Morningstar DBRS Upgrades and Confirms Credit Ratings on Three Jubilee Place Transactions

DBRS Ratings GmbH (Morningstar DBRS) upgraded and confirmed its credit ratings on the loans and notes issued by Jubilee Place 4 B.V. (JP4), Jubilee Place 5 B.V. (JP5), and Jubilee Place 6 B.V. (JP6) (together the Issuers), as follow:

JP4
-- Class A loan confirmed at AAA (sf)
-- Class B notes upgraded to AA (high) (sf) from AA (low) (sf)
-- Class C notes upgraded to A (high) (sf) from A (low) (sf)
-- Class D notes upgraded to A (low) (sf) from BBB (sf)
-- Class E notes upgraded to B (high) (sf) from B (sf)

JP5
-- Class A loan confirmed at AAA (sf)
-- Class B notes upgraded to AA (high) (sf) from AA (sf)
-- Class C notes upgraded to A (high) (sf) from A (sf)
-- Class D notes upgraded to A (sf) from BBB (high) (sf)
-- Class E notes upgraded to A (low) (sf) from BB (high) (sf)
-- Class F notes upgraded to BB (high) (sf) from BB (low) (sf)

JP6
-- Class A loan confirmed at AAA (sf)
-- Class B notes upgraded to AA (high) (sf) from AA (low) (sf)
-- Class C notes confirmed at A (high) (sf)
-- Class D notes upgraded to A (sf) from BBB (high) (sf)
-- Class E notes confirmed at BB (high) (sf)
-- Class X1 notes confirmed at BBB (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 Class A loans already rated AAA (sf).

The credit ratings on the Class A loans in all three transactions address the timely payment of interest and the ultimate payment of principal by the respective legal final maturity dates between 2059 and 2060. The credit ratings on the Class B notes in all three transactions address the timely payment of interest when most senior and the ultimate payment of principal by the respective legal final maturity dates. The credit ratings on the remaining classes of notes address the ultimate payment of interest and the ultimate repayment of principal on or before the respective final maturity dates.

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 performances, in terms of delinquencies, defaults, and losses, as of the September and October 2024 payment dates;
-- Portfolio default rates (PD), loss given default (LGD), and expected loss assumptions on the remaining pools of receivables; and
-- Current available credit enhancements to the rated loans and notes to cover the expected losses at their respective credit rating levels.

The transactions are bankruptcy-remote special-purpose vehicles incorporated in the Netherlands. The Issuers used the proceeds from the Class A loans and issued notes to fund the purchase of Dutch mortgage receivables originated by Dutch Mortgage Services B.V., DNL 1 B.V., and Community Hypotheken B.V. (the Originators) and acquired from Citibank N.A./London Branch. The Originators are specialised residential buy-to-let real estate lenders operating in the Netherlands and started their lending businesses in 2019. They operate under the mandate of Citibank, N.A., which defines most of the underwriting criteria and policies.

PORTFOLIO PERFORMANCE
As of the latest respective payment dates, loans up to three months in arrears represented 1.2% (JP4), 0.2% (JP5), and 0.3% (JP6) of the outstanding portfolio balances. The 90+ days delinquency ratio and the cumulative default ratio both remained at 0.00% for all three transactions.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the remaining pools of receivables of each transaction and updated its base case PD and LGD assumptions as follows:

JP4: The base case PD and LGD assumptions on the current pool of receivables are 3.8% and 14.1%, respectively.
JP5: The base case PD and LGD assumptions on the current pool of receivables are 3.4% and 14.0%, respectively.
JP6: The base case PD and LGD assumptions on the current pool of receivables are 3.9% and 11.7%, respectively.

CREDIT ENHANCEMENT
Credit enhancements to the rated loans and notes are provided in the form of subordination of junior-ranking notes. The credit enhancements continue to build up in line with the amortisation of the notes.

The transactions benefit from amortising liquidity reserve funds (LRF) that can be used to cover shortfalls on senior expenses and interest payments on the Class A loans, liquidity support to the Class B notes once most senior, and also indirectly provide credit enhancement to the Class A loans and all other classes of notes, as released amounts are part of the principal available funds. As of the latest payment dates, the LRFs in each transaction were at their respective target levels of 2,922,384 (JP4), 4,064,466 (JP5), and 3,038,050 (JP6).

Citibank Europe plc - Netherlands Branch acts as the account bank for the Issuers. Based on Morningstar DBRS' private credit rating on the account bank provider, 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 AAA (sf) credit rating assigned to the Class A loans, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

BNP Paribas SA (in JP4) and Citibank Europe plc (in JP5 and JP6) act as the interest rate swap counterparties for the Issuers. Morningstar DBRS' public Long-Term Issuer Rating of AA (low) on BNP Paribas SA and public Long-Term Issuer Rating of AA (low) on Citibank Europe plc are 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, GOVERNANCE CONSIDERATIONS
Environmental (E) Factors
Emissions, Effluents & Waste is a relevant ESG factor. A Green Energy Label discount of 0.10% is applied to the interest rate/interest rate margin of loans backed by properties with an energy label of A or B at origination. For loans associated with properties with an energy label below B, a 0.15% discount is applied to their rates where the energy label has improved at least one notch within the first six months since origination. The lower interest rate has a positive impact on our default assumptions.

There were no Social or 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 transactions structures in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is the "Master European Structured Finance Surveillance Methodology" (19 November 2024), https://dbrs.morningstar.com/research/443204

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

Morningstar DBRS materially deviated from its "European RMBS Insight" methodology when determining the credit rating assigned to the Class F notes in JP5 by applying a custom high conditional prepayment rate (CPR) scenario instead of the standard high CPR stress scenario of 20% from day one. The material deviation is warranted given the concentration of fixed-rate loans with an early repayment charge during the fixed period in this portfolio. Hence, Morningstar DBRS expects prepayment rates to remain low during the fixed-rate period and increase when borrowers come to the end of their fixed-rate period. To reflect this, Morningstar DBRS assumed a custom high CPR vector with CPR rates below 20% while loans are in a fixed-rate period followed by a period of CPR rates exceeding 20% when most loans in the portfolio come to the end of the fixed-rate period.

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 transactions legal documents was not conducted as the legal documents have remained unchanged since the most recent credit rating actions.

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 Citibank, N.A. and loan-level data provided by EuroABS Ltd.

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 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 these transactions took place on 17 September 2024, when Morningstar DBRS placed the ratings on the notes UR-Pos., following update to European RMBS Insight: Dutch Addendum Methodology on 11 September 2024.

The lead analyst responsibilities for JP6 transaction have been transferred to Shalva Beshia.

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 transactions 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 at the B (sf) credit rating level are:
JP4: The base case PD and LGD assumptions on the current pool of receivables are 3.8% and 14.1%, respectively.
JP5: The base case PD and LGD assumptions on the current pool of receivables are 3.4% and 14.0%, respectively.
JP6: The base case PD and LGD assumptions on the current pool of receivables are 3.9% and 11.7%, respectively.
-- 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.

JP4
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 (high) (sf)
-- 50% increase in LGD, expected credit rating of AA (high) (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 (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 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 (low) (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 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 A (low) (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 (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of BBB (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)

Class E Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of B (sf)
-- 50% increase in LGD, expected credit rating of B (sf)
-- 25% increase in PD, expected credit rating of B (sf)
-- 50% increase in PD, expected credit rating of B (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of B (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of B (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of B (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of CCC (sf)

JP5
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 (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 (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (low) (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 (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 (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 A (sf)
-- 50% increase in LGD, expected credit rating of A (sf)
-- 25% increase in PD, expected credit rating of A (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)

Class E 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 (sf)

Class F Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of BB (high) (sf)
-- 50% increase in LGD, expected credit rating of BB (high) (sf)
-- 25% increase in PD, expected credit rating 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 (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BB (high) (sf)

JP6
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 (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 (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 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 (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 (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 A (sf)
-- 50% increase in LGD, expected credit rating of A (sf)
-- 25% increase in PD, expected credit rating of A (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)

Class E Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of BB (high) (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 (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BB (high) (sf)

Class X1 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 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 (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 (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: 10 June 2022 (JP4), 20 October 2022 (JP5), 4 April 2024 (JP6)

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 these transactions can be found at: https://www.dbrsmorningstar.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 Asset RMBS Insight Model v 10.0.0.1,
https://dbrs.morningstar.com/research/444100
-- 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
-- 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.