Press Release

DBRS Morningstar Takes Rating Actions on Five European RMBS Transactions

RMBS

December 18, 2020

DBRS Ratings Limited and DBRS Ratings GmbH (together, DBRS Morningstar) confirmed 26 tranches and downgraded six tranches across five European RMBS transactions. The rating actions additionally resolve the Under Review with Negative Implications (UR-Neg.) status of 21 tranches across these transactions, which were initially placed UR-Neg. on 24 June 2020 before having their UR-Neg. status extended on 24 September 2020. For more information regarding prior rating actions, please refer to the following press releases: “DBRS Morningstar Places 56 Ratings of 17 European RMBS Transactions Under Review with Negative Implications” (published 24 June 2020) and “DBRS Morningstar Maintains Ratings of Five European RMBS Transactions Under Review with Negative Implications” (published 24 September 2020). The complete list of rating actions can be found at the end of this press release.

DBRS Morningstar has assessed the potential impact of the Coronavirus Disease (COVID-19) pandemic on these transactions by adjusting its collateral assumptions in line with the risk factors in its “European RMBS Transactions’ Risk Exposure to Coronavirus (COVID-19) Effect” commentary published on 5 May 2020, outlining how the coronavirus crisis is likely to affect DBRS Morningstar-rated RMBS transactions in Europe. For more details, please see the RMBS commentary: https://www.dbrsmorningstar.com/research/360599/european-rmbs-transactions-risk-exposure-to-coronavirus-covid-19-effect and “DBRS Morningstar’s European Structured Finance COVID-19 Credit Risk Exposure Roadmap”: https://www.dbrsmorningstar.com/research/362712/european-structured-finance-covid-19-credit-risk-exposure-roadmap.

These transactions are secured by asset pools that may include high levels of restructured or reperforming loans, past delinquencies, refinancing risk exposure, or high concentrations of self-employed borrowers, which have resulted in upward revisions of their base case probability of default (PD) and loss given default (LGD) assumptions. DBRS Morningstar considers the collateral performance to date, available credit enhancement, and other structural protections of three transactions, Rochester Financing No.2 plc, Dublin Bay Securities 2018-MA1 DAC, and European Residential Loan Securitisation 2019-PL1 DAC, to be consistent with rating confirmations. Ratings on certain tranches issued under the remaining two transactions, Miravet 2019-1 and Mulcair Securities DAC, are considered to be more sensitive to coronavirus-related performance deterioration, and have been downgraded. The UR-Neg. status on all the aforementioned tranches has been removed. DBRS Morningstar will continue to monitor these transactions, as the ongoing impact of the coronavirus pandemic may have longer-term credit implications, and levels of delinquencies, defaults, and losses in excess of DBRS Morningstar’s expectations may eventually manifest.

On 16 April 2020, the DBRS Morningstar Sovereign group released a set of macroeconomic scenarios for the 2020-22 period in select economies. These scenarios were last updated on 2 December 2020. For details, see the following commentaries: https://www.dbrsmorningstar.com/research/370672/global-macroeconomic-scenarios-december-update and https://www.dbrsmorningstar.com/research/359903/global-macroeconomic-scenarios-application-to-credit-ratings. The DBRS Morningstar analysis considered impacts consistent with the moderate scenario in the referenced reports.

The Coronavirus Disease (COVID-19) and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many borrowers. DBRS Morningstar anticipates that delinquencies may continue to increase in the coming months for many RMBS transactions, some meaningfully. The ratings are based on additional analysis and adjustments to expected performance as a result of the global efforts to contain the spread of the coronavirus. For these transactions, DBRS Morningstar incorporated a moderate reduction in residential property values and, where relevant for the portfolio, DBRS Morningstar increased the expected default rate for self-employed borrowers, assessed a potential reduction in portfolio prepayment rates, and applied additional adjustments to restructured loans.

Should collateral performance deteriorate beyond the levels contemplated under DBRS Morningstar’s revised base case assumptions, or in the event of a material change in DBRS Morningstar’s macroeconomic forecasts, these transactions may be placed UR-Neg. once again.

KEY RATING DRIVERS AND CONSIDERATIONS

The rating actions follow a review of each transaction and are based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies, defaults, and losses.
-- PD, LGD, and expected loss assumptions on the remaining collateral portfolios.
-- Current available credit enhancement to the rated notes to cover the expected losses at their respective rating levels.
-- Current economic environment and an assessment of sustainable performance, as a result of the coronavirus pandemic.

More information on each individual transaction can be found after the Notes section of this press release. For additional transaction information, please refer to the latest performance analytics report available under the Research tab of each transaction on https://www.dbrsmorningstar.com.

DBRS Morningstar analysed the transaction structures in Intex DealMaker.

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 euros or British pound sterling unless otherwise noted.

The principal methodology applicable to the ratings is the “Master European Structured Finance Surveillance Methodology” (22 April 2020). DBRS Morningstar has applied the principal methodology consistently and conducted a review of the transactions in accordance with the principal methodology.

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

Other methodologies referenced in these transactions 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/364527/global-methodology-for-rating-sovereign-governments.

The sources of data and information used for these ratings include performance data provided in the most recent investor, servicer and/or trustee reports, and loan-level information for each transaction provided by the issuer or its agents, or the European Datawarehouse GmbH.

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 one or more third-party assessments for all five transactions. However, this did not impact the rating analysis in any case.

DBRS Morningstar considers the data and information available to it for the purpose 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 date for each transaction is listed further below, along with the sensitivity analysis and further performance and analytical information used to take the rating actions.

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

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.

Ratings assigned by DBRS Ratings Limited and DBRS Ratings GmbH are subject to EU and U.S. regulations only.

DBRS Ratings Limited
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Geschäftsführer: Detlef Scholz
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The rating methodologies used in the analysis of these transactions can be found at: http://www.dbrsmorningstar.com/about/methodologies.

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 these credits or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

DBRS Ratings Limited:

Rochester Financing No. 2 Plc

DBRS Morningstar confirmed its ratings of the Class A, Class B, Class C, Class D, Class E, and Class F notes (together the Notes) of Rochester Financing No.2 Plc at AAA (sf), AA (high) (sf), AA (low) (sf), A (sf), BBB (low) (sf), and BB (sf), respectively. The UR-Neg. status on the Class D, Class E, and Class F notes was removed.

The ratings on the Notes address the timely payment of interest and ultimate payment of principal on or before the legal final maturity date.

The last rating action on this transaction took place on 24 September 2020, when DBRS Morningstar extended the UR-Neg status on the ratings of the Class D, Class E, and Class F notes. DBRS Morningstar initially placed these ratings UR-Neg. on 24 June 2020.

In terms of portfolio performance, as of the November 2020 payment date, loans that were 30 to 60 days in arrears represented 4.7% of the outstanding portfolio balance while loans 60 to 90 days in arrears represented 3.2%. The 90+ delinquencies accounted for 9.7% of the outstanding balance, with cumulative losses of 0.5%. With regards to payment moratoriums, 2.3% of the portfolio were granted a payment holiday.

-- DBRS Morningstar expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The base case PD and LGD of the current pool of loans for the issuer are 29.9% and 17.3%, respectively.
-- 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 of the Class A notes would be expected to remain at AAA (sf), ceteris paribus. If the PD increases by 50%, the rating of the Class A notes would be expected to remain at AAA (sf), ceteris paribus. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A notes would be expected to be downgraded to A (high) (sf).

Class A Notes Risk Sensitivity
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)

Class B 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 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 (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (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 (high) (sf)
-- 50% increase in LGD, expected rating of A (sf)
-- 25% increase in PD, expected rating of A (high) (sf)
-- 50% increase in PD, expected rating of A (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (sf)

Class D 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 BBB (high) (sf)
-- 50% increase in PD, expected rating of BBB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (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 E 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 below BBB (low) (sf)
-- 50% increase in PD, expected rating below BB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating below BB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating below BB (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating below BB (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating below B (high) (sf)

Class F Notes Risk Sensitivity
-- 25% increase in LGD, expected rating below BB (sf)
-- 50% increase in LGD, expected rating below BB (low) (sf)
-- 25% increase in PD, expected rating below BB (low) (sf)
-- 50% increase in PD, expected rating below B (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating below B (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating below B (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating below B (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating below B (low) (sf)

Lead Analyst: Natalia Coman, Senior Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 26 February 2016

DBRS Ratings GmbH:

Miravet 2019-1

DBRS Morningstar confirmed its ratings of the Class A and Class D notes of Miravet 2019-1 at AAA (sf) and BB (high) (sf), respectively, and downgraded its ratings on the Class B, Class C, and Class E notes to A (low) (sf), BBB (low) (sf), and B (high) (sf) from A (high) (sf), BBB (high) (sf), and BB (sf), respectively. The UR-Neg. status on the Class B, Class C, Class D, and Class E notes was removed.

The rating on the Class A notes addresses the timely payment of interest and ultimate payment of principal on or before the legal final maturity date. The ratings on the Class B, Class C, Class D, and Class E notes address the ultimate payment of interest and principal on or before the legal final maturity date.

The last rating action on this transaction took place on 24 September 2020, when DBRS Morningstar extended the UR-Neg status on the ratings of the Class B, Class C, Class D, and Class E notes. DBRS Morningstar initially placed these ratings UR-Neg. on 24 June 2020.

In terms of portfolio performance, as of the November 2020 payment date, loans that were 30 to 90 days in arrears represented 7.0% of the outstanding portfolio balance. The 90+ delinquencies accounted for 9.2% of the outstanding balance, and the cumulative losses were negligible. With regards to payment moratoriums, 0.5% of the portfolio were granted a payment holiday.

-- DBRS Morningstar expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The base case PD and LGD of the current pool of loans for the issuer are 20.5% and 22.4%, respectively.
-- 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 of the Class A notes would be expected to be downgraded to A (high) (sf), ceteris paribus. If the PD increases by 50%, the rating of the Class A Notes would be expected to be downgraded to A (high) (sf), ceteris paribus. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to be downgraded to BBB (high) (sf).

Class A Notes Risk Sensitivity
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD, expected rating of AA (high) (sf)
-- 50% increase in PD, expected rating of A (high) (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 (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)

Class B Notes Risk Sensitivity
-- 25% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in LGD, expected rating of BBB (high) (sf)
-- 25% increase in PD, expected rating of BBB (high) (sf)
-- 50% increase in PD, expected rating of BBB (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BB (high) (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 (sf)

Class C Notes Risk Sensitivity
-- 25% increase in LGD, expected rating of BB (high) (sf)
-- 50% increase in LGD, expected rating of BB (high) (sf)
-- 25% increase in PD, expected rating of BB (high) (sf)
-- 50% increase in PD, expected rating of BB (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BB (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of B (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of B (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of B (sf)

Class D Notes Risk Sensitivity
-- 25% increase in LGD, expected rating of BB (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 (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating below B (sf)

Class E Notes Risk Sensitivity
-- 25% increase in LGD, expected rating of B (sf)
-- 50% increase in LGD, expected rating below B (sf)
-- 25% increase in PD, expected rating of B (sf)
-- 50% increase in PD, expected rating below B (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating below B (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating below B (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating below B (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating below B (sf)

Lead Analyst: Shalva Beshia, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 14 November 2019

Dublin Bay Securities 2018-MA1 DAC

DBRS Morningstar confirmed its ratings of the Class A1, Class A2A, Class A2B, Class S, Class B, Class C, Class D, Class E, Class F, and Class Z1 notes of Dublin Bay Securities 2018-MA1 DAC at AAA (sf), AAA (sf), AAA (sf), AAA (sf), AA (sf), A (high) (sf), A (sf), BBB (sf), B (high) (sf), and B (low) (sf), respectively. The UR-Neg. status on the Class C, Class D, Class E, Class F, and Class Z1 notes was removed.

The ratings of the Class A1, Class A2A, Class A2B, and Class S notes address the timely payment of interest and ultimate payment of principal by the legal final maturity date in September 2053. The ratings of the Class B to Class Z1 notes address the ultimate payment of interest and principal by the legal final maturity date.

The last rating action on this transaction took place on 24 September 2020, when DBRS Morningstar maintained the UR-Neg. status of the Class C, Class D, Class E, Class F, and Class Z1 notes. DBRS Morningstar initially placed these ratings UR-Neg. on 24 June 2020.
In terms of portfolio performance, as of the September 2020 payment date, loans that were 30 to 60 days in arrears represented 0.8% of the outstanding portfolio balance while loans 60 to 90 days in arrears represented 0.9%. The 90+ delinquencies accounted for 2.0% of the outstanding balance, with cumulative defaults remained at 0.0%. With regards to the coronavirus-related payment moratorium, 2.4% of the portfolio were granted a payment holiday.

-- DBRS Morningstar expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The base case PD and LGD of the current pool of loans for the issuer are 3.9% and 20.3%, respectively.
-- 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 of the Class A1 notes would be expected to be downgraded to AA (sf), ceteris paribus. If the PD increases by 50%, the rating of the Class A1 notes would be expected to be downgraded to AA (sf), ceteris paribus. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A1 notes would be expected to be downgraded to A (high) (sf).

Class A1 Notes Risk Sensitivity
-- 25% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in LGD, expected rating of AA (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 (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)

Class A2 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 (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)

Class S 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 (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)

Class B Notes Risk Sensitivity
-- 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in LGD, expected rating of A (sf)
-- 25% increase in PD, expected rating of A (high) (sf)
-- 50% increase in PD, expected rating of A (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (sf)

Class C Notes Risk Sensitivity
-- 25% increase in LGD, expected rating of A (low) (sf)
-- 50% increase in LGD, expected rating of BBB (low) (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 (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (low) (sf)

Class D Notes Risk Sensitivity
-- 25% increase in LGD, expected rating of BBB (sf)
-- 50% increase in LGD, expected rating of BBB (sf)
-- 25% increase in PD, expected rating of BBB (sf)
-- 50% increase in PD, expected rating of BBB (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (low) (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 E 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 BB (high) (sf)
-- 50% increase in PD, expected rating of BB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BB (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 (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (low) (sf)

Class F Notes Risk Sensitivity
-- 25% increase in LGD, expected rating of B (high) (sf)
-- 50% increase in LGD, expected rating of B (high) (sf)
-- 25% increase in PD, expected rating of B (high) (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 (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of B (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of B (sf)

Class Z1 Notes Risk Sensitivity
-- 25% increase in LGD, expected rating of B (low) (sf)
-- 50% increase in LGD, expected rating of B (low) (sf)
-- 25% increase in PD, expected rating of B (low) (sf)
-- 50% increase in PD, expected rating of B (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of B (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of B (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of B (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of B (low) (sf)

Lead Analyst: Shalva Beshia, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 22 October 2018

European Residential Loan Securitisation 2019-PL1 DAC

DBRS Morningstar confirmed its ratings of the Class A, Class B, Class C, Class D, Class E, and Class F Notes issued by European Residential Loan Securitisation 2019-PL1 DAC at AAA (sf), AA (sf), A (high) (sf), BBB (high) (sf), BBB (low) (sf), and B (high) (sf), respectively. The UR-Neg. status on the Class B, Class C, Class D, Class E and Class F Notes was removed.

The rating of the Class A Notes addresses the timely payment of interest and full payment of principal by the legal final maturity date. The rating of the Class B notes addresses the ultimate payment of interest and principal while junior, and timely payment of interest while the senior-most class outstanding. The ratings of the Class C, Class D, Class E, and Class F Notes address the ultimate payment of interest and principal.

In terms of portfolio performance, as of the November 2020 payment date, loans that were 30 to 60 days in arrears represented 2.5% of the outstanding portfolio balance while loans 60 to 90 days in arrears represented 1.7%. The 90+ delinquencies accounted for 3.1% of the outstanding balance, with cumulative defaults of 0.0%. With regards to payment moratoriums, 1.4% of the portfolio were granted a payment holiday.

The last rating action on this transaction took place on 24 September 2020, when DBRS Morningstar maintained its UR-Neg. status on the Class B, Class C, Class D, Class E, and Class F Notes. DBRS Morningstar initially placed these ratings UR-Neg. on 24 June 2020.
To assess the impact of changing the transaction parameters on the ratings, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the rating (the Base Case):
-- DBRS Morningstar expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The base case PD and LGD of the current pool of loans for the issuer are 30.4% and 32.8%, respectively.
-- 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 of the Class A Notes would be expected to fall to AA (sf), assuming no change in the PD. If the PD increases by 50%, the rating of the Class A Notes would be expected to fall to AA (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to fall to BBB (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 (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 A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (low) (sf)

Class B Notes Risk Sensitivity
-- 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in LGD, expected rating of BBB (high) (sf)
-- 25% increase in PD, expected rating of A (high) (sf)
-- 50% increase in PD, expected rating of BBB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (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 C Notes Risk Sensitivity
-- 25% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in LGD, expected rating of BBB (low) (sf)
-- 25% increase in PD, expected rating of BBB (high) (sf)
-- 50% increase in PD, expected rating of BBB (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BB (high) (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 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 (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BB (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of B (high) (sf)

Class E Notes Risk Sensitivity
-- 25% increase in LGD, expected rating of BB (sf)
-- 50% increase in LGD, expected rating of BB (low) (sf)
-- 25% increase in PD, expected rating of BB (sf)
-- 50% increase in PD, expected rating of BB (low) (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 below B (sf)

Class F Notes Risk Sensitivity
-- 25% increase in LGD, expected rating of B (sf)
-- 50% increase in LGD, expected rating below B (sf)
-- 25% increase in PD, expected rating of B (sf)
-- 50% increase in PD, expected rating below B (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating below B (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating below B (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating below B (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating below B (sf)

Lead Analyst: Shalva Beshia, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 25 September 2019

Mulcair Securities DAC

DBRS Morningstar confirmed its ratings of the Class A and Class E Notes issued by Mulcair Securities DAC at AAA (sf) and BBB (low) (sf), respectively, and downgraded its ratings of the Class B, Class C and Class D Notes to AA (low) (sf), A (low) (sf), and BBB (sf), respectively, from AA (sf), A (high) (sf) and BBB (high) (sf), respectively. The UR-Neg. status on the Class B, Class C, Class D, and Class E Notes was removed.

The rating of the Class A Notes addresses the timely payment of interest and full payment of principal by the legal final maturity date. The rating of the Class B notes addresses the ultimate payment of interest and principal while junior, and timely payment of interest while the senior-most class outstanding. The ratings of the Class C, Class D, and Class E Notes address the ultimate payment of interest and principal.

The last rating action on this transaction took place on 24 September 2020, when DBRS Morningstar maintained its UR-Neg. status on the Class B, Class C, Class D, and Class E Notes. DBRS Morningstar initially placed these ratings UR-Neg. on 24 June 2020.

The lead analyst responsibilities for this transaction have been transferred to Daniel Rakhamimov.
In terms of portfolio performance, as of the October 2020 payment date, loans that were 30 to 60 days in arrears represented 1.7% of the outstanding portfolio balance while loans 60 to 90 days in arrears represented 2.0%. The 90+ delinquencies accounted for 5.0% of the outstanding balance, with cumulative losses of 0.3%. With regards to payment moratoriums, 17.6% of the portfolio were granted a payment holiday.

To assess the impact of changing the transaction parameters on the ratings, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the ratings (the Base Case):
-- DBRS Morningstar expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The base case PD and LGD of the current pool of loans for the issuer are 18.5% and 25.9%, respectively.
-- 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 of the Class A Notes would be expected to fall to AA (high) (sf), assuming no change in the PD. If the PD increases by 50%, the rating of the Class A Notes would be expected to fall to AA (high) (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to fall to A (high) (sf).

Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)

Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in LGD, expected rating of BBB (sf)
-- 25% increase in PD, expected rating of BBB (high) (sf)
-- 50% increase in PD, expected rating of BBB (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BB (high) (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 (high) (sf)

Class C Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of BBB (sf)
-- 50% increase in LGD, expected rating of BBB (low) (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 (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BB (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (low) (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 BB (high) (sf)
-- 50% increase in PD, expected rating of BB (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 (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of B (high) (sf)

Class E Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of BB (high) (sf)
-- 50% increase in LGD, expected rating of BB (sf)
-- 25% increase in PD, expected rating of BB (high) (sf)
-- 50% increase in PD, expected rating of BB (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BB (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BB (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of B (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of B (sf)

Lead Analyst: Daniel Rakhamimov, Senior Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 28 March 2019

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.

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