Press Release

DBRS Discontinues Ratings on Celeste Mortgage Funding 2015-1 PLC

RMBS
June 28, 2018

DBRS Ratings Limited (DBRS) discontinued its ratings on the Class A, Class B, Class C, Class D, Class E and Class F Notes (the Notes) issued by Celeste Mortgage Funding 2015-1 PLC (the Issuer).

The discontinuation reflects the full repayment of the Notes as at the payment date on 15 June 2018. Prior to their repayment in full, the outstanding principals and ratings were as follows:

--Class A Notes: GBP 110,387,642.0, rated AAA (sf)
--Class B Notes: GBP 29,275,000.0, rated AAA (sf)
--Class C Notes: GBP 23,929,000.0, rated AA (low) (sf)
--Class D Notes: GBP 10,692,000.0, rated A (low) (sf)
--Class E Notes: GBP 9,164,000.0, rated BBB (low) (sf)
--Class F Notes: GBP 3,819,000.0, rated BB (high) (sf)

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

The principal methodology applicable to the ratings is: “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 “Rating Sovereign Governments” methodology at: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.

The sources of data and information used for these ratings include information and investor reports provided by Bluestone Group.

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 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 5 December 2017, when DBRS confirmed the rating of the Class A Notes at AAA (sf) and upgraded the ratings of the Class B Notes, Class C Notes, Class D Notes, Class E Notes and Class F Notes to AAA (sf), AA (low) (sf), A (low) (sf), BBB (low) (sf) and BB (high) (sf), respectively.

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

As this is a discontinued-repaid rating action, sensitivity analysis is not applicable.

For further information on DBRS historic 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: Vito Natale, Senior Vice President
Initial Rating Date: 11 March 2015

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.

-- Legal Criteria for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Servicers
-- European RMBS Insight Methodology
-- European RMBS Insight: U.K. Addendum
-- Interest Rate Stresses for European Structured Finance Transactions

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 [email protected].

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.