DBRS Morningstar Confirms Ratings on Two Green Apple Transactions

DBRS Ratings GmbH (DBRS Morningstar) confirmed its AAA (sf) ratings on the respective Class A notes issued by Green Apple 2019-I NHG B.V. (Green Apple 2019-1) and Green Apple 2021-I B.V. (Green Apple 2021-1).

The confirmations 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 the April 2022 payment date of each transaction;
-- Portfolio default rate (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables;
-- Current available credit enhancement to the notes to cover the expected losses at the AAA (sf) rating level.

The ratings address the timely payment of interest and the ultimate repayment of principal on or by the legal final maturity date in January 2058 for Green Apple 2019-1 and in January 2060 for Green Apple 2021-1. The ratings do not address the timely payment of any Class A Excess Consideration Amounts due after the First Optional Redemption Date in January 2026 for Green Apple 2019-1 and in January 2028 for Green Apple 2021-1.

The transactions are static securitisations collateralised by Dutch residential mortgage loans granted by Argenta Spaarbank N.V. (Argenta) in the Netherlands. Quion Services B.V. acts as the subservicer for the mortgage pools. Green Apple 2019-1 closed in June 2019 with an initial portfolio balance of EUR 937.4 million, consisting entirely of mortgages loans backed by a Nationale Hypotheek Garantie (NHG), while Green Apple 2021-1 closed in June 2021 with an initial portfolio balance of EUR 744.6 million.

PORTFOLIO PERFORMANCE
Green Apple 2019-1:
As of April 2022 payment date, loans that were 0 to 30 days, 30 to 60 days, and 60 to 90 days delinquent represented 0.2%, 0.1%, and 0.03% of the outstanding principal balance, respectively, while loans more than 90 days delinquent were 0.1%.

Green Apple 2021-1:
As of the April 2022 payment date, there were no delinquent loans.

For both transactions, there have not been any foreclosed mortgage loans to date.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
DBRS Morningstar conducted a loan-by-loan analysis of the remaining pools of receivables in both transactions. For Green Apple 2019-1, DBRS Morningstar updated its base case PD and LGD assumptions to 1.0% and 2.6%, respectively. For Green Apple 2021-1, DBRS Morningstar updated its base case PD and LGD assumptions to 1.3% and 10.1%, respectively.

CREDIT ENHANCEMENT
The subordination of the respective Class B notes and cash reserve provide credit enhancement to the Class A notes.

As of the April 2022 payment date, credit enhancement to the Class A notes in Green Apple 2019-1 increased to 19.1% from 16.9% at the time of the last annual review 12 months ago; credit enhancement to the Class A notes in Green Apple 2021-1 increased to 15.1% from 14.0% at the time of the DBRS Morningstar initial rating 12 months ago.

The transactions benefit from a nonamortising cash reserve, funded at closing to EUR 12.2 million for Green Apple 2019-1 and EUR 9.7 million for Green Apple 2021-1, using the proceeds of the Class C notes. The reserve provides credit and liquidity support to the Class A notes and is available to cover senior expenses, Class A interest payments, and to clear any debit amounts on the Class A principal deficiency ledger. As of the April 2022 payment date, the reserves were at their target balances. Additionally, the transactions benefit from liquidity support provided by a cash advance facility extended by BNG Bank N.V. (BNG Bank), with a maximum drawable amount equal to 1.5% of the outstanding Class A and Class B notes balance, subject to a floor of EUR 9.4 million for Green Apple 2019-1 and EUR 5.6 million for Green Apple 2021-1.

BNG Bank acts as the account bank for the transactions. Based on the DBRS Morningstar private rating of BNG Bank, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structures, DBRS Morningstar considers the risk arising from the exposure to the account bank to be consistent with the ratings assigned to the Class A notes in the transactions, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.

ABN AMRO Bank N.V. (ABN AMRO) acts as the interest rate cap provider for Green Apple 2019-1 while Société Générale, S.A. (Société Générale) acts as the interest rate cap provider for Green Apple 2021-1. DBRS Morningstar's Long Term Critical Obligations ratings of ABN AMRO and Société Générale at AA are consistent with the First Rating Threshold as described in DBRS Morningstar's "Derivative Criteria for European Structured Finance Transactions" methodology.

DBRS Morningstar analysed the transactions’ structures in Intex DealMaker.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
In Green Apple 2019-1, DBRS Morningstar considered the presence of 100% of loans backed by the NHG guarantee to be a relevant rating factor (Social Impact of Product & Services) as outlined within the “DBRS Morningstar’s Approach to Environmental, Social and Governance Risk Factors in Credit Ratings” DBRS Morningstar framework. DBRS Morningstar assumed reduced loss severities for loans backed by an NHG guarantee as outlined in its methodology (https://www.dbrsmorningstar.com/research/393357/european-rmbs-insight-dutch-addendum). This is credit positive, however, it did not affect the rating of the Class A notes.

In Green Apple 2021-1, there were no Environmental/Social/Governance factors that had a significant or relevant impact on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at: https://www.dbrsmorningstar.com/research/396929.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is the “Master European Structured Finance Surveillance Methodology” (19 May 2022).

Other methodologies referenced in these transactions are listed at the end of this press release. These may be found at: https://www.dbrsmorningstar.com/about/methodologies.

DBRS Morningstar has applied the principal methodology consistently and conducted a review of the transactions in accordance with the principal methodology.

The annual reviews included a review of amended and additional transaction documents relating to the introduction of a collection foundation mechanism with respect to the collection account banks for both transactions in November 2021. A review of any other transaction legal documents was not conducted as these have remained unchanged since the most recent rating action of each transaction.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrsmorningstar.com/research/381451/global-methodology-for-rating-sovereign-governments.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The sources of data and information used for these ratings include investor and servicer reports provided by Intertrust Administrative Services B.V. (the Issuer Administrator) and loan-level data provided by the European DataWarehouse GmbH.

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

At the time of the initial ratings, DBRS Morningstar was supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS Morningstar considers the data and information available to it for the purpose of providing these ratings to be of satisfactory quality.

DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on Green Apple 2019-1 took place on 17 June 2021, when DBRS Morningstar confirmed the rating of the Class A notes at AAA (sf). The last rating action on Green Apple 2021-1 took place on 23 June 2021, when DBRS Morningstar finalised its provisional rating of AAA (sf) on the Class A notes.

The lead analyst responsibilities for Green Apple 2021-1 have been transferred to Daniel Rakhamimov.

Information regarding DBRS Morningstar ratings, including definitions, policies and methodologies is available at www.dbrsmorningstar.com.

To assess the impact of changing the transactions’ parameters on the ratings, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the ratings (the base case):
-- DBRS Morningstar 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.
-- For Green Apple 2019-1, the base case PD and LGD of the current pool of loans for the Issuer are 1.0% and 2.6%, respectively.
-- For Green Apple 2021-1, the base case PD and LGD of the current pool of loans for the Issuer are 1.3% and 10.1%, respectively.
-- The risk sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating of the Green Apple 2019-1 Class A notes would be expected to remain at AAA (sf), ceteris paribus. If the PD increases by 50%, the rating of the Green Apple 2019-1 Class A notes would be expected to remain at AAA (sf), ceteris paribus. Furthermore, if both the PD and LGD increase by 50%, the rating of the Green Apple 2019-1 Class A notes would be expected to remain at AAA (sf).

Green Apple 2019-1 Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AAA (sf)

Green Apple 2021-1 Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (sf).

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml. DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage: https://www.fca.org.uk/firms/credit-rating-agencies.

These ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Daniel Rakhamimov, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Dates: 4 June 2019 (Green Apple 2019-1), 26 May 2021 (Green Apple 2021-1)

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The rating methodologies used in the analysis of these transactions can be found at: https://www.dbrsmorningstar.com/about/methodologies.

-- Legal Criteria for European Structured Finance Transactions (29 July 2021), https://www.dbrsmorningstar.com/research/382171/legal-criteria-for-european-structured-finance-transactions.
-- Master European Structured Finance Surveillance Methodology (19 May 2022),
https://www.dbrsmorningstar.com/research/397033/master-european-structured-finance-surveillance-methodology.
-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (17 May 2022),
https://www.dbrsmorningstar.com/research/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.
-- Operational Risk Assessment for European Structured Finance Servicers (16 September 2021), https://www.dbrsmorningstar.com/research/384513/operational-risk-assessment-for-european-structured-finance-servicers.
-- European RMBS Insight Methodology (28 March 2022) and European RMBS Insight Model v5.5.0.2, https://www.dbrsmorningstar.com/research/394309/european-rmbs-insight-methodology.
-- European RMBS Insight: Dutch Addendum (7 March 2022),
https://www.dbrsmorningstar.com/research/393357/european-rmbs-insight-dutch-addendum.
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2021), https://www.dbrsmorningstar.com/research/384920/interest-rate-stresses-for-european-structured-finance-transactions.
-- Derivative Criteria for European Structured Finance Transactions (20 September 2021), https://www.dbrsmorningstar.com/research/384624/derivative-criteria-for-european-structured-finance-transactions.

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at https://www.dbrsmorningstar.com/research/278375.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com