Morningstar DBRS Confirms Credit Ratings on Cartesian Residential Mortgages 5 and 6 S.A.

DBRS Ratings GmbH (Morningstar DBRS) confirmed its credit ratings on the notes issued by Cartesian Residential Mortgages 5 S.A. (Cartesian 5) and Cartesian Residential Mortgages 6 S.A. (Cartesian 6) (collectively, the Issuers) as follows:

Cartesian 5:
-- Class A Notes confirmed at AAA (sf)
-- Class B Notes confirmed at AAA (sf)
-- Class C Notes confirmed at AA (high) (sf)
-- Class D Notes confirmed at AA (sf)

Cartesian 6:
-- Class A Notes confirmed at AAA (sf)
-- Class B Notes confirmed at AAA (sf)
-- Class C Notes confirmed at AA (high) (sf)

The credit ratings on the Class A and Class B Notes in each transaction address the timely payment of interest and ultimate repayment of principal by the final maturity date. The credit ratings on the other classes of notes in each transaction address and the ultimate payment of interest and ultimate repayment of principal while junior, and the timely payment of interest when they become the most senior outstanding.

CREDIT RATING RATIONALE
The confirmations follow an annual review of each transaction and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults and losses, as of 31 January 2025 (portfolio cut-off date corresponding to the February 2025 payment date);
-- 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 their respective rating levels as of the February 2025 payment date.

Each transaction is a securitisation of Dutch owner-occupied residential mortgages originated by Venn Hypotheken B.V. (Venn). The portfolios are serviced by Venn; however, primary servicing responsibilities were delegated to Stater Nederland B.V. and special servicing responsibilities were delegated to HypoCasso B.V.

PORTFOLIO PERFORMANCE
Delinquencies in each transaction have been limited since closing.

Cartesian 5:
As of 31 January 2025, loans two to three months in arrears represented 0.0% of the outstanding portfolio balance, stable since the last annual review. Loans at least three months in arrears represented 0.1% of the outstanding portfolio balance, down from 0.2% at the last annual review. Cumulative foreclosures were zero.

Cartesian 6:
As of 31 January 2025, loans two to three months in arrears represented 0.0% of the outstanding portfolio balance, stable since the last annual review. Loans at least three months in arrears represented 0.1% of the outstanding portfolio balance, up from 0.0% at the last annual review. Cumulative foreclosures were zero.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables in each transaction and updated its base case PD and LGD assumptions at the B (sf) rating level to the following:
-- Cartesian 5: PD of 1.1% and LGD of 10.0%
-- Cartesian 6: PD of 1.2% and LGD of 10.2%

CREDIT ENHANCEMENT
Credit enhancement (CE) in each transaction consists of the subordination of the junior notes and the reserve fund. At the February 2025 payment date, CE to each class of notes was as follows, compared to the last annual review:

Cartesian 5:
-- CE to the Class A Notes at 12.3%, up from 12.1%,
-- CE to the Class B Notes at 7.6%, up from 7.5%,
-- CE to the Class C Notes at 5.4%, up from 5.3%, and
-- CE to the Class D Notes at 4.5% up from 4.4%.

Cartesian 6:
-- CE to the Class A Notes at 11.2%, up from 11.1%,
-- CE to the Class B Notes at 6.5%, stable, and
-- CE to the Class C Notes at 4.1%, up from 4.0%.

Each transaction benefits from a reserve fund that is brought up to its target level in two stages in the revenue priority of payments, which limits the available reserve amounts based on the seniority of the notes. In each transaction, the entire reserve fund is available to cover senior fees, senior swap payments, Class A interest, the Class A principal deficiency ledger (PDL), and Class B interest before being replenished to its first target level. The remaining reserve balance is available to cover interest on the Class C Notes and the Class B and Class C PDLs, as well as Class D interest and the Class D PDL for Cartesian 5 before being replenished to its second target level. As of the February 2025 payment date, the Cartesian 5 and Cartesian 6 reserve funds are each at their respective target levels of approximately EUR 4.0 million, and EUR 5.5 million.

Citibank Europe plc - Luxembourg Branch (Citibank Luxembourg) acts as the account bank for each transaction. Based on the Morningstar DBRS private rating of Citibank Luxembourg, the downgrade provisions outlined in the transactions' documents, and other mitigating factors inherent in the transactions' 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 in each transaction, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

BNP Paribas SA (BNP Paribas) acts as the swap counterparty for each transaction. Morningstar DBRS' public Long Term Critical Obligations Rating on BNP Paribas 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' 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 each transaction respective press releases at issuance.

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
In each transaction, there were no Environmental/Social/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/454196

Morningstar DBRS analysed each transaction structure in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is: "Master European Structured Finance Surveillance Methodology" (4 February 2025) https://dbrs.morningstar.com/research/447080.

Other methodologies referenced in these transactions are listed at the end of this press release.

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

A review of the transactions' legal documents was not conducted as the legal documents have remained unchanged since the most recent credit rating actions.

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 investor reports provided by Intertrust Administrative Services B.V. and loan-level data provided by the 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 ratings, 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.

The last credit rating actions on these transactions took place on 7 June 2025, when:
-- For Cartesian 5, Morningstar DBRS confirmed its credit ratings on the Class A and Class B Notes at AAA (sf) and upgraded its credit ratings on the Class C and Class D Notes to AA (high) (sf) and AA (sf), respectively, from AA (sf) and AA (low) (sf), respectively.
-- For Cartesian 6, Morningstar DBRS confirmed its credit ratings on the Class A Notes at AAA (sf) and upgraded its credit ratings on the Class B and Class C Notes to AAA (sf) and AA (high) (sf), respectively, from AA (high) (sf) and AA (low) (sf), respectively.

The lead analyst responsibilities for these transactions have been transferred to Baran Cetin.

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):

-- 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 Issuers at the B (sf) credit rating level are as follows:
-- Cartesian 5: PD of 1.1% and LGD of 10.0%
-- Cartesian 6: PD of 1.2% and LGD of 10.2%
-- 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.

Cartesian 5:
Class A Notes 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)

Class B Notes 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 AA (high) (sf)

Class C Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in LGD, expected credit rating of AA (sf)
-- 25% increase in PD, expected credit rating of AA (high) (sf)
-- 50% increase in PD, expected credit rating of AA (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A (high) (sf)

Class D Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in LGD, expected credit rating of AA (low) (sf)
-- 25% increase in PD, expected credit rating of AA (low) (sf)
-- 50% increase in PD, expected credit rating of AA (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A (high) (sf)

Cartesian 6:
Class A Notes 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)

Class B Notes 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 AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)

Class C Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (low) (sf)
-- 50% increase in LGD, expected credit rating of A (high) (sf)
-- 25% increase in PD, expected credit rating of A (high) (sf)
-- 50% increase in PD, expected credit rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A (high) (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.

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

Lead Analyst: Baran Cetin, Assistant Vice President
Rating Committee Chair: Ketan Thaker, Managing Director
Initial Rating Date
-- Cartesian 5: 28 August 2020
-- Cartesian 6: 21 May 2021

DBRS Ratings GmbH
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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 these transactions can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Master European Structured Finance Surveillance Methodology (4 February 2025), https://dbrs.morningstar.com/research/447080
-- European RMBS Insight Methodology and European RMBS Insight Model v. 10.1.0.0 (8 May 2025), https://dbrs.morningstar.com/research/453613
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024), https://dbrs.morningstar.com/research/439913
-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024), https://dbrs.morningstar.com/research/443196
-- 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 (16 May 2025), https://dbrs.morningstar.com/research/454196

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 these credits or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.