Morningstar DBRS Assigns Provisional Credit Rating to Golden Apple 2025-I NHG B.V.

DBRS Ratings GmbH (Morningstar DBRS) assigned the following provisional credit rating to the bond issued by Golden Apple 2025-I NHG B.V. (Golden Apple 2025-I NHG or the Issuer):

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

The provisional credit rating on the Class A notes addresses the timely payment of interest and the ultimate repayment of principal on or before the final maturity date in July 2063. Morningstar DBRS does not rate the Class B or Class C Notes also issued in the transaction.

The transaction is a Dutch residential mortgage-backed securities (RMBS) issuance backed by first-lien, owner-occupied mortgage loans granted by Argenta Spaarbank N.V. (Argenta) in the Netherlands.

CREDIT RATING RATIONALE
The Issuer is expected to issue two tranches of mortgage-backed securities (the Class A and Class B notes) to finance the purchase of Dutch residential mortgage loans secured by properties in the Netherlands. Additionally, Golden Apple 2025-I NHG is expected to issue the Class C notes, which are noncollateralised and whose proceeds will be used to fund the Reserve Fund and to cover initial costs and expenses.

The coupon on the Class A notes will be three-month Euribor plus []%. From the payment date falling in July 2031, which is also the first optional redemption date, the coupon will be capped at 6.8%. Any excess of three-month Euribor of more than 6.5% and the increased step-up portion 0.3% will then be payable as a subordinated additional interest amount. The additional interest amounts are not rated by Morningstar DBRS.

Credit support to the Class A notes is sized at 7.0% and is provided by subordination and a nonamortising Reserve Fund. The Reserve Fund is expected to be funded with EUR [] million equal to 1.0% of the Class A and B notes' outstanding balance as of the closing date. Liquidity support for the Class A notes is further provided through a Cash Advance Facility as well as principal 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 expected to be sized at the maximum of 1.0% of the Class A and Class B notes' outstanding balance with a floor of 0.75% of the Class A and Class B notes' outstanding balance as of the closing date. The Cash Advance Facility is a 364-day contract and, if it is not renewed, it will be drawn by the Issuer.

As of 30 April 2025, the provisional portfolio consisted of 4,901 loans extended to 3,117 borrowers, with an aggregate principal balance of EUR 816.4 million and was composed entirely of Nationale Hypotheek Garantie (NHG) mortgage loans. The entire portfolio comprises owner-occupied loans secured by first-ranking mortgage rights. The provisional portfolio contains 3.5% interest-only loans, and 4.3% of the loans were granted to self-employed borrowers. As of the cut-off date, all mortgage loans are performing. The mortgages were originated and are also serviced by Argenta, with Quion Services B.V. acting as sub-mortgage payment transactions provider (Sub-MPT Provider).

Within the provisional mortgage portfolio, 99.98% of the loans currently pay a fixed rate of interest with the most common reset frequencies of 20 and 10 years. In comparison, the Class A notes pay an interest rate linked to three-month Euribor, which resets on a quarterly basis. The Issuer's fixed-floating risk exposure is hedged through an interest rate cap agreement with BNP Paribas SA (Long-Term Issuer Rating of AA (low) and Long Term Critical Obligations Rating of AA (high) with Stable trends) that references the aggregate current balance of the Class A notes with an amortisation based on 2.25% conditional prepayment rate per annum (the cap notional amount) and pays the Issuer the positive difference between three-month Euribor and the cap strike rate multiplied by the cap notional amount. The interest rate cap agreement will be effective for a period of 17 years. Consequently, the risk that the interest received in respect of the Mortgage Receivables is not sufficient to pay the interest on the Class A notes is no longer (partly) mitigated by the interest rate cap agreement from then on.

Based on Morningstar DBRS' credit ratings on BNP Paribas SA, the downgrade provisions outlined in the documents, and the transaction structural mitigants, Morningstar DBRS considers the risk arising from the exposure to BNP Paribas SA to be consistent with the credit ratings assigned to the notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

All payments made by borrowers on the mortgage loans are paid into the Collection Foundation Account, which is a bankruptcy remote account pledged to the Issuer and held by the Collection Foundation (Stichting Argenta Hypotheken Ontvangsten) in the Collection Foundation Account Bank, ABN AMRO Bank N.V. The availability of a Collection Foundation account mitigates the commingling risk in the transaction.

The Issuer will maintain with BNG Bank N.V. (BNG) the Issuer Collection Account, to which all amounts received in respect of the mortgage loans and from the other parties to the transaction documents will be paid (other than any amounts received under the transaction documents to be deposited into the Cash Advance Facility Standby Drawing Account and the Interest Rate Cap Collateral Account) as well as the reserve account. BNG will be replaced as account bank within 30 calendar days if it is downgraded below "A".

If the Issuer is required to make a Cash Advance Facility Standby Drawing, it will credit such amount to the Cash Advance Facility Standby Drawing Account maintained with the Issuer Account Bank. The Issuer may use amounts so credited to the Cash Advance Facility Standby Drawing Account in the same manner as a drawing under the Cash Advance Facility Agreement. Pursuant to the Issuer Account Agreement, the Issuer Account Bank will agree to pay a guaranteed rate of interest determined by reference to the euro short-term rate minus a margin on the balance standing from time to time to the credit of the Cash Advance Facility Standby Drawing Account. Should the interest rate fall below zero, the Issuer would be required to make interest payments to the Issuer Account Bank; such payments may be made on other dates than the Note Payment Dates. The transaction documents include Morningstar DBRS' credit rating and downgrade provisions for the Issuer Account Bank and the Cash Advance Facility Provider. As of the date of assignment of the credit rating, based on (1) Morningstar DBRS' private credit rating on BNG, (2) the downgrade provisions outlined in the transaction documents, and (3) the structural mitigants provided, Morningstar DBRS considers the risk arising from the exposure to BNG to be consistent with the credit ratings assigned to the notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS based its credit rating on a review of 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 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 for the rated note are the related Interest Amounts (related to the initial coupon) and the related Class Balance.

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. For example, the credit rating on the Class A notes does not address the Class A Excess Consideration or the Euribor Excess Consideration.

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 rating. 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/454196.

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 (8 May 2025), https://dbrs.morningstar.com/research/453613.

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 this credit rating include historical performance data (Monthly dynamic delinquency data for NHG and non-NHG loans from July 2013 until February 2025, Monthly dynamic prepayment data for NHG and non-NHG loans from May 2013 until February 2025, and Static default data for NHG and non-NHG loans by vintage years from 2007 to 2024) and loan-by-loan data for the provisional portfolio with reference to 30 April 2025, provided by ABN AMRO Bank N.V.

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.

A provisional credit rating is not a final credit rating with respect to the above-mentioned security and may change or be different than the final credit rating assigned or may be discontinued. The assignment of a final credit rating on the above-mentioned security is subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalize the credit rating.

This credit rating concerns an expected-to-be-issued new 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 PD of 13.3% and LGD of 12.9%, corresponding to the (P) 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; and
-- 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: Alejandro Tendero Delicado, Vice President
Rating Committee Chair: Rehanna Sameja
Initial Rating Date: 4 June 2025

DBRS Ratings GmbH
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Tel. +49 (69) 8088 3500
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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.

-- European RMBS Insight Methodology and European RMBS Insight Model v. 10.1.0.1 (8 May 2025), https://dbrs.morningstar.com/research/453613
-- 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 (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 this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.