DBRS Morningstar Publishes Final European RMBS Insight: Dutch Addendum

DBRS Morningstar finalised its “European RMBS Insight: Dutch Addendum” methodology (the Methodology).

This Methodology presents the criteria for which Dutch residential mortgage-backed securities (RMBS) and Dutch covered bonds ratings are assigned and/or monitored.

The Methodology supersedes the prior version published on 7 March 2022 and is effective as of 24 April 2023.

DBRS Morningstar updated its house price indexation and market value decline rates to reflect data through the fourth quarter of 2022. Please see Exhibit 5 of the new “European RMBS Insight: Dutch Addendum” for more details.

DBRS Morningstar currently rates 105 classes of notes across 34 Dutch RMBS transactions. The Methodology updates could lead to lower expected losses on a small number of transactions, but no outstanding public ratings are expected to be affected as a result of these changes.

There are no outstanding DBRS Morningstar ratings on Dutch covered bonds, small and medium-size enterprises collateralised loan obligations, or nonperforming loan securitisations and, hence, there is no rating impact.

No comments were received during the request for comment (RFC) period. 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 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/396929.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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

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