EUR 303.6 million RMBS Notes rated, relating to a portfolio of Dutch residential mortgage loans
Frankfurt am Main, April 08, 2021 -- Moody's Investors Service ("Moody's") has assigned definitive ratings
to Notes issued by Jubilee Place 2021-1 B.V.:
....EUR 254.4M Class A Mortgage Backed
Floating Rate Notes due July 2058, Definitive Rating Assigned Aaa
(sf)
....EUR 15.2M Class B Mortgage Backed
Floating Rate Notes due July 2058, Definitive Rating Assigned Aa3
(sf)
....EUR 9.4M Class C Mortgage Backed
Floating Rate Notes due July 2058, Definitive Rating Assigned A1
(sf)
....EUR 6.5M Class D Mortgage Backed
Floating Rate Notes due July 2058, Definitive Rating Assigned Baa1
(sf)
....EUR 3.6M Class E Mortgage Backed
Floating Rate Notes due July 2058, Definitive Rating Assigned Ba2
(sf)
....EUR 14.5M Class X Mortgage Backed
Floating Rate Notes due July 2058, Definitive Rating Assigned Ba3
(sf)
The EUR 16.2M VRR Loan due July 2058, the Class S1 Note,
the Class S2 Note and the Class R Notes have not been rated by Moody's.
RATINGS RATIONALE
The Notes are backed by a pool of Dutch buy-to-let ("BTL")
mortgage loans originated by Dutch Mortgage Services B.V.
("DMS", NR), DNL 1 B.V. ("DNL", NR) and
Community Hypotheken B.V. ("Community", NR).
The definitive portfolio consists of 962 mortgage loans with a current
balance of EUR 304.4 million as of 28 February 2021. The
VRR Loan is a risk retention Note which receives 5% of all available
receipts, while the remaining Notes receive 95% of the available
receipts on a pari-passu basis.
The ratings of the Notes are based on an analysis of the characteristics
and credit quality of the underlying buy-to-let mortgage
pool, sector wide and originator specific performance data,
protection provided by credit enhancement, the roles of external
counterparties and the structural features of the transaction.
There is a liquidity reserve fund funded at closing at 0.75%
of 100/95 of the outstanding balance of Class A Notes. After closing,
principal receipts will be used to build up the reserve fund to a maximum
of 1.25% of 100/95 of Class A Notes until the step-up
date (including that date). Following the step-up date,
the liquidity is amortising and the released amounts are added to the
principal waterfall.
MILAN CE for this pool is 19.0% and the expected loss is
2.8%.
The portfolio's expected loss is 2.8%, which is in
line with other Dutch BTL RMBS transactions owing to: (i) that no
historical performance data for the originator's portfolio is available
and the limited track record of the Dutch BTL market as a whole;
(ii) the performance of comparable originators in the Dutch owner-occupied
and UK BTL market; (iii) the current macroeconomic environment in
the Netherlands; and (iv) benchmarking with a small sample of similar
Dutch BTL transactions.
MILAN CE for this pool is 19.0%, which is in line
with other Dutch BTL RMBS transactions, owing to: (i) that
no historical performance data for the originator's portfolio is available
and the limited track record of the Dutch BTL market as a whole;
(ii) benchmarking with comparable transactions in the Dutch owner-occupied
and UK BTL market; (iii) the WA current LTV for the pool of 72%;
(iv) high borrower concentration, with top 20 borrowers constituting
16% of the pool; (v) the high interest only (IO) loan exposure
(all loans feature an optionality to become IO loans after reaching 60%
LTV as per a new physical valuation), with significant maturity
concentration; and (vi) benchmarking with a small sample of similar
Dutch BTL transactions.
Operational Risk Analysis: Link Asset Services (Netherlands) B.V.
has been appointed as MPT Servicer by the three master servicers (DMS,
DNL and Community) in the transaction whilst Citibank N.A.,
London Branch, will be acting as the cash manager. In order
to mitigate the operational risk, Vistra Capital Markets (Netherlands)
N.V. (NR) will act as back-up servicer facilitator.
To ensure payment continuity over the transaction's lifetime, the
transaction documentation incorporates estimation language whereby the
cash manager can use the three most recent servicer reports available
to determine the cash allocation in case no servicer report is available.
The transaction also benefits from over 3 quarters of liquidity for Class
A based on Moody's calculations. Finally, there is principal
to pay interest as an additional source of liquidity for the Classes A
to E (when the relevant tranche becomes the most senior Class of Notes
outstanding).
Interest Rate Risk Analysis: 97% of the loans in the pool
are fixed rate loans reverting to 3m EURIBOR. The Notes are floating
rate securities with reference to 3M EURIBOR. To mitigate the fixed-floating
mismatch between fixed-rate assets and floating liabilities,
there will be a scheduled notional fixed-floating interest rate
swap provided by BNP Paribas (Aa3(cr)/P-1(cr)).
CURRENT ECONOMIC UNCERTAINTY:
The coronavirus pandemic has had a significant impact on economic activity.
Although global economies have shown a remarkable degree of resilience
to date and are returning to growth, the uneven effects on individual
businesses, sectors and regions will continue throughout 2021 and
will endure as a challenge to the world's economies well beyond
the end of the year. While persistent virus fears remain the main
risk for a recovery in demand, the economy will recover faster if
vaccines and further fiscal and monetary policy responses bring forward
a normalization of activity. As a result, there is a heightened
degree of uncertainty around our forecasts. Our analysis has considered
the effect on the performance of consumer assets from a gradual and unbalanced
recovery in Dutch economic activity.
We regard the coronavirus outbreak as a social risk under our ESG framework,
given the substantial implications for public health and safety.
The principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework" published in December 2020 and
available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1248130.
Alternatively, please see the Rating Methodologies page on www.moodys.com
for a copy of this methodology.
The analysis undertaken by Moody's at the initial assignment of
ratings for RMBS securities may focus on aspects that become less relevant
or typically remain unchanged during the surveillance stage. Please
see "Moody's Approach to Rating RMBS Using the MILAN Framework"
for further information on Moody's analysis at the initial rating
assignment and the on-going surveillance in RMBS.
Factors that would lead to an upgrade or downgrade of the ratings:
Significantly different actual losses compared with our expectations at
close due to either a change in economic conditions from our central scenario
forecast or idiosyncratic performance factors would lead to rating actions.
For instance, should economic conditions be worse than forecast,
the higher defaults and loss severities resulting from a greater unemployment
rate, worsening household affordability and a weaker housing market
could result in a downgrade of the ratings. Deleveraging of the
capital structure or conversely an improvement in the Notes available
credit enhancement could result in an upgrade or a downgrade of the ratings,
respectively.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and
sensitivity analysis, see the sections Methodology Assumptions and
Sensitivity to Assumptions in the disclosure form. Moody's
Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.
The analysis relies on an assessment of collateral characteristics to
determine the collateral loss distribution, that is, the function
that correlates to an assumption about the likelihood of occurrence to
each level of possible losses in the collateral. As a second step,
Moody's evaluates each possible collateral loss scenario using a
model that replicates the relevant structural features to derive payments
and therefore the ultimate potential losses for each rated instrument.
The loss a rated instrument incurs in each collateral loss scenario,
weighted by assumptions about the likelihood of events in that scenario
occurring, results in the expected loss of the rated instrument.
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
For ratings issued on a program, series, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or note of the
same series, category/class of debt, security or pursuant
to a program for which the ratings are derived exclusively from existing
ratings in accordance with Moody's rating practices. For ratings
issued on a support provider, this announcement provides certain
regulatory disclosures in relation to the credit rating action on the
support provider and in relation to each particular credit rating action
for securities that derive their credit ratings from the support provider's
credit rating. For provisional ratings, this announcement
provides certain regulatory disclosures in relation to the provisional
rating assigned, and in relation to a definitive rating that may
be assigned subsequent to the final issuance of the debt, in each
case where the transaction structure and terms have not changed prior
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to rated entity, Disclosure from rated entity.
The ratings have been disclosed to the rated entity or its designated
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for Designating and Assigning Unsolicited Credit Ratings available on
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Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Moody's general principles for assessing environmental, social
and governance (ESG) risks in our credit analysis can be found at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1243406.
At least one ESG consideration was material to the credit rating action(s)
announced and described above.
The Global Scale Credit Rating on this Credit Rating Announcement was
issued by one of Moody's affiliates outside the UK and is endorsed
by Moody's Investors Service Limited, One Canada Square,
Canary Wharf, London E14 5FA under the law applicable to credit
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Please see www.moodys.com for any updates on changes to
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for additional regulatory disclosures for each credit rating.
Sebastian Schranz
Vice President - Senior Analyst
Structured Finance Group
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Anthony Parry
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Releasing Office:
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
