New Issue: Solitaire I B.V.

S&P Global Ratings assigned its credit rating to Solitaire I B.V.'s class A notes. At closing, Solitaire I also issued unrated class B notes. Solitaire I is the first securitization of mortgage loans from bunq B.V. Venn Hypotheken B.V. (24%) and ASR Levensverzekering N.V. (76%) originated the loans. Bunq purchased the loans through two wholly owned subsidiaries, Another Mortgage I B.V. and Another Mortgage II B.V. The loans were then sold on to the issuer. Bunq is a challenger bank that launched end 2015 in the Netherlands and now has a full banking license. This transaction is the first of bunq's planned securitization program. The program has been designed to allow bunq to use securitized notes as collateral, in order

...Strengths Concerns and mitigating factors All of the portfolio's mortgage loans are prime-originated, performing, first- and sequentially-lower ranking residential mortgages, and the pool contains no loans in arrears and no borrowers with adverse credit history. Further advances loans are permitted up until the first optional redemption date, which could, depending on the loan characteristics, impair the portfolio's credit quality. However, given the tight additional purchase conditions and the 1% of the outstanding collateral annual limit, we consider the risk of portfolio performance deterioration as immaterial in our analysis. The performance of loans originated by both ASR Levensverzekering and Venn has historically been relatively strong and stable. However, the Venn performance history is limited to only six years and ASR Levensverzekering loans haven't been previously used in a securitization. Therefore, we have reflected this in our originator adjustment. This transaction is subject...

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