Morningstar DBRS Places Credit Ratings on Eight Dutch RMBS Transactions Under Review with Positive Implications Following Update to European RMBS Insight: Dutch Addendum Methodology

DBRS Ratings GmbH (Morningstar DBRS) placed its credit ratings on the following eight Dutch residential mortgage-backed security (RMBS) transactions Under Review with Positive Implications (UR-Pos.) following an update to the "European RMBS Insight: Dutch Addendum" methodology:

Dutch Property Finance 2020-1 B.V.:
-- Class D Notes rated AA (sf)
-- Class E Notes rated A (sf)

The credit ratings on the Class D and Class E Notes issued by Dutch Property Finance 2020-1 B.V. address the ultimate payment of interest and principal on or before the legal final maturity date, and the timely payment of interest while they are the senior-most class of notes outstanding.

Dutch Property Finance 2021-2 B.V.:
-- Class C Notes rated AA (sf)
-- Class D Notes rated BBB (high) (sf)

The credit ratings on the Class C and D Notes issued by Dutch Property Finance 2021-2 B.V. address the ultimate payment of interest and principal on or before the legal final maturity date, and the timely payment of interest while they are the senior-most class of notes outstanding.

Dutch Property Finance 2022-1 B.V.:
-- Class B notes rated AA (sf)
-- Class C notes rated A (high) (sf)
-- Class D notes rated BBB (sf)

The credit ratings on the Class B, Class C, and Class D notes issued by Dutch Property Finance 2022-1 B.V. address the ultimate payment of interest and principal on or before the legal final maturity date, and the timely payment of interest while they are the senior-most class of notes outstanding.

Dutch Property Finance 2022-2 B.V.:
-- Class B notes rated AA (sf)
-- Class C notes rated A (sf)
-- Class D notes rated BBB (high) (sf)

The credit ratings on the Class B, Class C, and Class D notes issued by Dutch Property Finance 2022-2 B.V. address the ultimate payment of interest and principal on or before the legal final maturity date, and the timely payment of interest while they are the senior-most class of notes outstanding.

Jubilee Place 4 B.V.:
-- Class B notes rated AA (low) (sf)
-- Class C notes rated A (low) (sf)
-- Class D notes rated BBB (sf)
-- Class E notes rated B (sf)

The credit rating on the Class B notes issued by Jubilee Place 4 B.V. addresses the ultimate payment of interest and principal on or before the legal final maturity date, and the timely payment of interest while they are the senior-most class of notes outstanding. The credit ratings on the Class C, Class D, and Class E notes address the ultimate payment of interest and principal.

Jubilee Place 5 B.V.:
-- Class B notes rated AA (sf)
-- Class C notes rated A (sf)
-- Class D notes rated BBB (high) (sf)
-- Class E notes rated BB (high) (sf)
-- Class F notes rated BB (low) (sf)

The credit rating on the Class B notes issued by Jubilee Place 5 B.V. addresses the ultimate payment of interest and principal on or before the legal final maturity date, and the timely payment of interest while they are the senior-most class of notes outstanding. The credit ratings on the Class C, Class D, Class E, and Class F notes address the ultimate payment of interest and principal.

Jubilee Place 6 B.V.:
-- Class B notes rated AA (low) (sf)
-- Class C notes rated A (high) (sf)
-- Class D notes rated BBB (high) (sf)
-- Class E notes rated BB (high) (sf)
-- Class X1 notes rated BBB (sf)

The credit rating on the Class B notes issued by Jubilee Place 6 B.V. addresses the timely payment of interest when most senior and the ultimate payment of principal by the legal final maturity date. The credit ratings on the Class C, Class D, and Class X1 notes address the ultimate payment of interest and principal. The credit rating on the Class E notes addresses the ultimate payment of principal.

Tulip Mortgage Funding 2020-1 B.V.:
-- Class B rated AA (high) (sf)
-- Class C rated AA (low) (sf)

The credit ratings on the Class B and Class C notes issued by Tulip Mortgage Funding 2020-1 B.V. address the timely payment of interest when most senior and the ultimate payment of principal by the legal final maturity date.

Morningstar DBRS also rates other classes of notes issued in each of these transactions at AAA (sf), but did not place these credit ratings under review.

KEY CREDIT RATING DRIVERS AND CONSIDERATIONS
On 11 September 2024, Morningstar DBRS finalised its updated "European RMBS Insight: Dutch Addendum" (the Methodology), which superseded the prior version published on 11 March 2024. The Methodology presents the criteria for which Dutch RMBS and Dutch covered bonds credit ratings are assigned and/or monitored.

The changes to the Methodology include a revised Dutch Loan Scoring Approach, updated house price data, market value declines, and distressed sale discounts, as well as revised rescission rates. For more details, see the following press release: https://dbrs.morningstar.com/research/439270.

Morningstar DBRS considers the aforementioned tranches to be potentially affected by the changes to the Methodology, and as a consequence, Morningstar DBRS placed the relevant credit ratings UR-Pos.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

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 Factors in Credit Ratings" at https://dbrs.morningstar.com/research/437781.

Morningstar DBRS analysed the transaction structures in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodologies applicable to the credit ratings are "Master European Structured Finance Surveillance Methodology" (6 August 2024): https://dbrs.morningstar.com/research/437540, and "European RMBS Insight: Dutch Addendum" (11 September 2024): https://dbrs.morningstar.com/research/439269.

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

Morningstar DBRS is undertaking a review and will remove the credit ratings from this status as soon as it is appropriate.

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

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Credit Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/436000.

The sources of data and information used for these credit ratings include investor reports and loan-level data provided by the cash manager, trustee, and/or servicer in each transaction.

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. 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 Dutch Property Finance 2020-1 B.V. took place on 26 January 2024, when Morningstar DBRS confirmed its credit ratings on the Class A and Class B Notes, and upgraded its credit ratings on the Class C, D, and E Notes.

The last credit rating action on Dutch Property Finance 2022-1 B.V. took place on 27 March 2024, when Morningstar DBRS confirmed its credit ratings on the Class A, Class B, and Class D notes, and upgraded its credit rating on the Class C notes.

The last credit rating action on Dutch Property Finance 2021-2 B.V. and Dutch Property Finance 2022-2 B.V. took place on 5 July 2024, when Morningstar DBRS confirmed its credit ratings on all the rated notes but upgraded its credit rating on the Class B Notes of Dutch Property Finance 2021-2 B.V.

The last credit rating action on Tulip Mortgage Funding 2020-1 B.V. took place on 10 November 2023, when Morningstar DBRS confirmed its credit ratings on the Class A, B, and C notes. The lead analyst responsibilities for this transaction have been transferred to Daniel Rakhamimov.

The last credit rating action on Jubilee Place 4 B.V. took place on 5 June 2024, when Morningstar DBRS confirmed its credit ratings on the Class A, Class B, Class C, Class D, and Class E Notes.

The last credit rating action on Jubilee Place 5 B.V. took place on 1 November 2023, when Morningstar DBRS confirmed its credit ratings on the Class A, Class B, Class C, Class D, Class E, and Class F Notes.

The last credit rating action on Jubilee Place 6 B.V. took place on 24 April 2024, when Morningstar DBRS finalised its provisional credit ratings on the Class A, Class B, Class C, Class D, Class X1, and Class E Notes. The lead analyst responsibilities for this transaction have been transferred to Shalva Beshia.

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

These credit ratings are under review. Generally, the conditions that lead to the assignment of reviews are resolved within a 90-day period. Further information on potential rating sensitivity as a result of this methodological change will be available when the under review statuses are resolved.

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.

Dutch Property Finance 2020-1 B.V., Initial Rating Date: 8 January 2020
Dutch Property Finance 2021-2 B.V., Initial Rating Date: 6 September 2021
Dutch Property Finance 2022-1 B.V., Initial Rating Date: 29 March 2022
Dutch Property Finance 2022-2 B.V., Initial Rating Date: 16 September 2022
Jubilee Place 4 B.V., Initial Rating Date: 10 June 2022
Jubilee Place 5 B.V., Initial Rating Date: 20 October 2022
Jubilee Place 6 B.V., Initial Rating Date: 4 April 2024
Lead Analyst: Shalva Beshia, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director

Tulip Mortgage Funding 2020-1 B.V.
Initial Rating Date: 26 October 2020
Lead Analyst: Daniel Rakhamimov, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director

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Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

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

-- Master European Structured Finance Surveillance Methodology (6 August 2024),
https://dbrs.morningstar.com/research/437540
--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 v10.0.0.0,
https://dbrs.morningstar.com/research/430103
-- European RMBS Insight: Dutch Addendum (11 September 2024)
https://dbrs.morningstar.com/research/439269
-- Interest Rate Stresses for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435278
-- Legal Criteria for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435165
-- Operational Risk Assessment for European Structured Finance Servicers (6 August 2024),
https://dbrs.morningstar.com/research/437543
-- Operational Risk Assessment for European Structured Finance Originators (6 August 2024), https://dbrs.morningstar.com/research/437541
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024),
https://dbrs.morningstar.com/research/437781
-- Derivative Criteria for European Structured Finance Transactions (6 September 2024),
https://dbrs.morningstar.com/research/439043

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 info-DBRS@morningstar.com.