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

DBRS Ratings GmbH (Morningstar DBRS) confirmed its AAA (sf) credit rating on the Class A Notes issued by Securitised Residential Mortgage Portfolio I 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 September 2050. Morningstar DBRS does not rate the Class B Notes also issued under this transaction.

The credit rating 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 March 2024 payment date;
-- Portfolio default rate (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) credit 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 1,040.9 million at closing comprised primarily interest-only mortgage loans (57.0% of the portfolio balance). The transaction originally had a first optional redemption date (FORD) in September 2023, which was extended by 12 months to September 2024. 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, Achmea assigned subservicing activities to Syntrus Achmea Hypotheekdiensten B.V., a subsidiary within the Achmea group.

PORTFOLIO PERFORMANCE
As of the March 2024 payment date, loans that were 0 to 60 days and 60 to 90 days delinquent represented 0.3% and 0.1% of the outstanding principal balance, respectively, while loans more than 90 days delinquent represented 0.6%. Cumulative foreclosed and sold properties amounted to 0.2% of the original portfolio balance, 86.2% of which has been recovered to date.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD assumption to 4.4% as well as maintained its LGD assumption at 10.0%.

CREDIT ENHANCEMENT
The subordination of the Class B Notes and the cash reserve provide credit enhancement to the Class A Notes. As of the March 2024 payment date, credit enhancement to the Class A Notes increased to 37.9% from 33.8% at the time of Morningstar DBRS' last review 12 months ago.

The transaction benefits from a nonamortising cash reserve fund, which is available to cover senior expenses and interest on the Class A Notes as well as to cure the Class A principal deficiency ledger (PDL) balance. This reserve was funded to EUR 15.7 million at closing with the proceeds from the issuance of the junior notes and has remained at its target level since. The PDL mechanism in the transaction provides credit support to the Class A Notes by tracking realised losses on the collateral portfolio and any losses arising from borrower set-off which the seller did not indemnify.

The transaction additionally 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 equal to 2.0% of the outstanding principal balance of the Class A and Class B Notes with a floor of EUR 10.4 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. Based on Morningstar DBRS' private credit rating on BNG Bank N.V., 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 bank 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.

ABN AMRO Bank N.V. (ABN AMRO) acts as the interest rate cap provider for the transaction. Morningstar DBRS' Long Term Critical Obligations Rating of AA on ABN AMRO is above the first rating threshold as described in Morningstar DBRS' "Derivative Criteria for European Structured Finance Transactions" methodology.

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

Morningstar DBRS' credit rating on the Class A Notes also addresses the credit risk associated with the increased rate of interest applicable to the Class A Notes if the Class A Notes are not redeemed on the FORD (as defined in and) in accordance with the applicable transaction documents.

Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations, in this case the Class A excess consideration and the Class A additional amounts payable to the Class A Noteholders on payment dates following the FORD.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of defaults to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the term 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 rating is: Master European Structured Finance Surveillance Methodology (7 March 2024), https://dbrs.morningstar.com/research/429051.

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 other transaction legal documents was not conducted as they have remained unchanged since the most recent credit rating action. Morningstar DBRS received and reviewed an amendment agreement in August 2023 for the extension of the FORD.

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 DBRS Morningstar 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 and servicer 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 credit rating analysis.

Morningstar DBRS considers the data and information available to it for the purpose 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 credit rating process.

The last credit rating action on this transaction took place on 26 May 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 at https://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 4.4% and 10.0%, respectively.

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)

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: Christian Aufsatz, Managing Director
Initial Rating Date: 1 June 2018

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 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 (7 March 2024), https://dbrs.morningstar.com/research/429051
-- European RMBS Insight Methodology (25 March 2024) and European RMBS Insight Model v7.0.1.0, https://dbrs.morningstar.com/research/430103
-- European RMBS Insight: Dutch Addendum (11 March 2024),
https://dbrs.morningstar.com/research/429169
-- 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
-- Derivative Criteria for European Structured Finance Transactions (18 September 2023), https://dbrs.morningstar.com/research/420754
-- 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 https://dbrs.morningstar.com or contact us at [email protected].