Press Release

DBRS Places Three Dutch Transactions Under Review with Positive Implications Following Request for Comments on European RMBS Insight: Dutch Addendum Methodology

RMBS
March 20, 2019

DBRS Ratings Limited (DBRS) placed 12 tranches from three European Structured Finance Transactions Under Review with Positive Implications (UR-Pos.).

The rating actions reflect the publication of the “European RMBS Insight: Dutch Addendum - Request for Comment” (the Updated Methodology) on 6 March 2019.

The Updated Methodology presents the criteria with which Dutch residential mortgage-backed securities ratings and, where relevant, Dutch covered bonds ratings are assigned. DBRS updated its house price indexation and market value decline rates to reflect data through the third quarter of 2018.

This update is deemed to be material as the assumptions changed are deemed to be key assumptions, and the positive rating changes may be significant. In this respect, upgrades could be multi-notch on a limited number of transactions. A complete list of affected ratings can be found at the end of this press release.

Following the end of the Request for Comment period and release of the final version of the Updated Methodology, DBRS expects to resolve the current UR-Pos. status on all the affected ratings.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is: “Master European Structured Finance Surveillance Methodology”.

DBRS has applied the principal methodology consistently and conducted a review of the transactions in accordance with the principal methodologies.

DBRS is undertaking a review and will remove the ratings from their UR-Pos. status as soon as it is appropriate.

The current UR-Pos. rating actions are event driven and do not warrant the application of the entire principal methodology. The analysis focused on the impact of the recent performance of the Dutch real estate market, as reflected in the Updated Methodology, on the ratings of these transactions.

A review of the transactions’ legal documents was not conducted as the legal documents have remained unchanged since the most recent rating actions for each transaction.

Other methodologies referenced in these transactions are listed at the end of this press release.
These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/333487/rating-sovereign-governments.pdf.

All the rating actions taken include as a source of data and information the impact of the recent performance of the Dutch real estate market as reflected in the Updated Methodology.

DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial ratings, DBRS was supplied with third-party assessments for these three transactions. However, this did not impact the rating analysis.

DBRS considers the data and the information available to it for the purposes of providing these ratings to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action date for each transaction is listed at the end of this press release.

Information regarding DBRS ratings, including definitions, policies and methodologies, is available on www.dbrs.com.

The ratings listed below are UR-Pos. Generally, the conditions that lead to the assignment of reviews are resolved within a 90-day period. Sensitivity analysis is not applicable.

For further information on DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU and US regulations only.

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960

The rating methodologies used in the analysis of these transactions can be found at
http://www.dbrs.com/about/methodologies.

-- Master European Structured Finance Surveillance Methodology
-- European RMBS Insight Methodology
-- European RMBS Insight: Dutch Addendum
-- Legal Criteria for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- Interest Rate Stresses for European Structured Finance Transactions

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at [email protected].

Delft 2017 B.V.
Last Rating Action Date: 18 May 2018
The lead analyst responsibilities for this transaction have been transferred to Andrew Lynch.
Lead Analyst: Andrew Lynch, Assistant Vice President
Rating Committee Chair: Vito Natale, Managing Director
Initial Rating Date: 11 January 2017

Dutch Property Finance 2017-1 B.V.
Last Rating Action Date: 3 August 2018
Lead Analyst: Andrew Lynch, Assistant Vice President
Rating Committee Chair: Vito Natale, Managing Director
Initial Rating Date: 14 July 2017

Dutch Property Finance 2018-1 B.V.
This is the first rating action since DBRS confirmed its provisional ratings on 1 October 2018. The lead analyst responsibilities for this transaction have been transferred to Matt Albin.
Lead Analyst: Matt Albin, Senior Financial Analyst
Rating Committee Chair: Vito Natale, Managing Director
Initial Rating Date: 28 August 2018

This PR was modified on 20 May 2019 to include the following missing disclosure: "The lead analyst responsibilities for this transaction have been transferred to Andrew Lynch."

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