Morningstar DBRS Assigns Provisional Credit Ratings to Jubilee Place 7 B.V.

DBRS Ratings GmbH (Morningstar DBRS) assigned provisional credit ratings to the residential mortgage-backed notes to be issued by Jubilee Place 7 B.V. (the Issuer) as follows:

-- Class A notes at (P) AAA (sf)
-- Class B notes at (P) AA (high) (sf)
-- Class C notes at (P) A (high) (sf)
-- Class D notes at (P) BBB (high) (sf)
-- Class E notes at (P) B (high) (sf)
-- Class X1 notes at (P) BBB (high) (sf)

The provisional credit rating on the Class A notes addresses the timely payment of interest and the ultimate repayment of principal by the legal final maturity date in August 2062. The provisional credit rating on the Class B notes addresses the timely payment of interest when most senior and the ultimate payment of principal by the legal final maturity date. The provisional credit ratings on the Class C, Class D, Class E and Class X1 notes address the ultimate payment of interest and principal by the legal final maturity date.

Morningstar DBRS does not rate the Class F, Class S1, Class S2, Class X2, or Class R notes also expected to be issued in this transaction.

CREDIT RATING RATIONALE

Jubilee Place 7 B.V. will be a bankruptcy-remote special-purpose vehicle incorporated in the Netherlands. The Issuer will use the proceeds from the 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), which will be acquired from Citibank, N.A., London Branch (Citibank; the seller).

The originators are specialised residential buy-to-let (BTL) real estate lenders operating in the Netherlands and started their lending businesses in 2019. They operate under the mandate of Citibank, which defines most of the underwriting criteria and policies.

As of 30 November 2024, the portfolio consisted of 687 loans with a total portfolio balance of approximately EUR 299.4 million. The weighted-average (WA) seasoning of the portfolio is 0.7 years with a WA remaining term of 32.1 years. The WA current loan-to-value ratio of 68.3% is in line with that of other Dutch BTL residential mortgage-backed securities (RMBS) transactions. The loan parts in the portfolio are either interest-only loans (96.8%) or repayment mortgage loans (3.2%). Most of the loans were granted for the purpose of remortgage (78.8%). 99% of the loans in the portfolio are fixed with a compulsory future switch to floating, while the notes pay a floating rate. To address this interest rate mismatch, the transaction is structured with a fixed-to-floating interest rate swap where the Issuer pays a fixed rate and receives three-month Euribor over a notional, which is a defined amortisation schedule. There are no loans in arrears in the portfolio.

Morningstar DBRS calculated the credit enhancement for the Class A notes at 10.50%, which is provided by the subordination of the Class B to Class F notes and the liquidity reserve fund. Credit enhancement for the Class B notes will be 5.50% and will be provided by the subordination of the Class C to Class F notes and the liquidity reserve fund. Credit enhancement for the Class C notes will be 3.25% and will be provided by the subordination of the Class D to Class F notes and the liquidity reserve fund. Credit enhancement for the Class D notes will be 1.25% and will be provided by the subordination of the Class E and Class F notes and the liquidity reserve fund. Credit enhancement for the Class E notes will be 0.55% and will be provided by the subordination of the Class F notes and the liquidity reserve fund.

The transaction benefits from an amortising liquidity reserve fund (LRF) that the Issuer can use to cover shortfalls on senior expenses and interest payments on the Class A notes and Class B notes once most senior. The LRF will be partially funded at closing at 0.25% of (100/95) of the initial balance of the Class A and Class B notes and will build up until it reaches its target of 1.25% (100/95) of the outstanding balance of the Class A and Class B notes. The LRF is floored at 0.25% (100/95) of the initial balance of the Class A and Class B notes until the first optional redemption date. The LRF indirectly provides credit enhancement for all classes of notes, as released amounts will be part of the principal available funds.

Additionally, the notes will have liquidity support from principal receipts, which can be used to cover senior expenses and interest shortfalls on the Class A notes or the most senior class of notes outstanding once the Class A notes have fully amortised.

The Issuer will enter into a fixed-to-floating swap with Citibank Europe plc (rated AA (low) with a Stable trend by Morningstar DBRS) to mitigate the fixed interest rate risk from the mortgage loans and the three-month Euribor payable on the loan and the notes. The notional of the swap is a pre-defined amortisation schedule of the assets. The Issuer will pay a fixed swap rate and receive three-month Euribor in return. The swap documents are in line with Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

The Issuer Account Bank is Citibank Europe plc, Netherlands Branch. Based on Morningstar DBRS' private credit rating on the Account Bank, the downgrade provisions outlined in the transaction documents, and structural mitigants inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit ratings assigned to the notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS based its credit ratings primarily on the following considerations:
-- The transaction capital structure, including the form and sufficiency of available credit enhancement and liquidity provisions.
-- The credit quality of the mortgage loan portfolio and the ability of the servicer to perform collection activities. Morningstar DBRS calculated portfolio default rates (PDs), loss given default (LGD), and expected loss (EL) outputs on the mortgage loan portfolio.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay the notes according to the terms of the transaction documents. Morningstar DBRS analysed the transaction cash flows using the PD and LGD outputs provided by its European RMBS Insight Model. Morningstar DBRS analysed transaction cash flows using Intex DealMaker.
-- The structural mitigants in place to avoid potential payment disruptions caused by operational risk and the replacement language in the transaction documents.
-- The consistency of the transaction's legal structure with Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology and the presence of legal opinions addressing the assignment of the assets to the Issuer.

Morningstar DBRS' credit ratings on the Class A to Class X1 notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Payment Amounts and the related Class Balances.

Morningstar DBRS' credit ratings on the Class A to Class E notes also address the credit risk associated with the increased rate of interest applicable to the notes if they are not redeemed on the 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, AND GOVERNANCE CONSIDERATIONS

Environmental (E) Factors
Emissions, Effluents, and 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 (13 August 2024).

Morningstar DBRS analysed the transaction structure in Intex DealMaker, considering the default rates at which the rated bonds did not return all specified cash flows.

Notes:
All figures are in euros unless otherwise noted.

The principal methodologies applicable to these credit ratings are: European RMBS Insight Methodology (3 December 2024), https://dbrs.morningstar.com/research/444100 and European RMBS Insight Model v.10.1.0.0.

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.

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 Dutch Mortgage Services B.V., DNL 1 B.V., and Community Hypotheken B.V. and its agents. Morningstar DBRS was provided with loan-level data as of 30 November 2024 and historical performance data of the originator's loan book (outstanding balance, delinquencies by number of months in arrears, and total unscheduled periodic prepayments) from November 2019 to August 2024.

Morningstar DBRS did not rely upon third-party due diligence in order to conduct its analysis.

Morningstar DBRS was supplied with one or more third-party assessments. Morningstar DBRS did not apply additional cash flow stresses in its 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.

A provisional credit rating is not a final credit rating with respect to the above-mentioned securities and may change or be different than the final credit rating assigned or may be discontinued. The assignment of final credit ratings on the above-mentioned securities is subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalise the credit ratings.
This credit rating concerns an expected-to-be-issued new financial instrument. This is the first Morningstar DBRS credit rating on this financial instrument.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on https://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):
-- In respect of the Class A notes, a PDR of 20.1% and LGD of 28.5%, corresponding to the AAA (sf) credit rating scenario, was stressed assuming a 25% and 50% increase in the PD and LGD.
-- In respect of the Class B notes, a PDR of 18.1% and LGD of 24.8%, corresponding to the AA (high) (sf) credit rating scenario, was stressed assuming a 25% and 50% increase in the PD and LGD.
-- In respect of the Class C notes, a PDR of 13.8% and LGD of 18.3%, corresponding to the A (high) (sf) credit rating scenario, was stressed assuming a 25% and 50% increase in the PD and LGD.
-- In respect of the Class D notes, a PDR of 9.8% and LGD of 13.0%, corresponding to the BBB (high) (sf) credit rating scenario, was stressed assuming a 25% and 50% increase in the PD and LGD.
-- In respect of the Class E notes, a PDR of 3.6% and LGD of 10.4%, corresponding to the B (high) (sf) credit rating scenario, was stressed assuming a 25% and 50% increase in the PD and LGD.
-- In respect of the Class X1 notes, a PDR of 9.8% and LGD of 12.2%, corresponding to the BBB (high) (sf) credit rating scenario, was stressed assuming a 25% and 50% increase in the PD and LGD.

Morningstar DBRS concludes the following impact on the Class A notes:
-- 25% increase of the PD, ceteris paribus, would not lead to a downgrade of the Class A notes;
-- 50% increase of the PD, ceteris paribus, would not lead to a downgrade of the Class A notes;
-- 25% increase of the LGD, ceteris paribus, would not lead to a downgrade of the Class A notes;
-- 50% increase of the LGD, ceteris paribus, would not lead to a downgrade of the Class A notes;
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus, would not lead to a downgrade of the Class A notes;
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to AA (high) (sf);
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to AA (high) (sf);
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to AA (sf).

Morningstar DBRS concludes the following impact on the Class B notes:
-- 25% increase of the PD, ceteris paribus, would lead to a downgrade to AA (low) (sf);
-- 50% increase of the PD, ceteris paribus, would lead to a downgrade to A (high) (sf);
-- 25% increase of the LGD, ceteris paribus, would lead to a downgrade to AA (sf);
-- 50% increase of the LGD, ceteris paribus, would lead to a downgrade to AA (low) (sf);
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to A (high) (sf);
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to A (high) (sf);
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to A (high) (sf);
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to A (sf).

Morningstar DBRS concludes the following impact on the Class C notes:
-- 25% increase of the PD, ceteris paribus, would lead to a downgrade to A (sf);
-- 50% increase of the PD, ceteris paribus, would lead to a downgrade to BBB (high) (sf);
-- 25% increase of the LGD, ceteris paribus, would not lead to a downgrade of the Class C Notes;
-- 50% increase of the LGD, ceteris paribus, would lead to a downgrade to A (low) (sf);
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to A (low) (sf);
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (high) (sf);
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (high) (sf);
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (high) (sf).

Morningstar DBRS concludes the following impact on the Class D notes:
-- 25% increase of the PD, ceteris paribus, would lead to a downgrade to BB (high) (sf);
-- 50% increase of the PD, ceteris paribus, would lead to a downgrade to BB (high) (sf);
-- 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (sf);
-- 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (low) (sf);
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (high) (sf);
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (high) (sf);
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (high) (sf);
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (high) (sf).

Morningstar DBRS concludes the following impact on the Class E notes:
-- 25% increase of the PD, ceteris paribus, would not lead to a downgrade of the Class E Notes;
-- 50% increase of the PD, ceteris paribus, would lead to a downgrade to B (sf);
-- 25% increase of the LGD, ceteris paribus, would not lead to a downgrade of the Class E Notes;
-- 50% increase of the LGD, ceteris paribus, would not lead to a downgrade of the Class E Notes;
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus, would not lead to a downgrade of the Class E Notes;
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to B (sf);
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus, would not lead to a downgrade of the Class E Notes;
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to B (sf).

Morningstar DBRS concludes the following impact on the Class X1 notes:
-- 25% increase of the PD, ceteris paribus, would lead to a downgrade to BBB (sf);
-- 50% increase of the PD, ceteris paribus, would lead to a downgrade to BB (high) (sf);
-- 25% increase of the LGD, ceteris paribus, would not lead to a downgrade of the Class X1 Notes;
-- 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (sf);
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (low) (sf);
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (high) (sf);
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (high) (sf);
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to 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.

This credit rating is endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Alejandro Tendero Delicado, Assistant Vice President
Rating Committee Chair: Rehanna Sameja, Senior Vice President
Initial Rating Date: 22 January 2025

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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.

-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024), https://dbrs.morningstar.com/research/443196.
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024), https://dbrs.morningstar.com/research/439913.
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024), https://dbrs.morningstar.com/research/439571.

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.