Press Release

DBRS Confirms Tower Bridge Funding No. 1 plc

RMBS
November 24, 2017

DBRS Ratings Limited (DBRS) confirmed the notes issued by Tower Bridge Funding No. 1 plc (the issuer) on 23 October 2017 following the sale of an additional loan portfolio (the pre-funded loans), as follows.

-- Class A confirmed at AAA (sf)
-- Class B confirmed at AA (High) (sf)
-- Class C confirmed at A (High) (sf)
-- Class D confirmed at BBB (sf)
-- Class E confirmed at BB (High) (sf)

The confirmation of the ratings is a result of the issuer purchasing the pre-funded loans on the 24 November 2017. Tower Bridge Funding No. 1 plc was structured with a pre-funding mechanism allowing the issuer to purchase an additional mortgage portfolio before the first interest payment date with the proceeds of a pre-funding principal reserve. The pre-funding principal reserve was funded by an over-issuance of notes at closing. Negative carry resulting from the pre-funding principal reserve is mitigated through a pre-funding revenue reserve.

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

The principal methodology applicable to the rating is: European RMBS Insight Methodology

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

In DBRS’s opinion, the changes under consideration do not require the application of the entire principal methodology. Therefore, DBRS focused on asset and cash-flow analysis.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent rating action.

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 DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” at: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of data and information used for this rating include Belmont Green Finance Limited and the Royal Bank of Scotland plc (trading as NatWest Markets).

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

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 this rating to be of satisfactory quality.

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

This is the first rating action since the Initial Rating Date.

The lead analyst responsibilities for this transaction have been transferred to Vito Natale.

Information regarding DBRS ratings, including definitions, policies and methodologies, is available on www.dbrs.com.

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):

-- In respect of the Class A notes, at an AAA (sf) rating level, a probability of default (PD) of 29.0% and a loss given default (LGD) of 52.2%.
-- In respect of the Class B notes, at an AA (high) (sf) rating level, a PD of 26.9% and a LGD of 49.8%.
-- In respect of the Class C notes, at an A (High) (sf) rating level, a PD of 22.1% and a LGD of 42.9%.
-- In respect of the Class D notes, at a BBB (sf) rating level, a PD of 16.5% and a LGD of 33.9%.
-- In respect of the Class E notes, at a BB (High) (sf) rating level, a PD of 12.2% and a LGD of 29.2%.

The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the Base Case assumption. For example, if the LGD increases by 50%, the rating on the Class A notes would be expected to be AA (Low) (sf), assuming no change in the PD. If the PD increases by 50%, the rating on the Class A Notes would be expected to be AA (sf), assuming no change in the LGD. Furthermore, if both the PD and the LGD increase by 50%, the rating on the Class A Notes would be expected to be A (Low) (sf).

Class A Notes risk sensitivity:
-- 25% increase in LGD, expected rating of AA (High) (sf)
-- 50% increase in LGD, expected rating of AA (Low) (sf)
-- 25% increase in PD, expected rating of AA (High) (sf)
-- 50% increase in PD, expected rating of AA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (Low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (High) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (High) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (Low) (sf)

Class B Notes risk sensitivity:
-- 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in LGD, expected rating of A (High) (sf)
-- 25% increase in PD, expected rating of AA (sf)
-- 50% increase in PD, expected rating of A (High) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (High) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (Low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (Low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (High) (sf)

Class C Notes risk sensitivity:
-- 25% increase in LGD, expected rating of A (Low) (sf)
-- 50% increase in LGD, expected rating of BBB (High)(sf)
-- 25% increase in PD, expected rating of A (Low) (sf)
-- 50% increase in PD, expected rating of BBB (High) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (High) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BBB (Low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (Low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (High) (sf)

Class D Notes risk sensitivity:
-- 25% increase in LGD, expected rating of BBB (Low) (sf)
-- 50% increase in LGD, expected rating of BB (High) (sf)
-- 25% increase in PD, expected rating of BBB (Low) (sf)
-- 50% increase in PD, expected rating of BB (High) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BB (High) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BB (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BB (High) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (Low) (sf)

Class E Notes risk sensitivity:
-- 25% increase in LGD, expected rating of BB (Low) (sf)
-- 50% increase in LGD, expected rating of B (High) (sf)
-- 25% increase in PD, expected rating of BB (Low) (sf)
-- 50% increase in PD, expected rating of B (High) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of B (High) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of B (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of B (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of B (Low) (sf)

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: Vito Natale, Senior Vice President
Rating Committee Chair: Erin Stafford, Managing Director
Initial Rating Date: 3 October 2017

DBRS Ratings Limited
20 Fenchurch Street, 31st Floor, London EC3M 3BY United Kingdom
Registered in England and Wales: No. 7139960
The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

--European RMBS Insight Methodology: UK Addendum
--Derivative Criteria for European Structured Finance Transactions
--Legal Criteria for European Structured Finance Transactions
--Operational Risk Assessment for European Structured Finance Servicers
--Operational Risk Assessment for European Structured Finance Originators
--Unified Interest Rate Model for European Securitisations

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

Ratings

Tower Bridge Funding No. 1 PLC
  • Date Issued:Nov 24, 2017
  • Rating Action:Confirmed
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:UKE
  • Date Issued:Nov 24, 2017
  • Rating Action:Confirmed
  • Ratings:AA (high) (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:UKE
  • Date Issued:Nov 24, 2017
  • Rating Action:Confirmed
  • Ratings:A (high) (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:UKE
  • Date Issued:Nov 24, 2017
  • Rating Action:Confirmed
  • Ratings:BBB (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:UKE
  • Date Issued:Nov 24, 2017
  • Rating Action:Confirmed
  • Ratings:BB (high) (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:UKE
  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

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