DBRS Morningstar Places Seven Ratings of Two Dutch RMBS Transactions Under Review with Positive Implications Following Update to European RMBS Insight: Dutch Addendum

DBRS Ratings GmbH (DBRS Morningstar) placed the following ratings Under Review with Positive Implications:

Cartesian Residential Mortgages 5 S.A.
-- Class B Notes rated AA (sf)
-- Class C Notes rated A (sf)
-- Class D Notes rated BBB (high) (sf)

EDML 2018-2 B.V.
-- Class B notes rated AA (sf)
-- Class C notes rated A (sf)
-- Class D notes rated BBB (sf)
-- Class E notes rated BB (high) (sf)

DBRS Morningstar also rates the Class A notes in both transactions, but did not place these Under Review – Positive as they are already rated AAA (sf).

KEY RATING DRIVERS AND CONSIDERATIONS
On 30 April 2021, DBRS Morningstar finalised its “European RMBS Insight: Dutch Addendum” (the Dutch Addendum) and corresponding European RMBS Insight Model v.5.1.0.0 (the Model). The Methodology and the Model supersede the prior versions published on 13 March 2020.

The Dutch Addendum and Model present the criteria for which Dutch residential mortgage-backed securities ratings and, where relevant, Dutch covered bond ratings, are assigned and/or monitored.

Considering the framework, the tranches placed Under Review – Positive are those that are more affected by the changes introduced in the finalised Methodology.

On 16 April 2020, the DBRS Morningstar Sovereign group released a set of macroeconomic scenarios for the 2020–22 period in select economies. These scenarios were last updated on 17 March 2021. For details, see the following commentaries: https://www.dbrsmorningstar.com/research/375376/global-macroeconomic-scenarios-march-2021-update and https://www.dbrsmorningstar.com/research/359903/global-macroeconomic-scenarios-application-to-credit-ratings. The DBRS Morningstar analysis considered impacts consistent with the moderate scenario in the referenced reports.

On 5 May 2020, DBRS Morningstar published a commentary outlining how the Coronavirus Disease (COVID-19) crisis is likely to affect DBRS Morningstar-rated RMBS transactions in Europe. For more details, please see: https://www.dbrsmorningstar.com/research/360599/european-rmbs-transactions-risk-exposure-to-coronavirus-covid-19-effect and https://www.dbrsmorningstar.com/research/362712/european-structured-finance-covid-19-credit-risk-exposure-roadmap.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

Notes:
All figures are in euros unless otherwise noted.

The principal methodologies applicable to the ratings are “Master European Structured Finance Surveillance Methodology” (8 February 2021) and “European RMBS Insight: Dutch Addendum” (30 April 2021).

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

DBRS Morningstar is undertaking a review and will remove the ratings from this status as soon as it is appropriate.

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 Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrsmorningstar.com/research/364527/global-methodology-for-rating-sovereign-governments.

The source of data and information used for these rating actions include investor reports provided by Intertrust Administrative Services B.V., loan-level data provided by the European DataWarehouse GmbH, and the potential impact of the material methodology updates.

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

At the time of the initial rating, DBRS Morningstar was supplied with third-party assessments for both transactions. However, this did not impact the rating analysis in any case.

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

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

The last rating action on Cartesian Residential Mortgages 5 S.A. took place on 16 September 2020, when DBRS Morningstar finalised its provisional ratings on all the rated notes.

The lead analyst responsibilities for this transaction have been transferred to Daniel Rakhamimov.

The last rating action on EDML 2018-2 B.V. took place on 10 December 2020, when DBRS Morningstar confirmed its ratings on all the rated notes.

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

The ratings are Under Review with Positive Implications. 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 Morningstar 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. DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage: https://www.fca.org.uk/firms/credit-rating-agencies.

Lead Analyst:
Cartesian Residential Mortgages 5 S.A.: Daniel Rakhamimov, Assistant Vice President
EDML 2018-2 B.V.: Petter Wettestad, Senior Analyst

Rating Committee Chair:
Alfonso Candelas, Senior Vice President

Initial Rating Dates:
Cartesian Residential Mortgages 5 S.A.: 28 August 2020
EDML 2018-2 B.V.: 15 November 2018

These ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

DBRS Ratings GmbH
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60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500

Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

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

-- Master European Structured Finance Surveillance Methodology (8 February 2021), https://www.dbrsmorningstar.com/research/373435/master-european-structured-finance-surveillance-methodology.
-- Legal Criteria for European Structured Finance Transactions (6 April 2021),
https://www.dbrsmorningstar.com/research/376314/legal-criteria-for-european-structured-finance-transactions.
-- Operational Risk Assessment for European Structured Finance Servicers (19 November 2020), https://www.dbrsmorningstar.com/research/370270/operational-risk-assessment-for-european-structured-finance-servicers.
-- Interest Rate Stresses for European Structured Finance Transactions (28 September 2020),
https://www.dbrsmorningstar.com/research/367292/interest-rate-stresses-for-european-structured-finance-transactions.
-- European RMBS Insight Methodology (2 April 2020) and European RMBS Insight Model v 5.1.0.0,
https://www.dbrsmorningstar.com/research/359192/european-rmbs-insight-methodology.
-- European RMBS Insight: Dutch Addendum (4 May 2021),
https://www.dbrsmorningstar.com/research/377934/european-rmbs-insight-dutch-addendum
-- Derivative Criteria for European Structured Finance Transactions (24 September 2020),
https://www.dbrsmorningstar.com/research/367092/derivative-criteria-for-european-structured-finance-transactions.
-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (3 February 2021)
https://www.dbrsmorningstar.com/research/373262/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings

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

For more information on these credits or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].