DBRS Ratings Limited (DBRS) discontinued its ratings on the Class A, Class B, Class C, Class D and Class E notes (collectively, the Notes) issued by SapphireOne Mortgages FCT 2016-1.
The discontinuations reflect the full payment of the Notes on the 27 August 2019 payment date. The ratings and remaining balances of the Notes prior to their redemptions were as follows:
-- Class A notes rated AAA (sf) with a balance of GBP 287,805,357.18
-- Class B notes rated AAA (sf) with a balance of GBP 34,800,000.00
-- Class C notes rated AA (high) (sf) with a balance of GBP 24,200,000.00
-- Class D notes rated AA (sf) with a balance of GBP 19,100,000.00
-- Class E notes rated AA (low) (sf) with a balance of GBP 18,700,000.00
All figures are in euros unless otherwise noted.
The principal methodology applicable to the ratings is the “Master European Structured Finance Surveillance Methodology”.
In DBRS’s opinion, a discontinued-repaid rating action does not warrant the application of the entire principal methodology, as the bond has been repaid in full.
Other methodologies referenced in this transaction are listed at the end of this press release.
These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.
For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” methodology at: https://www.dbrs.com/research/350410/global-methodology-for-rating-sovereign-governments.
The sources of data and information used for these ratings include the investor report provided by the management company EuroTitrisation and legal documentation from the transaction counsel.
DBRS did not rely upon third-party due diligence in order to conduct its analyses.
At the time of the initial rating, DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.
DBRS considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.
DBRS does not audit or independently verify the data or information it receives in connection with the rating process.
The last rating action on this transaction took place on 16 November 2018, when DBRS confirmed the rating on the Class A notes at AAA (sf), upgraded the rating on the Class B notes to AAA (sf) from AA (high) (sf), upgraded the rating on the Class C notes to AA (high) (sf) from AA (sf), upgraded the Class D notes to AA (sf) from A (high) (sf) and upgraded the rating on the Class E notes to AA (low) (sf) from BBB (high) (sf).
Information regarding DBRS ratings, including definitions, policies and methodologies is available at www.dbrs.com.
As this is a discontinued-repaid rating action, a sensitivity analysis is not applicable.
For further information on DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.
Ratings assigned by DBRS Ratings Limited are subject to EU and US regulations only.
Lead Analyst: Andrew Lynch, Assistant Vice President.
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 7 July 2016
DBRS Ratings Limited
20 Fenchurch Street
Registered and incorporated under the laws of England and Wales: Company No. 7139960.
The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.
-- Legal Criteria for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Interest Rate Stresses for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Master European Structured Finance Surveillance Methodology
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.
For more information on this credit or on this industry, visit www.dbrs.com or contact us at firstname.lastname@example.org.