Morningstar DBRS Upgrades and Confirms Credit Ratings on Three Dutch Property Finance B.V. Transactions

DBRS Ratings GmbH (Morningstar DBRS) took the following credit rating actions on the notes issued by Dutch Property Finance 2020-1 B.V. (DPF 2020-1), Dutch Property Finance 2021-1 B.V. (DPF 2021-1), and Dutch Property Finance 2023-1 B.V. (DPF 2023-1):

DPF 2020-1:
-- Class A Notes confirmed at AAA (sf)
-- Class B Notes confirmed at AAA (sf)
-- Class C Notes upgraded to AAA (sf) from AA (high) (sf)
-- Class D Notes upgraded to AA (sf) from A (low) (sf)
-- Class E Notes upgraded to A (sf) from BBB (high) (sf)

DPF 2021-1:
-- Class A notes confirmed at AAA (sf)
-- Class B notes confirmed at AA (high) (sf)
-- Class C notes confirmed at AA (low) (sf)
-- Class D notes confirmed at BBB (high) (sf)

DPF 2023-1:
-- Class A notes confirmed at AAA (sf)
-- Class B notes confirmed at AA (low) (sf)
-- Class C notes confirmed at A (low) (sf)
-- Class D notes confirmed at BBB (sf)

The credit ratings on the Class A notes in each transaction and the credit ratings on the DPF 2020-1 Class B Notes and DPF 2020-1 Class C Notes address the timely payment of interest and full repayment of principal by the legal maturity date. The credit ratings on the DPF 2021-1 and DPF 2023-1 Class B, DPF 2021-1 and DPF 2023-1 Class C, Class D notes, and the DPF 2020-1 Class E Notes address the ultimate payment of interest and principal while junior and the timely payment of interest while the senior-most class outstanding.

The upgrades and confirmations follow an annual review of each transaction and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the October 2023 payment date (30 September 2023 portfolio cut-off date);
-- Portfolio default rate (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables; and
-- Current available credit enhancement (CE) to the notes to cover the expected losses at their respective credit rating levels.

The transactions are securitisations of mortgage loans secured against buy-to-let residential, mixed-use, and commercial real estate properties located in the Netherlands. RNHB B.V. (RNHB) either originated or acquired the mortgage loans and Vesting Finance Servicing B.V. services the portfolios.

PORTFOLIO PERFORMANCE
DPF 2020-1:
Delinquencies have been low since closing: as of 30 September 2023, loans two to three months in arrears and more than three months in arrears were both null compared with 0.3% and 0.4%, respectively, at the last annual review. The cumulative defaults were 0.0% of the total receivables purchased since closing (including further advances).

DPF 2021-1:
Delinquencies have been low since closing: as of 30 September 2023, loans two to three months in arrears and more than three months in arrears were both null, compared with 0.3% and 0.0%, respectively, at the last annual review. The cumulative defaults were 0.3% of the total receivables purchased since closing (including further advances); three properties have been repossessed and sold without any losses since closing.

DPF 2023-1:
Delinquencies have been low since closing: as of 30 September 2023, loans two to three months in arrears and more than three months in arrears were marginal. The cumulative defaults were 0.0%.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables in each transaction and updated its base case PD and LGD assumptions at the B (sf) credit rating level as follows:

DPF 2020-1: Base case PD of 6.9%; base case LGD of 10.1%
DPF 2021-1: Base case PD of 6.4%; base case LGD of 10.0%
DPF 2023-1: Base case PD of 6.6%; base case LGD of 13.4%

CREDIT ENHANCEMENT AND RESERVES
CE is provided by the subordination of the junior classes and a reserve fund.

DPF 2020-1:
As of the October 2023 payment date, CE increased as follows since the last annual review:
-- CE to the Class A Notes to 41.8% from 31.9%;
-- CE to the Class B Notes to 30.6% from 23.3%;
-- CE to the Class C Notes to 22.5% from17.1%;
-- CE to the Class D Notes to 12.1% from 9.2%; and
-- CE to the Class E Notes to 9.8% from 7.5%.

The substantial increase in CE drives the upgrades on the DPF 2020-1 transaction.

DPF 2021-1:
As of the October 2023 payment date, CE increased as follows since the last annual review:
-- CE to the Class A to 24.0% from 21.7%;
-- CE to the Class B to 18.6% from16.9%;
-- CE to the Class C to 12.9% from11.7%; and
-- CE to the Class D to 6.8% from 6.1%.

DPF 2023-1:
As of the October 2023 payment date, CE increased as follows since closing:
-- CE to the Class A to 18.0% from 17.3%;
-- CE to the Class B to 11.8% from 11.3%;
-- CE to the Class C to 8.4% from 8.0%; and
-- CE to the Class D to 5.2% from 5.0%.

The reserve fund in each transaction is available to cover senior fees, interest, swap payments, and principal via the principal deficiency ledgers (PDLs) on the rated notes. As of the October 2023 payment date, the reserve fund was at its target level of approximately EUR 6.0 million, EUR 10.5 million, and EUR 10.0 million in DPF 2020-1, DPF 2021-1, and DPF 2023-1, respectively.

As of the October 2023 payment date, PDLs were clear in all transactions.

As of the October 2023 payment date, cumulative deferred interest on the Class E and Class F notes in DPF 2023-1 were approximately EUR 0.9 million and EUR 0.7 million, respectively. Morningstar DBRS doesn't rate the Class E and Class F notes in DPF 2023-1.

Elavon Financial Services DAC, U.K. Branch (Elavon) acts as the account bank for each transaction. Based on Morningstar DBRS' private credit rating on Elavon, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structures, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit ratings assigned to the Class A notes in each transaction, as described in Morningstar DBRS' "Legal Criteria for European Structured Finance Transactions" methodology.

NatWest Markets Plc acts as the swap counterparty in the DPF 2020-1 while or NatWest Markets N.V. act as the swap counterparty in DPF 2021-1 and DPF 2023-1. Morningstar DBRS' public Long Term Critical Obligations Credit Rating of AA (low) on NatWest Markets Plc or Long-Term Issuer Rating of "A" on NatWest Markets N.V. are consistent with the first credit rating threshold as described in Morningstar DBRS' "Derivative Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS' credit ratings on the rated notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents.

Morningstar DBRS' credit ratings on the rated notes also address the credit risk associated with the increased rate of interest applicable to the rated notes if the rated notes are not redeemed on the Optional Redemption Date (as defined in and) in accordance with the applicable transaction document(s).

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at
https://dbrs.morningstar.com/research/427030.

Morningstar DBRS analysed the transaction structure in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is: "Master European Structured Finance Surveillance Methodology" (11 December 2023), https://dbrs.morningstar.com/research/425148.

Other methodologies referenced in this transaction are listed at the end of this press release.

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

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent credit rating action.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/421590.

The sources of data and information used for these credit ratings include investor reports provided by U.S. Bank Global Corporate Trust Limited, loan-level data and property-level data provided by RNHB and loan-level data provided by the European DataWarehouse GmbH.

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

At the time of the initial credit ratings, Morningstar DBRS was not supplied with third-party assessments. However, this did not affect the credit rating analysis.

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

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

The last credit rating action on these transactions took place as follows:
-- on 27 January 2023 for DPF 2020-1, when Morningstar DBRS confirmed its AAA (sf) credit ratings on the Class A Notes and upgraded its credit ratings on the Class B, Class C, Class D, and Class E notes to AAA (sf), AA (high) (sf), A (low) (sf), and BBB (high) (sf), respectively, from AA (high) (sf), A (high) (sf), BBB (sf), and BBB (low) (sf), respectively.
-- on 27 January 2023 for DPF 2021-1, when Morningstar DBRS confirmed its credit ratings on Class A and Class D notes at AAA (sf) and BBB (high) (sf), respectively, and upgraded its credit ratings on the Class B and Class C notes to AA (high) (sf) and AA (low) (sf), respectively, from AA (sf) and A (sf), respectively.
-- on 8 February 2023 for DPF 2023-1, when Morningstar DBRS finalised its provisional credit ratings on the Class A, Class B, Class C, and Class D notes at AAA (sf), AA (low) (sf), A (low) (sf), and BBB (sf), respectively.

The lead analyst responsibilities for the DPF 2023-1 transaction have been transferred to Shalva Beshia.

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

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit rating, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit rating (the base case):

-- Morningstar DBRS expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.

-- The base case PD and LGD of the current pool of loans for the Issuer at the B (sf) credit rating level are as follows:

-- DPF 2020-1: Base case PD of 6.9%; base case LGD of 10.1%
-- DPF 2021-1: Base case PD of 6.4%; base case LGD of 10.0%
-- DPF 2023-1: Base case PD of 6.6%; base case LGD of 13.4%

-- The risk sensitivity overview below illustrates the credit ratings expected if the PD and LGD increase by a certain percentage over the base case assumption.

DPF 2020-1:
Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

Class C Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

Class D Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (low) (sf)
-- 50% increase in LGD, expected credit rating of A (high) (sf)
-- 25% increase in PD, expected credit rating of AA (low) (sf)
-- 50% increase in PD, expected credit rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of A (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of A (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A (low) (sf)

Class E Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of A (sf)
-- 50% increase in LGD, expected credit rating of A (low) (sf)
-- 25% increase in PD, expected credit rating of A (sf)
-- 50% increase in PD, expected credit rating of A (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of A (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of A (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of A (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BBB (high) (sf)

DPF 2021-1:
Class A Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)

Class B Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD, expected credit rating of AA (high) (sf)
-- 50% increase in PD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A (high) (sf)

Class C Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (low) (sf)
-- 50% increase in LGD, expected credit rating of A (high) (sf)
-- 25% increase in PD, expected credit rating of A (high) (sf)
-- 50% increase in PD, expected credit rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of A (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of A (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A (low) (sf)

Class D Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of BBB (high) (sf)
-- 50% increase in LGD, expected credit rating of BBB (high) (sf)
-- 25% increase in PD, expected credit rating of BBB (high) (sf)
-- 50% increase in PD, expected credit rating of BBB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of BBB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BBB (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BBB (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BBB (low) (sf)

DPF 2023-1:
Class A Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD, expected credit rating of AA (high) (sf)
-- 50% increase in PD, expected credit rating of AA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A (high) (sf)

Class B Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in LGD, expected rating of A (sf)
-- 25% increase in PD, expected rating of A (high) (sf)
-- 50% increase in PD, expected rating of A (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)

Class C Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of BBB (high) (sf)
-- 50% increase in LGD, expected credit rating of BBB (high) (sf)
-- 25% increase in PD, expected credit rating of BBB (high) (sf)
-- 50% increase in PD, expected credit rating of BBB (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of BBB (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BBB (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BBB (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BB (high) (sf)

Class D Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of BB (high) (sf)
-- 50% increase in LGD, expected credit rating of BB (high) (sf)
-- 25% increase in PD, expected credit rating of BB (high) (sf)
-- 50% increase in PD, expected credit rating of BB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of BB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BB (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BB (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BB (low) (sf)

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

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

Lead Analyst: Shalva Beshia, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date:
DPF 2020-1: 8 January 2020
DPF 2021-1: 10 February 2021
DPF 2023-1: 18 January 2023

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Master European Structured Finance Surveillance Methodology (11 December 2023), https://dbrs.morningstar.com/research/425148
--European CMBS Rating and Surveillance Methodology (17 January 2024)
https://dbrs.morningstar.com/research/426818
-- European RMBS Insight Methodology (27 March 2023) and European RMBS Insight Model v 6.0.2.0, https://dbrs.morningstar.com/research/411634
-- European RMBS Insight: Dutch Addendum (24 April 2023), https://dbrs.morningstar.com/research/413034
-- Interest Rate Stresses for European Structured Finance Transactions (15 September 2023), https://dbrs.morningstar.com/research/420602
-- Derivative Criteria for European Structured Finance Transactions (18 September 2023), https://dbrs.morningstar.com/research/420754
-- Legal Criteria for European Structured Finance Transactions (30 June 2023), https://dbrs.morningstar.com/research/416730
-- Operational Risk Assessment for European Structured Finance Servicers (15 September 2023), https://dbrs.morningstar.com/research/420572
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (23 January 2024),
https://dbrs.morningstar.com/research/427030

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

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.