DBRS Morningstar Publishes Final European RMBS Insight: Dutch Addendum

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 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.

DBRS Morningstar has updated its house price indexation and market value decline (MVD) rates to reflect data through the third quarter of 2020. DBRS Morningstar also updated its MVDs for the Netherlands at a national level and for each of its autonomous regions. Please see Exhibit 5 of the finalised Dutch Addendum for more details.

The distressed sale assumptions (DSD) remain unchanged, but DBRS Morningstar may apply lender-specific DSD assumptions where data for the specific lender is available. Other changes include a change in the forecast horizon from 20 years to 30 years and the ability of the Model to analyse second-charge loans.

DBRS Morningstar has also updated the index rate (a blend of the five-year Dutch government bond yield and the five-year Dutch swap curve) used in the estimation of the interest rate margin on fixed-rate loans.

The Dutch Addendum and the Model supersede the prior versions published on 13 March 2020 and are effective as of 4 May 2021.

As a result of the application of the Dutch Addendum and the Model, DBRS Morningstar has taken rating actions on two European Structured Finance transactions. For more information on the affected transactions, please refer to “DBRS Morningstar Places Seven Ratings of Two Dutch RMBS Transactions Under Review with Positive Implications Following Finalisation of European RMBS Insight: Dutch Addendum” at https://www.dbrsmorningstar.com/research/377935/dbrs-morningstar-places-seven-ratings-of-two-dutch-rmbs-transactions-under-review-with-positive-implications-following-update-to-european-rmbs-insight-dutch-addendum.

No comments were received during the request for comment period for the Dutch Addendum.

All comments received during the RFC period have been published to the DBRS Morningstar website, except in cases where confidentiality is requested by the respondent.

Notes:
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/373262.

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

DBRS Morningstar methodologies are publicly available on its website www.dbrsmorningstar.com under Methodologies & Criteria.

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