Morningstar DBRS Confirms Credit Rating on Bastion 2021-1 NHG B.V.

DBRS Ratings GmbH (Morningstar DBRS) confirmed its AAA (sf) credit rating on the Class A notes issued by Bastion 2021-1 NHG B.V. (the Issuer).

The credit rating on the Class A notes addresses the timely payment of interest and ultimate repayment of principal on or before the legal final maturity date.

CREDIT RATING RATIONALE
The confirmation follows an annual review of the transaction and is based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults and losses, as of the November 2024 payment date.
-- Portfolio default rate (PD), loss given default (LGD) and expected loss assumptions on the remaining receivables.
-- Current available credit enhancement to the Class A notes to cover the expected losses at the AAA (sf) credit rating level.

The Issuer is a securitisation of Dutch prime mortgages originated by HollandWoont B.V., secured over owner-occupied residential properties located in the Netherlands. The portfolio is also serviced by HollandWoont B.V., with Quion Services B.V. acting as the sub-servicer.

PORTFOLIO PERFORMANCE
As of 31 October 2024, loans two to three months in arrears represented 0.1% of the outstanding portfolio balance, up from 0.0% a year prior. Loans more than three months in arrears represented 0.0%, stable since a year prior. The cumulative default ratio was 0.0%.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and has updated its base case PD and LGD assumptions at the B (sf) credit rating level to 1.1% and 4.9%, respectively.

CREDIT ENHANCEMENT
As of the November 2024 payment date, credit enhancement to the Class A notes was 12.6%, up from 10.5% at the Morningstar DBRS initial rating. Credit enhancement consists of subordination of the junior notes and the general reserve fund.

The nonamortising general reserve fund covers senior fees, senior swap payments, interest on the Class A notes, and principal losses via the principal deficiency ledger on the Class A notes. It is currently funded to its target level of EUR 4.1 million, equal to 1% of the initial Class A and Class B notes balance.

The transaction also benefits from a renewable cash advance facility (CAF) provided by BNG Bank N.V. (BNG) equal to 1.5% of the outstanding Class A notes balance, subject to a floor of 1.0% of the initial Class A notes balance. The maximum available amount of the CAF is currently EUR 4.4 million and can be drawn on to cover senior fees, senior swap payments, and Class A interest.

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

MeDirect Bank NV/SA (MeDirect) acts as the swap counterparty for the transaction, and Coöperatieve Rabobank U.A. (Rabobank) acts as the back-up swap counterparty and credit support provider. MeDirect is not rated by Morningstar DBRS; however, Morningstar DBRS' public Long-Term Critical Obligations Rating of Rabobank at AA (high) is consistent with the First Rating Threshold as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS's 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's 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
Social (S) Factors
Morningstar DBRS considers that the Nationale Hypotheek Garantie (NHG) guarantee backing the loans in the pool is a relevant Social factor (Social Impact of Product & Services) as outlined within the Morningstar DBRS' framework - "Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings". Morningstar DBRS assumed reduced loss severity for loans backed by an NHG guarantee as outlined in its "European RMBS Insight Methodology", and therefore the NHG guarantee is credit positive. Morningstar DBRS previously considered this to be a significant social factor for this transaction as it affected the credit rating assigned to the Class A notes; however, the presence of the NHG guarantee no longer affects the credit rating because of an overall decrease in the PDs and LGDs for the remaining collateral portfolio. Please also refer to https://dbrs.morningstar.com/research/366268 for more details.

There were no Environmental 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 transaction structure in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

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

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.

A review of the transaction 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 this credit rating include investor reports provided by Intertrust Administrative Services B.V. and loan-level data provided by European DataWarehouse GmbH.

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

At the time of the initial credit rating, Morningstar DBRS was 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 purpose 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.

The last credit rating action on this transaction took place on 23 January 2024, when Morningstar DBRS confirmed its AAA (sf) credit rating on the Class A notes.

Information regarding Morningstar DBRS credit ratings, including definitions, policies and methodologies is available at 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):

-- 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 1.1% and 4.9%, 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.

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)

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: Shalva Beshia, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Date: 8 January 2021

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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/.
-- Master European Structured Finance Surveillance Methodology (19 November 2024), https://dbrs.morningstar.com/research/443204/.
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024), https://dbrs.morningstar.com/research/437781/.
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024), https://dbrs.morningstar.com/research/439571/.
-- European RMBS Insight Methodology and European RMBS Insight Model v 10.1.0.0 (3 December 2024), https://dbrs.morningstar.com/research/444100/.
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024), https://dbrs.morningstar.com/research/439913/.

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.