Morningstar DBRS Assigns Credit Ratings to Bastion 2025-1 NHG B.V.

DBRS Ratings GmbH (Morningstar DBRS) assigned the following credit ratings to the bonds issued by Bastion 2025-1 NHG B.V. (the Issuer):

-- Class A1 Notes at AAA (sf)
-- Class A2 Notes at AAA (sf)

The credit rating on the Class A1 Notes addresses the timely payment of interest and ultimate payment of principal on or before the final maturity date. Given that there is no coupon on the Class A2 Notes, its credit rating addresses the ultimate payment of principal on or before the final maturity date. Morningstar DBRS does not rate the Class B or Class C Notes also issued in the transaction.

CREDIT RATING RATIONALE
The Issuer issued three tranches of mortgage-backed securities (namely, the Class A1, Class A2, and Class B Notes) to finance the purchase of a portfolio of Dutch residential mortgage loan receivables secured over properties located in the Netherlands. Additionally, the Issuer issued Class C Notes, which are noncollateralised and whose proceeds will be used to fund a reserve fund.

Credit support to the Class A1 and A2 Notes (together, the Class A Notes or the rated Notes) is sized at 10.5% and provided by the subordination of the Class B Notes and the nonamortising reserve fund. The reserve fund was funded at 1.0% of the Class A1, Class A2, and Class B Notes' initial balance.

Further liquidity support for the Class A1 Notes is provided through a cash advance facility, along with a priority of payments allowing principal to be borrowed to support revenue items with a corresponding debit to the appropriate principal deficiency ledger. The cash advance facility will amortise with no performance conditions attached. It is sized at 1.5% of the Class A1 and Class A2 Notes' outstanding balance with a floor of 1.0% of the Class A Notes' initial balance. The cash advance facility is a 364-day renewable facility and, if it is not renewed, it will be drawn by the Issuer.

As of 31 March 2025, the portfolio consisted of 6,217 loan parts granted to 3,530 borrowers with an aggregate principal balance of EUR 766 million. All mortgage loan receivables in the portfolio benefit from the Dutch National Mortgage Guarantee (NHG). The weighted-average (WA) seasoning of the portfolio was 2.8 years with a WA residual maturity of 26.6 years. The WA indexed loan-to-value of the portfolio was 75.7%. The mortgage loans in the asset portfolio are all classified as owner-occupied and are secured by a first-ranking mortgage right. The portfolio contains 6.4% interest-only loans, and 3.8% of the loans were granted to self-employed borrowers. As of the cut-off date, all mortgage loans were performing.

All loans in the securitised portfolio pay a fixed rate of interest with the most common reset frequencies being 10, 20, and 30 years. In comparison, the Class A1 Notes pay an interest rate linked to three-month Euribor, which resets on a quarterly basis. The Issuer's interest rate risk exposure is hedged through a total return swap agreement with MeDirect Bank SA/NV and Coöperatieve Rabobank U.A. (Rabobank) acting as the Back-Up Swap Counterparty. Based on Rabobank's credit rating and collateral posting provisions included in the documentation, Morningstar DBRS considers the risk of such counterparty to be consistent with the credit ratings assigned, in accordance with its "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

Further advances are allowed only until October 2031 and are subject to certain annual quantitative limits. Furthermore, the sale of further advance receivables is subject to certain conditions, as well as the general pool eligibility criteria, limiting deterioration of the pool's quality. Morningstar DBRS has reviewed these conditions and has considered them in its analysis.

In case further advances are granted beyond these limits, the seller has undertaken to repurchase the relevant loans, paying a price at least equal to outstanding principal and accrued interest. If the seller does not comply with this obligation, the Issuer has the option to sell the relevant loans at market value to other investors in the originator platform: in this case, the Issuer may suffer a loss (Market Value Shortfall Amount), which will result in a debit to the Principal Deficiency Ledger and can be covered via excess spread, if available, as per the transaction priority of payments. The maximum Market Value Shortfall Amount is defined in the transaction documents as 3.38% of the initial pool balance: the loans can't be sold at a loss once the cumulative Market Value Shortfall Amount has exceeded this level.

The Issuer account bank is BNG Bank N.V. Based on the account bank's private credit ratings and the replacement provisions included in the transaction documents, Morningstar DBRS considers the risk of such counterparty to be consistent with the credit ratings assigned, in accordance with its "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS based its credit ratings primarily on the following analytical considerations:
-- The transaction's capital structure, including the form and sufficiency of available credit enhancement and liquidity provisions.
-- Estimated stress-level probability of default (PD), loss given default (LGD), and expected loss levels on the mortgage portfolio, which were used as inputs into the cash flow engine. The mortgage portfolio was analysed in accordance with Morningstar DBRS' "European RMBS Insight Methodology".
--The structural mitigants in place to avoid potential payment disruptions caused by operational risk, such as the existence of an experienced and highly rated servicer and the liquidity provided by the reserve account and the cash advance facility.
-- The transaction parties' financial strength to fulfil their respective roles.
-- The transaction's ability to withstand stressed cash flow assumptions and repay investors in accordance with the terms and conditions of the Notes.
-- The consistency of the transaction's legal structure with Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology and the expectation of legal opinions addressing the assignment of the assets to the Issuer.

Morningstar DBRS' credit ratings on the Class A1 and Class A2 Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are related to Interest Payment Amounts and the related Principal Balances.

Morningstar DBRS' credit rating on the Class A1 Notes also addresses the credit risk associated with the increased rate of interest applicable if the Class A1 Notes are not redeemed on the Optional Redemption Date as defined in and in accordance with the applicable transaction documents.

Morningstar DBRS' credit ratings do 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
Morningstar DBRS considers that the NHG guarantee backing all the loans in the pool is a relevant Social factor for the credit ratings. 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 A1 and Class A2 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 ratings 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.

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 historical performance (static pool defaults data from 2019 to 2025, dynamic delinquencies data from 2020 to 2025, and dynamic prepayments data from 2019 to 2025) and loan-level data as at 31 March 2025, provided by ABN AMRO Bank N.V. and its representatives on behalf of MeDirect Bank SA/NV.

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 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.

These credit ratings concern newly issued financial instruments. These are the first Morningstar DBRS credit ratings on these financial instruments.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on http://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 A1 Notes, a PD of 22.2% and LGD of 21.2%, 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.

-- In respect of the Class A2 Notes, a PD of 22.2% and LGD of 21.2%, 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.

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

Lead Analyst: Álvaro Astarloa, Assistant Vice President
Rating Committee Chair: Rehanna Sameja, Senior Vice President
Initial Rating Date: 30 April 2025

DBRS Ratings GmbH, Sucursal en España
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28046 Madrid, Spain
Tel. +34 (91) 903 6500

DBRS Ratings GmbH
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D-60311 Frankfurt am Main
Tel. +49 (69) 8088 3500
Geschäftsführung: Detlef Scholz, Marta Zurita Bermejo
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.