Morningstar DBRS Upgrades and Confirms Credit Ratings on Two Dutch Property Finance B.V. Transactions

DBRS Ratings GmbH (Morningstar DBRS) took the following credit rating actions on the notes issued by Dutch Property Finance 2021-1 B.V. (DPF 2021-1) and Dutch Property Finance 2023-1 B.V. (DPF 2023-1):

DPF 2021-1:
-- Class A confirmed at AAA (sf)
-- Class B upgraded to AAA (sf) from AA (high) (sf)
-- Class C upgraded to AA (high) (sf) from AA (low) (sf)
-- Class D upgraded to A (low) (sf) from BBB (high) (sf)

DPF 2023-1
-- Class A confirmed at AAA (sf)
-- Class B confirmed at AA (low) (sf)
-- Class C confirmed at A (low) (sf)
-- Class D confirmed at BBB (sf)

In DPF 2021-1, 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 in July 2058. The credit ratings on the Class C and Class D notes address the ultimate payment of interest and the ultimate payment of principal on or before the legal final maturity date, and the timely payment of interest when the senior-most class outstanding.

In DPF 2023-1, 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 in April 2064. The credit ratings on the Class B, Class C and Class D notes address the ultimate payment of interest and the ultimate payment of principal on or before the legal final maturity date, and the timely payment of interest when the senior-most class outstanding.

CREDIT RATING RATIONALE
The credit rating actions follow an annual review of the transactions and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults, and losses, as of 30 September 2024 (corresponding to 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.

The transactions are securitisations of mortgage loans secured against buy-to-let residential, mixed-use, and commercial real estate properties located in the Netherlands. RNHB B.V. (RNHB) either originated or acquired the mortgage loans and Vesting Finance Servicing B.V. services the portfolios.

PORTFOLIO PERFORMANCE
DPF 2021-1:
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 0.0% and 0.1%, respectively, compared to both being zero as at the last annual review. There were no cumulative defaults.

DPF 2023-1:
Delinquencies have been increasing since closing. As of 30 September 2024, loans two to three months in arrears and more than three months in arrears were 0.1% and 1.6% of the outstanding portfolio balance, respectively, both up from with 0.0% and zero, 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 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 2021-1: Base case PD of 2.6%; base case LGD of 10.2%
-- DPF 2023-1: Base case PD of 4.3%; base case LGD of 10.5%

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

DPF 2021-1:
As of the October 2024 payment date, CE increased as follows since the last annual review:
-- CE to the Class A notes to 28.2% from 24.0%;
-- CE to the Class B notes to 21.9% from 18.6%;
-- CE to the Class C notes to 15.2% from 12.9%; and
-- CE to the Class D notes to 7.9% from 6.8%.

DPF 2023-1:
As of the October 2024 payment date, CE increased as follows since closing:
-- CE to the Class A notes to 20.2% from 18.0%;
-- CE to the Class B notes to 13.2% from 11.8%;
-- CE to the Class C notes to 9.4% from 8.4%; and
-- CE to the Class D notes to 5.9% from 5.2%.

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 fund was at its target level of approximately EUR 10.5 million and EUR 10.0 million in DPF 2021-1 and DPF 2023-1, 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 E and Class F notes in DPF 2023-1 were approximately EUR 2.3 million and EUR 1.8 EUR million, respectively, up from EUR 0.9 million and EUR 0.7 million, respectively, at the last annual review. Morningstar DBRS does not rate the Class E and Class F notes in DPF 2023-1.

U.S. Bank Europe DAC (U.S. Bank Europe) acts as the account bank for each transaction. Based on Morningstar DBRS' private credit rating on Elavon, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction 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 N.V. act as the swap counterparty in DPF 2021-1 and DPF 2023-1. Morningstar DBRS' public Long-Term Issuer Rating of "A (high)" on NatWest Markets N.V. 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) 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 methodology applicable to the credit ratings is: "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 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 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 U.S. Bank Trustees Limited and loan-level data provided by RNHB.

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. 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 actions on these issuers took place as follows:
-- on 26 January 2024 for DPF 2021-1, when Morningstar DBRS confirmed its credit ratings on the Class A, Class B, Class C, and Class D notes at AAA (sf), AA (high) (sf), AA (low) (sf), and BBB (high) (sf), respectively.
-- on 26 January 2024 for DPF 2023-1, when Morningstar DBRS confirmed its credit ratings on the Class A, Class B, Class C, and Class D notes at AAA (sf), AA (low) (sf), A (low) (sf), and BBB (sf), respectively.

The lead analyst responsibilities for this transaction have been transferred to Preben Cornelius Overas.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on 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 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 2021-1: Base case PD of 2.6%; base case LGD of 10.2%
-- DPF 2023-1: Base case PD of 4.3%; base case LGD of 10.5%

-- 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 2021-1:
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 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 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 (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 AA (low) (sf)

Class D 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 2023-1:
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 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 B Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in LGD, expected rating of AA (low) (sf)
-- 25% increase in PD, expected rating of AA (low) (sf)
-- 50% increase in PD, expected rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)

Class C 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)

Class D Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of BB (sf)
-- 50% increase in LGD, expected credit rating of B (high) (sf)
-- 25% increase in PD, expected credit rating of BB (sf)
-- 50% increase in PD, expected credit rating of BB (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of B (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of B (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of B (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of B (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 Date:
DPF 2021-1: 10 February 2021
DPF 2023-1: 18 January 2023

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 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 10.1.0.0,
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.