Morningstar DBRS Confirms Credit Rating on Securitised Residential Mortgage Portfolio II B.V.

DBRS Ratings GmbH (Morningstar DBRS) confirmed its AAA (sf) credit rating on the Class A notes issued by Securitised Residential Mortgage Portfolio II B.V (the Issuer).

The credit rating addresses the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date in October 2052.

The confirmation follows an annual review of the transaction and is based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the October 2023 payment date;
-- Probability of default (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables; and
-- Current available credit enhancement to the Class A notes to cover the expected losses at the AAA (sf) rating level.

The transaction is a static securitisation of Dutch prime residential mortgage loans originated by Achmea Bank N.V. (Achmea) and its subsidiaries. The collateral portfolio of EUR 1,525.2 million at closing comprised primarily interest-only mortgage loans (63.4% of the portfolio balance), including mortgages with various principal repayment vehicles. The transaction closed in January 2021 and has a first optional redemption date in April 2026. Achmea appointed Quion Services B.V. as its subagent to carry out all primary servicing activities, but retained arrears and foreclosure management responsibilities. In November 2022, the subservicing activities were assigned to Syntrus Achmea Hypotheekdiensten B.V., a subsidiary within the Achmea group.

PORTFOLIO PERFORMANCE
As of 30 September 2023, loans that were 30 to 60 days and 60 to 90 days delinquent represented 0.13% and 0.02% of the outstanding portfolio balance, respectively, while loans more than 90 days delinquent represented 0.09%. There have been no foreclosed properties or realised losses reported to date.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and maintained its base case PD and LGD assumptions at 3.2% and 8.3%, respectively.

CREDIT ENHANCEMENT
The subordination of the Class B notes provides credit enhancement to the Class A notes. As of the October 2023 payment date, credit enhancement to the Class A notes increased to 8.4% from 7.4% at the time of the last annual review 12 months ago.

The transaction benefits from liquidity support in the form of a cash advance facility that Achmea extended to the Issuer. The cash advance facility has a maximum drawable balance of 0.25% of the outstanding principal balance of the Class A and Class B notes, with a floor of EUR 1.53 million, available to cover shortfalls on senior expenses and Class A interest payments.

BNG Bank N.V. acts as the account bank for the transaction while BNP Paribas SA acts as the backup account bank. Based on Morningstar DBRS’ private rating on BNG Bank N.V. and BNP Paribas SA’s Long Term Critical Obligations Rating of AA (high), the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account banks to be consistent with the credit rating assigned to the Class A notes, as described in Morningstar DBRS' "Legal Criteria for European Structured Finance Transactions" methodology.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
Social (S) Factors
Morningstar DBRS considered the presence of 32.4% of loans backed by the NHG guarantee to be a relevant rating factor (Social Impact of Product & Services) as outlined within the “Morningstar DBRS’ Approach to Environmental, Social and Governance Risk Factors in Credit Ratings” framework. Morningstar DBRS assumed reduced loss severities for loans backed by an NHG guarantee as outlined in its methodology “European RMBS Insight: Dutch Addendum” (https://dbrs.morningstar.com/research/413034). While this is credit positive, it did not affect the credit rating on the Class A notes.

There were no Environmental or 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 rating is the “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 transaction in accordance with the principal methodology.

A review of the transaction legal documents was not conducted as they 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 this credit rating include investor reports provided by Intertrust Administrative Services B.V. 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 rating, Morningstar DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.

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

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

The last credit rating action on this transaction took place on 27 January 2023, when Morningstar DBRS confirmed its AAA (sf) credit rating on the Class A notes.

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 are 3.2% and 8.3%, respectively. At the AAA (sf) credit rating scenario, the PD and LGD are 20.2% and 21.7%, respectively.

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)

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.

This credit rating is endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Daniel Rakhamimov, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 27 January 2021

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://www.dbrsmorningstar.com/about/methodologies.

-- Master European Structured Finance Surveillance Methodology (11 December 2023),
https://dbrs.morningstar.com/research/425148
-- European RMBS Insight Methodology (27 March 2023) and European RMBS Insight Model v6.0.2.0,
https://dbrs.morningstar.com/research/411634
-- European RMBS Insight: Dutch Addendum (24 April 2023),
https://dbrs.morningstar.com/research/413034
-- 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
-- Interest Rate Stresses for European Structured Finance Transactions (15 September 2023),
https://dbrs.morningstar.com/research/420602
-- 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.