Morningstar DBRS Confirms Credit Rating on Sinopel 2019 B.V.

DBRS Ratings GmbH (Morningstar DBRS) confirmed its AAA (sf) credit rating on the Class A notes issued by Sinopel 2019 B.V. (the Issuer).

The credit rating addresses the timely payment of interest and the ultimate repayment of principal by the legal final maturity date in October 2064.

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 2024 payment date;
-- Portfolio default rate (PD), loss given default (LGD), and expected loss assumptions on the current portfolio of 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, which closed in 2019, is a securitisation of prime residential mortgages originated by Triodos Bank N.V. (Triodos) and secured over properties in the Netherlands. Triodos lends with an underlying mission to add environmental or social value. It acts as the master servicer, but delegates primary servicing to Stater Nederland B.V. and Hypocasso B.V., Hypocasso B.V. was appointed as subservicer on 1 May 2020 and is also responsible for special servicing. The transaction underwent a significant amendment in November 2022; for further details on the amendment, please refer to the following link: https://dbrs.morningstar.com/research/405945/dbrs-morningstar-confirms-rating-on-sinopel-2019-bv-following-amendment.

PORTFOLIO PERFORMANCE
As of the October 2024 payment date, loans that were 30 to 60 days delinquent represented 0.11% of the outstanding principal balance, with no loans more than 60 days delinquent. There has been a single foreclosed mortgage loan to date, representing 0.01% of the aggregate initial collateral balance, with a 100% recovery rate.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables based on the updated loan-by-loan tape and has updated its base case PD and LGD assumptions to 0.5% and 9.7%, respectively.

CREDIT ENHANCEMENT
The subordination of the Class B notes provides credit enhancement to the Class A notes. As of the October 2024 payment date, credit enhancement to the Class A notes was equal to 5.6%, up from 5.3% at the time of the last annual review twelve months ago.

The transaction benefits from liquidity support provided by the cash advance facility extended by Coöperatieve Rabobank U.A., with a maximum drawable amount equal to 0.30% of the outstanding Class A notes balance, subject to a floor of EUR 1.40 million. It is available to cover senior fees and interest on the Class A notes.

Coöperatieve Rabobank U.A. acts as the account bank for the transaction. Based on Coöperatieve Rabobank U.A.'s reference rating of AA, which is one notch below its Morningstar DBRS 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 bank to be consistent with the credit rating assigned to the Class A notes in the transaction, as described in Morningstar DBRS' "Legal Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS' credit rating on the Class A notes addresses 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' 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 First Optional Redemption Date (as defined in and) in accordance with the applicable transaction documents.

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, GOVERNANCE CONSIDERATIONS

Social (S) Factors
Morningstar DBRS considered the presence of 9.3% of loans backed by the Nationale Hypotheek Garantie (NHG) guarantee to be a relevant credit 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 "European RMBS Insight: Dutch Addendum". This is credit positive; however, it did not affect the credit rating of the Class A notes.

There were no Environmental/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 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 (6 August 2024), https://dbrs.morningstar.com/research/437540.

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 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 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 this credit rating include investor and servicer reports provided by Intertrust Administrative Services B.V. (the Issuer Administrator) and loan-level data provided by 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 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 credit rating process.

The last rating action on this transaction took place on 17 November 2023, when Morningstar DBRS confirmed its AAA (sf) credit rating on the Class A notes.

The lead analyst responsibilities for this transaction have been transferred to Daniel Rakhamimov.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available at 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 0.5% and 9.7%, 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 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 (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, Associate Managing Director
Initial Rating Date: 19 July 2019

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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 (6 August 2024),
https://dbrs.morningstar.com/research/437540.
-- European RMBS Insight Methodology (18 September 2024) and European RMBS Insight Model v10.0.0.0,
https://dbrs.morningstar.com/research/439573.
-- European RMBS Insight: Dutch Addendum (11 September 2024),  
https://dbrs.morningstar.com/research/439269.  
-- Legal Criteria for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435165.
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024),
https://dbrs.morningstar.com/research/439571.
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024),
https://dbrs.morningstar.com/research/439913.
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024),
https://dbrs.morningstar.com/research/437781.

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/439604.

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