DBRS Morningstar Comments on Residential Mortgage Securities 31 plc Following Amendment

DBRS Ratings Limited (DBRS Morningstar) reviewed the impact of the purchase by Kayl Holdco S.à r.l. (Kayl) of the securitised portfolio (and the transfer of the related mortgage rights) (the Amendment) in the Residential Mortgage Securities 31 plc (the Issuer) transaction and concluded that the Amendment would not in and of itself result in a downgrade or withdrawal of the ratings of the Class A, Class B, Class C, Class D, Class E, Class F1, and Class X1 Notes (the Notes). The effective date of the Amendment was 19 August 2021 and the purchase took place on 23 August 2021.

The Amendment included the following:
-- The ability to sell the portfolio (and transfer the related mortgage rights) on a specific sale date more than five business days prior to the September 2021 payment date in order to exercise the call option of the Notes and other outstanding notes issued on the September 2021 payment date. Prior to the Amendment, the sale of the portfolio could happen five business days prior to the call option date, defined as any payment date from the September 2021 payment date onwards.
-- The definition of the amount to be transferred to the Issuer account for the purpose of the portfolio sale being the higher of the purchase price of the portfolio as of 31 May 2021 and the necessary amount to redeem principal and accrued and unpaid interest on the Notes and other outstanding notes issued and any costs due to the call option exercise and other amounts required by the post-enforcement priority of payments. The purchase price of the portfolio took into account the General Reserve balance, the Liquidity Reserve balance (currently unfunded), and any proceeds accumulated in the Issuer account since the June 2021 payment date.
-- The cancellation of the Class F3 and Class Z Notes, which are held by Kayl and not rated by DBRS Morningstar.

Residential Mortgage Securities 31 Plc is a securitisation of seasoned UK non-conforming mortgages, both owner-occupied and buy-to-let. The mortgages were originated by various entities (Southern Pacific Mortgages Limited, Preferred Mortgages Limited, London Mortgage Company, Southern Pacific Personal Loans Limited, Alliance & Leicester, and Amber Homeloans Limited). The portfolio is serviced by Kensington Mortgage Company Limited (KMC). KMC is a wholly owned subsidiary of Kensington Holdco Limited. The Issuer account is held at Citibank, N.A., London Branch.

More information on the transaction can be found at: https://www.dbrsmorningstar.com/issuers/23529.

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 the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

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 can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at: https://www.dbrsmorningstar.com/research/373262.

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

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

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