DBRS Morningstar Places Ratings on 24 UK RMBS Transactions Under Review with Positive Implications Following Update to European RMBS Insight: UK Addendum

DBRS Ratings Limited (DBRS Morningstar) placed the ratings on 110 tranches in 24 UK residential mortgage-backed securities (RMBS) transactions Under Review with Positive Implications.

KEY RATING DRIVERS AND CONSIDERATIONS
On 16 September 2022, DBRS Morningstar finalised its updated “European RMBS Insight: UK Addendum” (the Methodology), superseding the prior version published on 27 October 2021. The Methodology presents the criteria for which UK RMBS ratings, and, where relevant, UK covered bonds ratings, are assigned and/or monitored.

The changes to the Methodology include updates to the market value decline assumptions in the UK, which are now derived using a base year of 2017, as opposed to 2002 previously, and updates to house price indexation to reflect data through Q4 2021. For more details, see the following press release:
https://www.dbrsmorningstar.com/research/402865/dbrs-morningstar-publishes-final-european-rmbs-insight-uk-addendum.

As a result of the application of the Methodology, DBRS Morningstar placed the ratings on the aforementioned tranches Under Review with Positive Implications. DBRS Morningstar also rates the Class A notes issued in each transaction in addition to other classes of notes rated AAA (sf), but did not place these classes of notes Under Review.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
DBRS Morningstar considers the help-to-buy (HTB) scheme applicable to a proportion of the portfolio in Genesis Mortgage Funding 2022-1 plc, Finsbury Square 2019-3 plc, Finsbury Square 2020-1 plc, Gemgarto 2021-1 Plc, Tower Bridge Funding 2021-1 plc, Tower Bridge Funding 2021-2 plc and Tower Bridge Funding No. 4 PLC to be a relevant social factor (social impact of products and services) as outlined in the “DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings”. The HTB scheme is credit negative, but DBRS Morningstar does not consider this to be a significant social factor given the generally limited exposure to HTB loans in these transactions.

In the remaining transactions, there were no Environmental/Social/Governance factors that had a significant or relevant impact on the credit analysis.

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/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings (17 May 2022).

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

The principal methodologies applicable to the ratings are the “Master European Structured Finance Surveillance Methodology” (19 May 2022), https://www.dbrsmorningstar.com/research/397033/master-european-structured-finance-surveillance-methodology, and the “European RMBS Insight: UK Addendum” (16 September 2022), https://www.dbrsmorningstar.com/research/402864/european-rmbs-insight-uk-addendum.

DBRS Morningstar is undertaking a review and will remove the ratings from this status as soon as it is appropriate.

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at: http://www.dbrsmorningstar.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 Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrsmorningstar.com/research/401817/global-methodology-for-rating-sovereign-governments.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The sources of data and information used for these ratings include investor reports and loan-level data provided by the cash manager, trustee, and/or servicer in each transaction.

DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial ratings, DBRS Morningstar was supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS Morningstar considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on Avon Finance No. 2 Plc took place on 14 September 2022, when DBRS Morningstar confirmed its ratings on the Class A, Class B, and Class C Notes at their current rating levels and upgraded its ratings on the Class D, Class E, and Class F Notes.

The last rating action on Canterbury Finance 4 PLC took place on 6 July 2022, when DBRS Morningstar confirmed its ratings on the Class A1 and A2 notes at their current rating levels and upgraded its ratings on the Class B, Class C, Class D, Class E, Class F, and Class X notes.

The last rating action on Castell 2020-1 plc took place on 10 August 2022, when DBRS Morningstar discontinued its rating on the Class X notes. Prior to this, on 23 September 2021, DBRS Morningstar confirmed its ratings on the Class A, Class B, Class C, Class D, Class E, and Class F notes at their current rating levels.

The last rating action on Castell 2021-1 PLC took place on 10 November 2021, when DBRS Morningstar finalised its provisional ratings on the notes. The lead analyst responsibilities for this transaction have been transferred to Natalia Coman.

The last rating action on Castell 2022-1 PLC took place on 19 July 2022, when DBRS Morningstar finalised its provisional ratings on the notes. The lead analyst responsibilities for this transaction have been transferred to Natalia Coman.

The last rating action on Durham Mortgages A plc took place on 18 February 2022, when DBRS Morningstar confirmed its ratings on the Class A, Class B, Class C, Class D, Class E, and Class F Notes at their current rating levels and upgraded its rating on the Class X Notes.

The last rating action on Durham Mortgages B plc took place on 19 August 2022, when DBRS Morningstar confirmed its ratings on the Class A, Class B, Class C, Class D, Class E, and Class F Notes at their current rating levels and upgraded its rating on the Class X Notes.

The last rating action on Elvet Mortgages 2021-1 plc took place on 15 October 2021, when DBRS Morningstar finalised its provisional ratings on the notes. The lead analyst responsibilities for this transaction have been transferred to Clare Wootton.

The last rating action on Finsbury Square 2019-3 plc took place on 30 March 2022, when DBRS Morningstar discontinued its rating on the Class X Notes. Prior to this, on 1 February 2022, DBRS Morningstar confirmed its ratings on the Class A, Class B, Class D, and Class E Notes at their current rating levels and upgraded its rating on the Class C Notes.

The last rating action on Finsbury Square 2020-1 plc took place on 30 March 2022, when DBRS Morningstar discontinued its rating on the Class X Notes. Prior to this, on 1 February 2022, DBRS Morningstar confirmed its ratings on the Class A, Class B, Class C, and Class D Notes at their current rating levels and upgraded its rating on the Class X Notes.

The last rating action on Gemgarto 2021-1 Plc took place on 18 February 2022, when DBRS Morningstar confirmed its ratings on the Class A, Class B, Class C, Class D, and Class X notes at their current rating levels.

The last rating action on Genesis Mortgage Funding 2022-1 plc took place on 6 May 2022, when DBRS Morningstar finalised its provisional ratings on the notes. The lead analyst responsibilities for this transaction have been transferred to Andrew Lynch.

The last rating action on Harbour No. 1 plc took place on 10 December 2021, when DBRS Morningstar finalised its provisional ratings on the notes. The lead analyst responsibilities for this transaction have been transferred to Clare Wootton.

The last rating action on Pavillion Mortgages 2021-1 PLC took place on 20 December 2021, when DBRS Morningstar finalised its provisional ratings on the notes. The lead analyst responsibilities for this transaction have been transferred to Clare Wootton.

The last rating action on Together Asset Backed Securitisation 2018-1 Plc took place on 24 September 2021, when DBRS Morningstar confirmed its ratings on the Class A, Class B, and Class D notes at their current rating levels and upgraded its rating on the Class C notes. The lead analyst responsibilities for this transaction have been transferred to Natalia Coman.

The last rating action on Together Asset Backed Securitisation 2019-1 Plc took place on 24 September 2021, when DBRS Morningstar confirmed its ratings on the Class A, Class B, Class C, Class D, and Class E notes at their current rating levels. The lead analyst responsibilities for this transaction have been transferred to Natalia Coman.

The last rating action on Towd Point Mortgage Funding 2018-Auburn 12 Plc took place on 5 August 2022, when DBRS Morningstar confirmed its rating on the Class A notes at the current rating level and upgraded its ratings on the Class B, Class C, Class D, and Class E notes. The lead analyst responsibilities for this transaction have been transferred to Natalia Coman.

The last rating action on Towd Point Mortgage Funding 2019-Vantage2 Plc took place on 1 February 2022, when DBRS Morningstar confirmed its rating on the Class A notes at the current rating level and upgraded its ratings on the Class B, Class C, Class D, Class E, and Class F notes. The lead analyst responsibilities for this transaction have been transferred to Natalia Coman.

The last rating action on Tower Bridge Funding 2021-1 plc took place on 25 March 2022, when DBRS Morningstar confirmed its rating on the Class A Notes at the current rating level and upgraded its ratings on the Class B, Class C, and D Notes.

The last rating action on Tower Bridge Funding 2021-2 plc took place on 27 April 2022, when DBRS Morningstar confirmed its rating on the Class A Notes at the current rating level and upgraded its ratings on the Class B, Class C, Class D, and Class X notes.

The last rating action on Tower Bridge Funding No. 4 PLC took place on 27 April 2022, when DBRS Morningstar confirmed its rating on the Class A notes at the current rating level and upgraded its ratings on the Class B, Class C, Class D, Class E, and Class F notes.

The last rating action on Trinidad Mortgage Securities 2018-1 plc took place on 24 September 2021, when DBRS Morningstar confirmed its rating on the Class A notes at the current rating level and upgraded its ratings on the Class B, Class C, Class D, Class E, and Class F notes. The lead analyst responsibilities for this transaction have been transferred to Natalia Coman.

The last rating action on Tudor Rose Mortgages 2021-1 PLC took place on 10 December 2021, when DBRS Morningstar finalised its provisional ratings on the notes. The lead analyst responsibilities for this transaction have been transferred to Clare Wootton.

The last rating action on Warwick Finance Residential Mortgages Number Four Plc took place on 19 August 2022, when DBRS Morningstar confirmed its ratings on the Class A, Class B, Class C, Class D, and Class E notes at their current rating levels.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available at www.dbrsmorningstar.com.

These ratings are Under Review with Positive Implications. Generally, the conditions that lead to the assignment of reviews are resolved within a 90-day period. Further information on potential rating sensitivity as a result of this methodological change will be available when the Under Review status on the ratings is resolved.

For further information on DBRS Morningstar 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. DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage: https://www.fca.org.uk/firms/credit-rating-agencies.

These ratings are endorsed by DBRS Ratings GmbH for use in the European Union.

Avon Finance No. 2 plc
Lead Analyst: Andrew Lynch, Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 15 September 2020

Canterbury Finance 4 PLC
Lead Analyst: Andrew Lynch, Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 6 July 2021

Castell 2020-1 plc
Lead Analyst: Natalia Coman, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 10 September 2020

Castell 2021-1 PLC
Lead Analyst: Natalia Coman, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 25 October 2021

Castell 2022-1 PLC
Lead Analyst: Natalia Coman, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 11 July 2022

Durham Mortgages A plc
Lead Analyst: Clare Wootton, Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 16 February 2021

Durham Mortgages B plc
Lead Analyst: Clare Wootton, Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 16 August 2021

Elvet Mortgages 2021-1 plc
Lead Analyst: Clare Wootton, Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 4 October 2021

Finsbury Square 2019-3 plc
Lead Analyst: Natalia Coman, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 27 September 2019

Finsbury Square 2020-1 plc
Lead Analyst: Natalia Coman, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 24 January 2020

Gemgarto 2021-1 plc
Lead Analyst: Natalia Coman, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 26 January 2021

Genesis Mortgage Funding 2022-1 plc
Lead Analyst: Andrew Lynch, Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 21 April 2022

Harbour No. 1 plc
Lead Analyst: Clare Wootton, Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 3 December 2021

Pavillion Mortgages 2021-1 PLC
Lead Analyst: Clare Wootton, Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 15 December 2021

Together Asset Backed Securitisation 2018-1 Plc
Lead Analyst: Natalia Coman, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 23 October 2018

Together Asset Backed Securitisation 2019-1 Plc
Lead Analyst: Natalia Coman, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 23 September 2019

Towd Point Mortgage Funding 2018-Auburn 12 Plc
Lead Analyst: Natalia Coman, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 23 July 2018

Towd Point Mortgage Funding 2019-Vantage2 Plc
Lead Analyst: Natalia Coman, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 5 November 2019

Tower Bridge Funding 2021-1 plc
Lead Analyst: Natalia Coman, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 9 March 2021

Tower Bridge Funding 2021-2 plc
Lead Analyst: Natalia Coman, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 28 June 2021

Tower Bridge Funding No. 4 PLC
Lead Analyst: Natalia Coman, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 24 June 2019

Trinidad Mortgage Securities 2018-1 PLC
Lead Analyst: Natalia Coman, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 12 June 2018

Tudor Rose Mortgages 2021-1 PLC
Lead Analyst: Clare Wootton, Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 22 November 2021

Warwick Finance Residential Mortgages Number Four Plc
Lead Analyst: Andrew Lynch, Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 23 August 2019

DBRS Ratings Limited
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Registered and incorporated under the laws of England and Wales: Company No. 7139960

The rating methodologies used in the analysis of these transactions can be found at: http://www.dbrsmorningstar.com/about/methodologies.

-- Legal Criteria for European Structured Finance Transactions (22 July 2022), https://www.dbrsmorningstar.com/research/400166/legal-criteria-for-european-structured-finance-transactions.
-- Master European Structured Finance Surveillance Methodology (19 May 2022), https://www.dbrsmorningstar.com/research/397033/master-european-structured-finance-surveillance-methodology.
-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (17 May 2022), https://www.dbrsmorningstar.com/research/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.
-- Operational Risk Assessment for European Structured Finance Servicers (15 September 2022), https://www.dbrsmorningstar.com/research/402774/operational-risk-assessment-for-european-structured-finance-servicers.
-- Operational Risk Assessment for European Structured Finance Originators (15 September 2022), https://www.dbrsmorningstar.com/research/402773/operational-risk-assessment-for-european-structured-finance-originators.
-- European RMBS Insight Methodology (28 March 2022) and European Asset RMBS Insight Model v5.7.0.0, https://www.dbrsmorningstar.com/research/394309/european-rmbs-insight-methodology.
-- European RMBS Insight: UK Addendum (16 September 2022), https://www.dbrsmorningstar.com/research/402864/european-rmbs-insight-uk-addendum.
-- Interest Rate Stresses for European Structured Finance Transactions (22 September 2022), https://www.dbrsmorningstar.com/research/402943/interest-rate-stresses-for-european-structured-finance-transactions.
-- Derivative Criteria for European Structured Finance Transactions (20 September 2021), https://www.dbrsmorningstar.com/research/384624/derivative-criteria-for-european-structured-finance-transactions.

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at http://www.dbrsmorningstar.com/research/278375.

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