group N.V.. The
Note(s): repurchased shares have been cancelled The Dutch State further indicated in the new coalition agreement it will
1. On 1 July 2010 Fortis Bank
(Nederland) N.V. legally merged into
also investigate other possibilities than a full public offering of ABN
ABN AMRO Bank N.V. AMRO
37Annex – ABN AMRO Bank N.V.
Composition of wholesale funding further improved
Successful implementation of the funding strategy Long term funding raised or maturity extended1
through lengthening of the average maturity and In EUR bn
diversifying funding sources Securitisations (incl. LT repo) Senior Secured
10
Senior Unsecured Subordinated
Going forward focus is on optimising and
8
diversifying the funding sources in anticipation of
Basel III liquidity requirements 6
4
Wholesale funding raised was EUR 5.8bn in H1
2013: 2
0
EUR 5.3bn raised in senior unsecured and EUR 3Q2011 4Q2011 1Q2012 2Q2012 3Q2012 4Q2012 1Q2013 2Q2013
0.5bn in covered bonds (senior secured)
Annual long term funding maturing vs. issuances2
Average original maturity newly issued funding In EUR bn
was 5.4yrs, leading to an average remaining 30
maturity of long-term funding (incl. subordinated Matured Issued
26.3
liabilities) to 4.6yrs 20
17.2
10 16.2 17.0 15.0
73% of the medium and long term funding attracted (FY) 5.8
10.1
in H1 2013 was raised in EUR 8.2 (H1)
0
2010 2011 2012 2013
Diversification issued term funding
Senior Secured1 GBP NOK Other
8% 1% 2%
AUD 3%
7%
Note(s):
1. Securitisation = Residential
USD
Mortgage Backed Securities H1 2013 14% H1 2013
and other Asset Backed EUR 5.8bn EUR 5.8bn
Securities and includes long-
term repos. Senior Secured = EUR
Covered Bonds Senior 73%
2. Includes subordinated notes, Unsecured
for 2013 the amount of EUR 92%
15bn is the total amount
maturing in 2013
38Annex – ABN AMRO Bank N.V.
Credit ratings ABN AMRO Bank
ABN AMRO provides this slide for Rating agency1 Long term Short term Stand alone rating Outlook Latest rating change
information purposes only. ABN
S&P A A-1 bbb+ Stable 19/11/2012
AMRO does not endorse Moody's,
Fitch Ratings, Standard & Poor's Fitch Ratings A+ F1+ bbb+ Negative 06/02/2013
or DBRS ratings or views and Moody’s A2 P-1 C- (baa2) Negative 13/03/2013
does not accept any responsibility DBRS2 Ahigh R-1middle A Stable 25/06/2010
for their accuracy. For more
information please visit: Standard & Poor’s Moody’s Fitch Ratings DBRS2
www.abnamro.com/ratings or
www.standardandpoors.com 21/12/2012: “The ratings on ABN AMRO reflect 31/07/2013: “We assign LT global local- 24/04/2013: “ The Long- and Short-Term IDRs 20/06/2012: “The intrinsic ratings are under-
its 'bbb+' anchor and our view of ABN AMRO's currency ratings of A2 to ABN AMRO, which of ABN AMRO Bank N.V. are at the bank‟s pinned by ABN AMRO’s strong franchise in
www.moodys.com incorporates a three-notch uplift for systemic the Netherlands, its solid underlying earnings
"adequate" business position, "adequate" capital Support Rating Floor (SRF) and reflect Fitch
www.fitchratings.com support…. The ratings' uplift is based on (1) generation ability, its improving liquidity profile
and earnings, "adequate" risk position, "average" Ratings‟ belief that there is an extremely high
www.dbrs.com funding, and "adequate" liquidity,... The ratings
our assessment of a very high probability of
probability the Dutch state would support the
as well as its moderate credit profile, which
systemic support from the Dutch government, may be tested in the current environment”
also factor in ABN AMRO's "high" systemic due to ABN AMRO's size and importance in the bank, if required. This view derives from the
Ratings hybrid capital instruments importance in The Netherlands. In accordance domestic banking sector; and (2) the Dutch systemic importance of ABN AMRO to the “DBRS views ABN AMRO’s ability to utilise its
(S&P/Moody’s/Fitch/DBRS): with our criteria, we assess ABN AMRO's stand- state's full ownership of ABN AMRO.” Dutch financial system. The Negative Outlook franchise to generate solid underlying
T1: BB+/Ba2(hyb)/BB/Alow alone credit profile (SACP) at 'bbb+'.“ on ABN AMRO‟s Long-Term IDR reflects the earnings as a factor supporting the intrinsic
“We assign a C- bank financial strength rating Negative Outlook on the Netherlands‟ AAA ratings…. Going forward, however, DBRS
UT2: BB+/Ba1(hyb)/BB+/Alow (BFSR) to ABN AMRO, which is equivalent to a expects that the difficult operating
“....business position as "adequate" reflects the rating..”
LT2: BBB+/Baa3/BBB/A baa2 BCA, reflecting the bank's overall good environment in the Netherlands will likely
dominance of relatively stable activities in its financial fundamentals including solid have a negative impact on earnings, as loan
business mix of domestic retail and commercial capitalisation and comfortable liquidity position. “ABN AMRO‟s Viability Rating (VR) is driven
impairments will likely increase…Secondly,
banking activities, and private banking, It further captures the bank's strong franchise by its solid franchise in retail banking in the earnings will also be negatively impacted by
supported by sound market positions. in the Dutch market, its balanced business mix Netherlands, and in private banking in its core DBRS’s expectation of continued deposit
– between retail and commercial banking - and markets, providing it with resilient income. The competition, …pressuring both interest and
the full operational integration of the two former
“…capital and earnings as "adequate" based on VR takes into account the bank‟s moderate fee income. Furthermore, increased cost of
banks…..”
our expectation that the bank's RAC ratio before risk and robust capitalisation but also regulation and pending changes to bank fees
diversification should remain the 7%-7.5% range “Nevertheless, the standalone BFSR is incorporates its reliance on confidence- will also have a negative impact on earnings
in the two coming years.” constrained by (1) modest financial sensitive capital markets for its funding needs, going forward. Nonetheless, DBRS sees ABN
performance, largely reflecting the multi-year a structural feature of Dutch banks.” AMRO as well-placed to meet these
endeavour of integrating the two former banks, challenges.”
“….risk position as "adequate" incorporates our
view that the bank's risk management and which management stated to have completed “ The continued improvements in ABN
at the end of 2012; and (2) ABN AMRO's AMRO‟s fundamentals (in particular, its “…. improved stand-alone liquidity and
exposure are in line with its domestic industry …. funding profile. ABN AMRO has reduced its
structural reliance on wholesale funding, which capitalisation and funding profile) indicate a
We expect only limited change in ABN AMRO's we view as a credit weakness in the current reliance on short-term funding and has
loan and risk exposure, with an emphasis on potential upgrade of the VR, provided the
funding environment. Furthermore we effectively refinanced its long-term maturities
moderate organic growth, and containment of anticipate that a challenging business bank‟s capitalisation and liquidity remain through 2012.”
market risk-weighted assets.” environment on ABN AMRO's credit resilient to the current economic recession in
fundamentals will result in lower asset quality the Netherlands.” “DBRS views the Dutch State’s ownership as
and weaker profitability throughout 2013 and well as the Bank’s performance as adding
“…funding as "average" factors in a large
possibly beyond.” significant stability to the Bank, and affords it
customer deposit base and good access to the the time needed to continue to improve its
domestic and international capital markets, partly “The negative outlook on both the BFSR and financial profile and franchise. While DBRS
Note(s):
1. Ratings as at 2 October 2013 offset by some reliance on wholesale markets,...” the long-term ratings reflects our view that the views the current ownership structure as a
2. DBRS also assigned ratings to further deterioration in the operating positive to the rating. Furthermore, DBRS
“The two notches of support that we factor into environment in the Netherlands will likely affect continues to view ABN AMRO as a critically
ABN AMRO Group NV:
the ratings reflect our view of the bank's systemic the bank's overall asset-quality profile and important banking organisation (CIB) in the
A/Stable/ R-1middle
earnings potential over the next 12-18 months.” Netherlands.”
importance for the Netherlands. “
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