Morningstar DBRS Assigns Credit Rating of AAA (sf) to Solitaire II B.V.

DBRS Ratings GmbH (Morningstar DBRS) assigned the following credit rating to the notes issued by Solitaire II B.V. (the Issuer):

-- Class A Notes at AAA (sf)

The credit rating on the Class A notes addresses the timely payment of interest and ultimate payment of principal on or before the final maturity date. Morningstar DBRS does not rate the Class B notes also issued in the transaction.

CREDIT RATING RATIONALE
The Issuer is a bankruptcy-remote special-purpose vehicle incorporated in the Netherlands. The Issuer issued two classes of collateralised notes (the Class A notes and the Class B notes) to finance the purchase of Dutch residential mortgage loans secured over first-lien, owner-occupied properties in the Netherlands originated via a forward-flow agreement between bunq B.V. (bunq) and Tulpenhuis 2 B.V.

The Class A notes benefit from 5.0% of credit enhancement as of closing, from the subordinated Class B notes.

As of 31 January 2025, the final portfolio consisted of 4,123 loan parts extended to 2,554 borrowers with an aggregate principal balance of EUR 711 million. The portfolio mainly consists of fixed-rate loans with resets, with the entire portfolio being loans classified as owner occupied. Furthermore, 91% of the loans have an annuity redemption type, with the remainder being interest-only loans (5.3%) and linear mortgages (3.7%). The portion of the portfolio with a National Mortgage Guarantee (Nationale Hypotheek Garantie or NHG) guarantee equals nearly 83%. As of the final cut-off date, all mortgage loans were performing.

The issuance structure includes a cash advance facility (CAF) agreement, supporting the payment of senior costs and Class A notes' interest. The CAF is sized at 0.9% of the Class A notes' outstanding balance and shall amortise down to a floor of 0.5% of the Class A notes' closing balance. The Issuer can make drawings if the CAF is renewed following the CAF commitment termination date, which is one year after closing. The CAF provider is Banco Santander SA. Banco Santander SA currently has a Long Term (LT) Critical Obligations Rating (COR) of AA (low) with a Stable trend and is compliant with the required credit ratings (i.e., a Morningstar DBRS LT COR of A (high) or an LT issuer rating (IR) of "A").

The transaction is naturally hedged given that the both the loans and the liabilities pay a fixed rate of interest. In addition, it features a revolving period of approximately five years, terminating on the payment date scheduled in December 2029, which is also the first optional redemption date. The purchase of additional receivables shall be subject to being in line with the additional purchase conditions, which establish overall portfolio limits.

Another Mortgage III B.V., an entity ultimately controlled by bunq, acts as the Seller in this transaction. Tulpenhuis 2 B.V. acts as the Original Lender and Servicer while Tulp Hypotheken B.V. acts as subservicer. Both entities are subsidiaries of Tulp Hypotheken Holding B.V. and all are part of Tulp Hypotheken Group (Tulp). Stater Nederland B.V. and HypoCasso B.V. have been appointed by the subservicer as delegated subservicers. Furthermore, the Issuer Account Bank is ABN AMRO Bank N.V. ABN AMRO Bank N.V. has an LT COR of AA with a Stable trend and shall comply with the required credit ratings (i.e., a Morningstar DBRS LT COR of A (high) or an LT IR of "A"), in line with Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

The agreement between bunq and Tulp has existed since 2022. The former entity provides the financing for the latter to originate mortgage loans under the bunq label. As is common in the Netherlands, the loans are sold primarily through independent financial advisors.

Morningstar DBRS' credit rating on the Class A notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related interest amounts and the related note balances.

Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations.

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
Social (S) Factors
The following Social factor had a relevant effect on the credit analysis: Morningstar DBRS considers that the NHG guarantee backing a portion of the loans in the pool is a relevant Social factor for the credit rating action. Morningstar DBRS assumed reduced loss severity for loans backed by an NHG guarantee as outlined in its "European RMBS Insight Methodology". The NHG guarantee is credit positive. Morningstar DBRS considers this to be a relevant Social factor for this transaction as the NHG guarantee does not affect the credit rating on the Class A notes. 

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, considering the default rates at which the rated notes did not return all specified cash flows.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit rating is: European RMBS Insight Methodology (28 February 2025), https://dbrs.morningstar.com/research/449129.

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.

Due to the inclusion of a revolving period in the transaction, the analysis considers potential portfolio migration based on replenishment criteria set forth in the transaction legal documents.

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 bunq, Tulp, and Banco Santander SA. Morningstar DBRS was provided with a loan-by-loan data tape as of 31 January 2025, as well as the following historical data:
-- Dynamic monthly delinquency data from July 2022 until January 2025.
-- Dynamic monthly prepayment data from July 2022 until January 2025.

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

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 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.

This credit rating concerns a newly issued 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 probability of default (PD) of 15.1% and loss given default (LGD) of 19.7%, corresponding to the AAA (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 in the PD, ceteris paribus, would not lead to a downgrade;
-- 50% increase in the PD, ceteris paribus, would not lead to a downgrade;
-- 25% increase in the LGD, ceteris paribus, would not lead to a downgrade;
-- 50% increase in the LGD, ceteris paribus, would not lead to a downgrade;
-- 25% increase in the PD and 25% increase in the LGD, ceteris paribus, would not lead to a downgrade;
-- 50% increase in the PD and 25% increase in the LGD, ceteris paribus, would not lead to a downgrade;
-- 25% increase in the PD and 50% increase in the LGD, ceteris paribus, would not lead to a downgrade;
-- 50% increase in the PD and 50% increase in the LGD, ceteris paribus, would not lead to a downgrade.

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: André Soutinho, Senior Analyst
Rating Committee Chair: Ketan Thaker, Managing Director
Initial Rating Date: 28 March 2025

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.

-- European RMBS Insight Methodology and European RMBS Insight model v. 10.1.0.0 (28 February 2025), https://dbrs.morningstar.com/research/449129
-- 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
-- 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.