Morningstar DBRS Upgrades and Confirms Credit Ratings on Four Dutch Property Finance B.V. Transactions Following Update to European RMBS Insight Methodology, Appendix 6 -- Dutch Addendum

DBRS Ratings GmbH (Morningstar DBRS) took credit rating actions on the notes issued by Dutch Property Finance 2020-1 B.V. (DPF 2020-1), Dutch Property Finance 2021-2 B.V. (DPF 2021-2), Dutch Property Finance 2022-1 B.V. (DPF 2022-1), and Dutch Property Finance 2022-2 B.V. (DPF 2022-2) as follows:

DPF 2020-1
-- Class A Notes confirmed at AAA (sf)
-- Class B Notes confirmed at AAA (sf)
-- Class C Notes confirmed at AAA (sf)
-- Class D Notes confirmed at AA (sf)
-- Class E Notes upgraded to A (high) (sf) from A (sf)

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

DPF 2022-1
-- Class A confirmed at AAA (sf)
-- Class B upgraded to AA (high) (sf) from AA (sf)
-- Class C upgraded to AA (sf) from A (high) (sf)
-- Class D confirmed at BBB (sf)

DPF 2022-2
-- Class A confirmed at AAA (sf)
-- Class B confirmed at AA (sf)
-- Class C upgraded to A (high) (sf) from A (sf)
-- Class D confirmed at BBB (high) (sf)

Morningstar DBRS also removed the Under Review with Positive Implications (UR-Pos.) status from all classes of notes where they were placed on 17 September 2024, except for those already rated AAA (sf).

In DPF 2020-1, the credit ratings on the Class A, Class B, and Class C Notes address the timely payment of interest and ultimate payment of principal on or before the legal final maturity date. The credit ratings on the Class D and Class E Notes address the timely payment of interest while the senior-most class outstanding otherwise ultimate payment of interest and principal on or before the legal final maturity date.

In DPF 2021-2, the credit ratings on the Class A and Class B Notes address the timely payment of interest and ultimate payment of principal on or before the legal final maturity date. The credit ratings on the Class C and Class D Notes address the timely payment of interest while the senior-most class outstanding otherwise ultimate payment of interest and principal on or before the legal final maturity date.

In DPF 2022-1, the credit rating on the Class A notes addresses the timely payment of interest and ultimate payment of principal on or before the legal final maturity date. The credit ratings on the Class B, Class C, and Class D notes address the timely payment of interest while the senior-most class outstanding otherwise ultimate payment of interest and principal on or before the legal final maturity date.

In DPF 2022-2, the credit rating on the Class A notes addresses the timely payment of interest and ultimate payment of principal on or before the legal final maturity date. The credit ratings on the Class B, Class C, and Class D notes address the timely payment of interest while the senior-most class outstanding otherwise ultimate payment of interest and principal on or before the legal final maturity date.

CREDIT RATING RATIONALE
The credit rating actions resulted from full transaction reviews following Morningstar DBRS' finalisation of its "European RMBS Insight: Dutch Addendum" on 11 September 2024, subsequently included as Appendix 6 -- Dutch Addendum to its "European RMBS Insight Methodology" as of 3 December 2024. The credit rating actions conclude the under review period for the transactions, which began on 17 September 2024. For more details, please see the following press release: https://dbrs.morningstar.com/research/439536.

The Methodology presents the criteria for which Dutch RMBS credit ratings and, where relevant, 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.

In addition to the material changes introduced in the methodology, the credit rating actions are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults, and losses as of 30 September 2024 (corresponding with the October 2024 payment date);
-- Portfolio default rate (PD), loss given default (LGD), and expected loss assumptions based on potential portfolio migration due to the purchase of further advances according to the asset conditions; and
-- Current available credit enhancement (CE) to the notes to cover the expected losses at their respective credit rating levels.

PORTFOLIO PERFORMANCE
DPF 2020-1:
Delinquencies have been low since closing. As of 30 September 2024, loans two to three months in arrears and more than three months in arrears were zero, same as at the last annual review. There were no cumulative defaults.

DPF 2021-2:
Delinquencies have been low since closing. As of 30 September 2024, loans two to three months in arrears and more than three months in arrears were 0.2% and 0.3% of the outstanding portfolio balance, respectively, compared with 0.2% and zero, respectively, at the last annual review. There were no cumulative defaults.

DPF 2022-1:
Delinquencies have been low since closing. As of 30 September 2024, loans two to three months in arrears and more than three months in arrears were 0.2% and 0.3% of the outstanding portfolio balance, respectively, compared with both 0.1%, at the last annual review. There were no cumulative defaults.

DPF 2022-2:
Delinquencies have been low since closing. As of 30 September 2024, loans two to three months in arrears and more than three months in arrears were zero and 0.3% of the outstanding portfolio balance, respectively, compared with zero and 0.1%, respectively, 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 transaction pools based on a potential portfolio migration due to the purchase of further advances according to asset conditions in each transaction, and updated its base case PD and LGD assumptions at the B (sf) credit rating level as follows:

-- DPF 2020-1: a base case PD of 3.3% and a base case LGD of 10.2%
-- DPF 2021-2: a base case PD of 3.1% and a base case LGD of 10.1%
-- DPF 2022-1: a base case PD of 2.9% and a base case LGD of 10.6%
-- DPF 2022-2: a base case PD of 3.0% and a base case LGD of 10.6%

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

DPF 2020-1:
As of the October 2024 payment date, CE increased as follows since the last annual review:
-- CE to the Class A Notes to 52.2% from 41.8%;
-- CE to the Class B Notes to 38.2% from 30.6%;
-- CE to the Class C Notes to 28.0% from 22.5%;
-- CE to the Class D Notes to 15.1% from 12.1%; and
-- CE to the Class E Notes to 12.2% from 9.8%.

DPF 2021-2:
As of the October 2024 payment date, CE increased as follows since the last annual review:
-- CE to the Class A Notes to 27.3% from 25.1%;
-- CE to the Class B Notes to 21.0% from 19.3%;
-- CE to the Class C Notes to 14.3% from 13.2%; and
-- CE to the Class D Notes to 7.6% from 7.0%.

DPF 2022-1:
As of the October 2024 payment date, CE increased as follows since the last annual review:
-- CE to the Class A notes to 26.0% from 24.0%;
-- CE to the Class B notes to 17.2% from 15.9%;
-- CE to the Class C notes to 12.2% from 11.3%; and
-- CE to the Class D notes to 6.3% from 5.8%.

DPF 2022-2:
As of the October 2024 payment date, CE increased as follows since since the last annual review:
-- CE to the Class A notes to 20.7% from 19.6%;
-- CE to the Class B notes to 13.5% from 12.8%;
-- CE to the Class C notes to 9.6% from 9.1%; and
-- CE to the Class D notes to 6.0% from 5.7%.

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 October 2024 payment date, the reserve funds were at their target levels of approximately EUR 6.0 million, EUR 9.5 million, EUR 9.0 million, and EUR 5.0 million in DPF 2020-1, DPF 2021-2, DPF 2022-1, and DPF 2022-2, respectively.

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

As of the October 2024 payment date, cumulative deferred interest on the Class F notes in DPF 2022-1 was EUR 27,100, representing an improvement from the last annual review where cumulative deferred interest on the Class E and Class F notes were approximately EUR 1.4 million and EUR 1.1 million, respectively. Morningstar DBRS does not rate either class of notes.

As of the October 2024 payment date, cumulative deferred interest on the Class F notes in DPF 2022-2 was EUR 0.6 million, representing an improvement from the last annual review where cumulative deferred interest on the Class E and Class F notes 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, UK Branch (Elavon UK) 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 and Derivative 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 on NatWest is consistent with the first credit rating threshold as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

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 (13 August, 2024) at https://dbrs.morningstar.com/research/437781.

Morningstar DBRS analysed the transaction structures in Intex Dealmaker, considering the default rates at which the rated notes did not return all specified cash flows.

Notes:
All figures are in euros unless otherwise noted.

The principal methodologies applicable to the credit ratings are: "Master European Structured Finance Surveillance Methodology" (19 November 2024), https://dbrs.morningstar.com/research/443204 and "European RMBS Insight Methodology" (3 December 2024),
https://dbrs.morningstar.com/research/444100

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

Morningstar DBRS has applied the principal methodologies 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 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 provided by Elavon UK; loan-level data, property-level data and additional information provided by RNHB 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 ratings, Morningstar DBRS was not supplied with third-party assessments in all transactions except for DPF 2022-1 at the finalisation of the credit ratings. However, this did not affect the credit rating analysis in any of the four transactions.

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 these transactions took place on 17 September 2024, when Morningstar DBRS placed its credit ratings on all classes of notes UR-Pos. except for the classes of notes already rated AAA (sf).

The lead analyst responsibilities for these transactions have been transferred to Preben Cornelius Overas.

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

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit ratings, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit ratings (the base case):

-- Morningstar DBRS expected a lifetime base case PD and LGD for each 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 based on potential portfolio migration due to the purchase of further advances according to the asset conditions at the B (sf) credit rating level for each transaction are as follows:

DPF 2020-1: a base case PD of 3.3% and a base case LGD of 10.2%
DPF 2021-2: a base case PD of 3.1% and a base case LGD of 10.1%
DPF 2022-1: a base case PD of 2.9% and a base case LGD of 10.6%
DPF 2022-2: a base case PD of 3.0% and a base case LGD of 10.6%

-- 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 2020-1
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 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 D Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in LGD, expected credit rating of AA (sf)
-- 25% increase in PD, expected credit rating of AA (sf)
-- 50% increase in PD, expected credit rating of AA (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (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 (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A (high) (sf)

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

Class D Notes 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 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)

DPF 2022-1
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 AAA (sf)

Class B 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 (sf)

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

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

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

Class D Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of BBB (high) (sf)
-- 50% increase in LGD, expected credit rating of BBB (sf)
-- 25% increase in PD, expected credit rating of BBB (high) (sf)
-- 50% increase in PD, expected credit rating of BBB (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of BBB (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BBB (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BBB (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BB (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: Preben Cornelius Overas, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Dates:
DPF 2020-1: 8 January 2020
DPF 2021-2: 6 September 2021
DPF 2022-1: 29 March 2022
DPF 2022-2: 16 September 2022

DBRS Ratings GmbH
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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 (19 November 2024),
https://dbrs.morningstar.com/research/443204
-- European RMBS Insight Methodology (3 December 2024) and European RMBS Insight Model v 10.0.0.0,
https://dbrs.morningstar.com/research/444100
-- European CMBS Rating and Surveillance Methodology (17 January 2024),
https://dbrs.morningstar.com/research/426818
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024),
https://dbrs.morningstar.com/research/439913
-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024),
https://dbrs.morningstar.com/research/443196
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024),
https://dbrs.morningstar.com/research/439571
-- 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 https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.