DBRS Morningstar Comments on Securitisation of Catalogue Assets Limited

DBRS Ratings Limited (DBRS Morningstar) reviewed the recently executed amendments to the Securitisation of Catalogue Assets Limited transaction and concluded that the amendments do not in and of themselves, at this time, result in the downgrade or withdrawal of the AAA (sf) and A (sf) ratings currently assigned to the Class A-S Variable Funding Notes and the Class A-J Variable Funding Notes, respectively. The amendments are effective as at 11 September 2020.

The amendments have been executed in the context of the Coronavirus Disease (COVID-19) pandemic and follow the Financial Conduct Authority’s (the FCA) May 2020 introduction and July 2020 extension of measures to ease and support affected individuals by granting temporary payment holidays during the pandemic. Obligors who benefit from a maximum six-month payment holiday (COVID-19 accounts) will be exempt from payment obligations (including monthly minimum payment) for the duration of the payment holiday.

The current amendments extend and modify the effect of the May 2020 amendments to the transaction (see DBRS Morningstar press release of 29 May 2020).

The current amendments include:
-- An extension of covenants of the previous amendments to the second payment holiday envisaged by the FCA in July 2020; and
-- A reduction of the 20% threshold for COVID-19 accounts to 7%.

Following the amendments, the calculation of the ratios used in the triggers will not consider the COVID-19 accounts for the duration of the payment holiday. However, there is a threshold of 7% for the COVID-19 accounts that cannot be exceeded.

The reduced threshold and the temporary nature of the changes to the way the ratio is calculated and the cash flow analysis conducted in the context of the previous amendment effectively reassure DBRS Morningstar that the changes themselves would not themselves affect the ratings.

Additional reporting remains available to monitor the portfolio and the liquidity support provided by the fully funded liquidity reserve represent additional mitigating factors.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

Notes:
All figures are in British pound sterling unless otherwise noted.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

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