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 2020-2 B.V. (DPF 2020-2), Dutch Property Finance 2021-2 B.V. (DPF 2021-2), and Dutch Property Finance 2022-2 B.V. (DPF 2022-2):

DPF 2020-2:
-- Class A Notes confirmed at AAA (sf)
-- Class B Notes upgraded to AAA (sf) from AA (high) (sf)
-- Class C Notes upgraded to AA (high) (sf) from AA (sf)
-- Class D Notes confirmed at A (sf)
-- Class E Notes confirmed at BBB (high) (sf)

DPF 2021-2:
-- Class A notes confirmed at AAA (sf)
-- Class B notes upgraded to AAA (sf) from AA (high) (sf)
-- Class C notes confirmed at AA (sf)
-- Class D notes confirmed at BBB (high) (sf)

DPF 2022-2:
-- Class A notes confirmed at AAA (sf)
-- Class B notes confirmed at AA (sf)
-- Class C notes confirmed at A (sf)
-- Class D notes confirmed at BBB (high) (sf)

The credit ratings on the Class A notes in each transaction and the credit ratings on the DPF 2020-2 and DPF 2021-2 Class B notes address the timely payment of interest and full repayment of principal by the legal maturity date. The credit ratings on the DPF 2022-2 Class B notes, DPF 2020-2 Class E notes and the Class C and D notes in each transaction 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 April 2024 payment date (31 March 2024 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 2020-2:
Delinquencies have been low since closing: as of 31 March 2024, loans two to three months in arrears and more than three months in arrears were zero, same at the last annual review. There were no cumulative defaults.

DPF 2021-2:
Delinquencies have been low since closing: as of 31 March 2024, loans two to three months in arrears and more than three months in arrears were 0.2% and zero of the outstanding portfolio balance compared with 0.3% and zero, respectively, at the last annual review. There were no cumulative defaults.

DPF 2022-2:
Delinquencies have been low since closing: as of 31 March 2024, loans two to three months in arrears and more than three months in arrears were zero and 0.1% compared to both being zero at the last annual review. There were no cumulative defaults.

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 2020-2: Base case PD of 6.0%; base case LGD of 12.7%
-- DPF 2021-2: Base case PD of 6.6%; base case LGD of 10.1%
-- DPF 2022-2: Base case PD of 7.5%; base case LGD of 10.2%

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

DPF 2020-2:
As of the April 2024 payment date, CE increased as follows since the last annual review:
-- CE to the Class A Notes to 32.4% from 28.7%;
-- CE to the Class B Notes to 26.5% from 23.4%;
-- CE to the Class C Notes to 19.8% from17.5%;
-- CE to the Class D Notes to 10.9% from 9.6%; and
-- CE to the Class E Notes to 8.4% from 7.5%.

DPF 2021-2:
As of the April 2024 payment date, CE increased as follows since the last annual review:
-- CE to the Class A to 25.1% from 22.7%;
-- CE to the Class B to 19.3% from 17.5%;
-- CE to the Class C to 13.2% from 11.9%; and
-- CE to the Class D to 7.0% from 6.3%.

DPF 2022-2:
As of the April 2024 payment date, CE increased as follows since closing:
-- CE to the Class A to 19.6% from 18.3%;
-- CE to the Class B to 12.8% from 12.0%;
-- CE to the Class C to 9.1% from 8.5%; and
-- CE to the Class D to 5.7% from 5.3%.

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 April 2024 payment date, the reserve funds were at their target levels of approximately EUR 6.5 million, EUR 9.5 million, and EUR 5.0 million in DPF 2020-2, DPF 2021-2, and DPF 2022-2, respectively.

As of the April 2024 payment date, PDLs were clear in all transactions.

As of the April 2024 payment date, cumulative deferred interest on the Class E and Class F notes in DPF 2022-2 were approximately EUR 0.8 million and EUR 0.6 million, respectively. Morningstar DBRS does not rate either class of notes.

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 transactions' documents, and other mitigating factors inherent in the transactions' 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 (NatWest) acts as the swap counterparty in each transaction. Morningstar DBRS' public Long Term Critical Obligations Credit Rating of AA (low) on NatWest or Long-Term Issuer Rating of "A" on NatWest 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' credit ratings do not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations.

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 (23 January 2024) 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" (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 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 supplied with third-party assessments for DPF 2020-2. However, this did not impact the credit rating analysis.

At the time of the initial credit ratings, Morningstar DBRS was not supplied with third-party assessments for DPF 2021-2 and 2022-2. However, this did not impact 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 the transactions took place on 7 July 2023, when Morningstar DBRS took the following credit rating actions:
-- DPF 2020-2: Morningstar DBRS confirmed its credit ratings on the Class A, Class B, and Class C notes at AAA (sf), AA (high) (sf), and AA (sf), respectively, and upgraded its credit ratings on the Class D and Class E notes to A (sf) and BBB (high) (sf), respectively, from A (low) (sf) and BBB (sf), respectively.
-- DPF 2021-2: Morningstar DBRS confirmed its credit ratings on the Class A, Class B, and Class D notes at AAA (sf), AA (high) (sf), and BBB (high) (sf), respectively, and upgraded its credit ratings on the Class C notes to AA (sf) from A (high) (sf).
-- DPF 2022-2: Morningstar DBRS confirmed its credit ratings on the Class A, Class B, Class C, and Class D notes at AAA (sf), AA (sf), A (sf), and BBB (high) (sf), respectively.

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 each Issuer at the B (sf) credit rating level are as follows:

-- DPF 2020-2: Base case PD of 6.0%; base case LGD of 12.7%
-- DPF 2021-2: Base case PD of 6.6%; base case LGD of 10.1%
-- DPF 2022-2: Base case PD of 7.5%; base case LGD of 10.2%

-- 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 2020-2
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 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 (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (low) (sf)

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

Class E Notes 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 2021-2
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 AA (high) (sf)

Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in LGD, expected credit rating of AA (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 (high) (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 C Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in LGD, expected credit rating of AA (low) (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 (high) (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 D Notes 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 2022-2
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 AA (high) (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 AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (low) (sf)

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

Class D Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of BBB (low) (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 B (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.

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, Associate Managing Director
Initial Rating Date: September 08, 2020

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 CMBS Rating and Surveillance Methodology (17 January 2024)
https://dbrs.morningstar.com/research/426818
--European RMBS Insight Methodology (25 March 2024) and European RMBS Insight Model v 8.0.0.1
https://dbrs.morningstar.com/research/430103
--European RMBS Insight: Dutch Addendum (11 March 2024)
https://dbrs.morningstar.com/research/429169
--Interest Rate Stresses for European Structured Finance Transactions (28 June 2024)
https://dbrs.morningstar.com/research/435278
--Derivative Criteria for European Structured Finance Transactions (28 June 2024)
https://dbrs.morningstar.com/research/435260
--Legal Criteria for European Structured Finance Transactions (28 June 2024)
https://dbrs.morningstar.com/research/435165
--Operational Risk Assessment for European Structured Finance Servicers (15 September 2023)
https://dbrs.morningstar.com/research/420572
--Operational Risk Assessment for European Structured Finance Originators (15 September 2023)
https://dbrs.morningstar.com/research/420573
--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.