DBRS Morningstar Confirms Ratings on Finsbury Square 2019-2 plc and Confirms and Upgrades Ratings on Finsbury Square 2019-3 plc

DBRS Ratings Limited (DBRS Morningstar) confirmed its ratings on the notes issued by Finsbury Square 2019-2 plc (Finsbury Square 2019-2) as follows:

-- Class A Notes at AAA (sf)
-- Class B Notes at AA (high) (sf)
-- Class C Notes at A (high) (sf)
-- Class D Notes at BBB (high) (sf)
-- Class E Notes at BB (high) (sf)

The rating on the Class A Notes addresses the timely payment of interest and the ultimate repayment 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 timely payment of interest once most senior and the ultimate repayment of principal on or before the legal final maturity date.

DBRS Morningstar also took the following rating actions on the notes issued by Finsbury Square 2019-3 plc (Finsbury Square 2019-3):

-- Class A Notes confirmed at AAA (sf)
-- Class B Notes confirmed at AA (high) (sf)
-- Class C Notes confirmed at A (sf)
-- Class D Notes confirmed at BBB (high) (sf)
-- Class E Notes confirmed at BBB (low) (sf)
-- Class X Notes upgraded to AA (sf) from B (low) (sf)

The rating on the Class A Notes addresses the timely payment of interest and the ultimate repayment 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 timely payment of interest once most senior and the ultimate repayment of principal on or before the legal final maturity date. The rating on the Class X Notes addresses the ultimate payment of interest and repayment of principal on or before legal final maturity date.

The rating actions follow an annual review of the transactions and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the June 2021 payment date;
-- Portfolio default rate (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables;
-- Current available credit enhancement to the notes to cover the expected losses at their respective rating levels; and
-- Current economic environment and an assessment of sustainable performance, as a result of the Coronavirus Disease (COVID-19) pandemic.

Both transactions are securitisations collateralised by a portfolio of residential mortgage loans granted by Kensington Mortgage Company Limited (KMC) in England, Wales, and Scotland. Notable features of the portfolio are Help-to-Buy (HTB), Right-to-Buy mortgages, Buy-to-Let (BTL) properties, borrowers with adverse borrower features including self-employed borrowers, and borrowers with prior county court judgments and the presence of arrears at closing, albeit in limited proportions. The outstanding portfolio balance for Finsbury Square 2019-2 increased to GBP 462,978,209 from GBP 323,877,550 and between closing and the first payment date falling in December 2019 as additional loans were purchased during that period. The outstanding portfolio balance for Finsbury Square 2019-3 increased to GBP 413,484,908 from GBP 295,769,457 between closing and the first payment date falling in March 2020 as additional loans were purchased during that period. The portfolios have been amortising since then for both transactions.

The Finsbury Square 2019-2 and Finsbury Square 2019-3 legal final maturity dates are on the payment dates in September 2069 and December 2069, respectively, with a first call date on the payment date in September 2022 and in March 2023, respectively. This coincides with a step-up in the margin on the rated notes in both transactions.

PORTFOLIO PERFORMANCE
Both transactions saw an increasing trend in delinquencies over 2020 in the context of the coronavirus pandemic. KMC offered principal payment holidays between one and three months from March 2020 onward.

For Finsbury Square 2019-2, the 90+-day delinquency ratio represented 1.9% of the outstanding portfolio balance as of the June 2021 payment date, up from 0.6% at the last annual review, and total arrears represented 3.8% of the outstanding portfolio balance, up from 1.8% at the last annual review. As of the June 2021 payment date, loans granted principal payment holidays for three months in the context of the coronavirus pandemic represented 1.3% of the outstanding portfolio balance compared with 33.5% at the end of May 2020.

For Finsbury Square 2019-3, the 90+-day delinquency ratio represented 3.0% of the outstanding portfolio balance as of the June 2021 payment date, up from 2.0% at the last annual review, and total arrears represented 4.6% of the outstanding portfolio balance, up from 2.6% at the last annual review. As of the June 2021 payment date, loans granted principal payment holidays for three months in the context of the coronavirus pandemic represented 2.2% of the outstanding portfolio balance compared with 34.7% at the end of May 2020.

As of the June 2021 payment date, cumulative net losses were immaterial in both transactions.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables.

For Finsbury Square 2019-2, DBRS Morningstar increased its base case PD assumption to 6.8% from 5.1% at the last annual review and decreased its LGD assumption to 18.5% from 19.6% at the last annual review.

For Finsbury Square 2019-3, DBRS Morningstar increased its base case PD to 6.9% from 5.8% at the last annual review and decreased its LDG assumption to 19.0% from 19.7% at the last annual review.

In both transactions, the increase in the base case PD assumption reflects the increase in arrears and the switch from a fixed to floating interest rate for short-term fixed-rate loans since the last annual review. In both transactions, the decrease in the base case LGD assumption reflects the removal of the recovery haircut as part of the coronavirus-related adjustments.

For both transactions, DBRS Morningstar’s analysis factors the presence of HTB mortgages (9.8% and 6.5% of the outstanding portfolio balance for Finsbury Square 2019-2 and Finsbury Square 2019-3, respectively) and BTL mortgages (26.6% and 33.5% of the outstanding portfolio balance for Finsbury Square 2019-2 and Finsbury Square 2019-3, respectively) as well as a high proportion of self-employed borrowers (43.4% and 48.5% of the outstanding portfolio balance for Finsbury Square 2019-2 and Finsbury Square 2019-3, respectively). DBRS Morningstar incorporated these adverse features as well as adjustments related to the coronavirus pandemic into its analysis for both transactions.

CREDIT ENHANCEMENT
In both transactions, the credit enhancement (CE) for the Class A to E Notes consists of the subordination of the respective junior notes and a General Reserve Fund (GRF).

As of the June 2021 payment date, the CE for Finsbury Square 2019-2 increased since the last annual review as follows:
-- CE to the Class A Notes increased to 20.8% from 17.8%,
-- CE to the Class B Notes increased to 15.3% from 13.1%,
-- CE to the Class C Notes increased to 11.0% from 9.4%,
-- CE to the Class D Notes increased to 7.6% from 6.6%, and
-- CE to the Class E Notes increased to 6.1% from 5.3%.

As of the June 2021 payment date, the CE for Finsbury Square 2019-3 increased since the DBRS Morningstar initial ratings as follows:
-- CE to the Class A Notes increased to 18.0% from 16.4%,
-- CE to the Class B Notes increased to 12.8% from 11.6%,
-- CE to the Class C Notes increased to 8.7% from 7.9%,
-- CE to the Class D Notes increased to 6.4% from 5.8%,
-- CE to the Class E Notes increased to 5.8% from 5.3%, and
-- CE to the Class X Notes remained at 0.0%.

In Finsbury Square 2019-3, the Class X Notes are repaid via excess spread in the interest priority of payments and, as of the June 2021 payment date, stood at GBP 3,781,098. The rating upgrade on the Class X Notes reflects its rapid payment since a year ago.

In both transactions, the GRF is nonamortising and is available to cover senior fees, senior swap payments, interest on the Class A to E Notes, and principal losses via the principal deficiency ledgers (PDLs) on the Class A to F Notes.

The GRF was funded at GBP 9,997,500 and GBP 9,137,500 at closing for Finsbury Square 2019-2 and Finsbury Square 2019-3, respectively, and reduced to GBP 9,300,000 and GBP 8,500,000 at the first payment date for Finsbury Square 2019-2 and Finsbury Square 2019-3, respectively. As of the June 2021 payment date, both GRFs were at their target level of GBP 9,300,000 and GBP 8,500,000 for Finsbury Square 2019-2 and Finsbury Square 2019-3, respectively, equal to 2% of the initial Class A to F Notes in both transactions. Once the Class E Notes in Finsbury Square 2019-3 are fully redeemed, the target balance of the GRF becomes zero. As of the June 2021 payment date, all PDLs were clear in both transactions.

In both transactions, a Liquidity Reserve Fund (LRF) provides additional liquidity support to cover senior fees, senior swap payments, and interest on the Class A and Class B Notes. The LRF is funded through available principal funds if the GRF balance falls below 1.5% of the outstanding balance of the Class A to F Notes in both transactions. In this event, the LRF is funded to 2% of the outstanding Class A and Class B Notes’ balances and is replenished at each payment date in both transactions.

Both transactions are exposed to interest rate risk as 91.7% and 90.8% of the outstanding portfolio balance for Finsbury Square 2019-2 and Finsbury Square 2019-3, respectively, pays a fixed rate of interest on a short-term basis and a floating rate of interest indexed to three-month GBP Libor afterward. The rated notes are indexed to Sonia in both transactions.

In addition, loans can be subject to a variation in the length of the fixed-rate period, the applicable interest rate, and maturity date through a product switch up to 20% of the Class A to F Notes’ original balance in both transactions.
As of the June 2021 payment date, product switch loans represented 0.1% and 0.4% of the outstanding portfolio for Finsbury Square 2019-2 and Finsbury Square 2019-3, respectively.

Citibank N.A./London Branch (Citibank London) acts as the account bank for the transaction. Based on DBRS Morningstar’s private rating on Citibank London, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS Morningstar considers the risk arising from the exposure to the account bank to be consistent with the rating assigned to the Class A Notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.

BNP Paribas London Branch acts as the swap counterparty for the transaction. DBRS Morningstar's private rating on BNP Paribas London Branch is above the First Rating Threshold as described in DBRS Morningstar's "Derivative Criteria for European Structured Finance Transactions" methodology.

DBRS Morningstar analysed the transaction structure in Intex DealMaker.

The Coronavirus Disease (COVID-19) and the resulting isolation measures have caused an economic contraction, leading in some cases to increases in unemployment rates and income reductions for borrowers. DBRS Morningstar anticipates that delinquencies may continue to increase in the coming months for many structured finance transactions, some meaningfully. The ratings are based on additional analysis and, where appropriate, adjustments to expected performance as a result of the global efforts to contain the spread of the coronavirus.

In both transactions, DBRS Morningstar incorporated an increase the expected default rate for self-employed borrowers.

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 18 June 2021. For details, see the following commentaries: https://www.dbrsmorningstar.com/research/380281/global-macroeconomic-scenarios-june-2021-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.

On 14 June 2021, DBRS Morningstar updated its 5 May 2020 commentary outlining the impact of the coronavirus crisis on performance of DBRS Morningstar-rated RMBS transactions in Europe one year on. For more details, please see: https://www.dbrsmorningstar.com/research/380094/the-impact-of-covid-19-on-european-mortgage-performance-one-year-on and https://www.dbrsmorningstar.com/research/360599/european-rmbs-transactions-risk-exposure-to-coronavirus-covid-19-effect.

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.

The principal methodology applicable to the ratings is “Master European Structured Finance Surveillance Methodology” (8 February 2021).

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.

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

An asset and a cash flow analysis were both conducted. Due to the inclusion of a revolving period in the transaction, the analysis continues to consider potential portfolio migration based on replenishment criteria set forth in the transaction legal documents.

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

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/381451/global-methodology-for-rating-sovereign-governments.

The sources of data and information used for these ratings include investor reports and loan-level data provided by Deutsche Bank AG, London Branch as well as additional information provided by KMC.

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

At the time of the initial ratings for both transactions, 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 Finsbury Square 2019-2 took place on 7 August 2020, when DBRS Morningstar confirmed its ratings on the Class A, Class B, Class C, Class D, and Class E Notes at AAA (sf), AA (high) (sf), A (high) (sf), BBB (high) (sf), and BB (high) (sf), respectively, and upgraded its rating on the Class X to BB (sf) from B (high) (sf). On 29 June 2021, DBRS Morningstar discontinued its ratings on the Class X Notes due to full repayment.

The last rating action on Finsbury Square 2019-3 took place on 28 October 2020, when DBRS Morningstar confirmed its ratings on the Class A, Class B, Class C, Class D, Class E, and Class X Notes at AAA (sf), AA (high) (sf), A (sf), BBB (high) (sf), BBB (low) (sf), and B (low) (sf), respectively.

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

To assess the impact of changing the transaction parameters on the ratings, DBRS Morningstar considered the following stress scenarios, as compared to 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 receivables are 6.8% and 18.5%, respectively for Finsbury Square 2019-2.
-- The base case PD and LGD of the current pool of receivables are 6.9% and 19.0%, respectively for Finsbury Square 2019-3.
-- The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. In the case of Finsbury Square 2019-2, for example, if the LGD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (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 AA (low) (sf).

For Finsbury Square 2019-3, 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).

For the Finsbury Square 2019-2 transaction:
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 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 AA (low) (sf)

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

For the Finsbury Square 2019-3 transaction:
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 (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 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 (low) (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 (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 (low) (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 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 (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (sf)

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

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

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.

Lead Analyst: Natalia Coman, Senior Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Dates:
Finsbury Square 2019-2: 8 July 2019
Finsbury Square 2019-3: 27 September 2019

DBRS Ratings Limited
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London EC3M 3BY United Kingdom
Tel. +44 (0) 20 7855 6600
Registered and incorporated under the laws of England and Wales: Company No. 7139960

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

-- Master European Structured Finance Surveillance Methodology (8 February 2021), https://www.dbrsmorningstar.com/research/373435/master-european-structured-finance-surveillance-methodology.
-- European RMBS Insight Methodology (3 June 2021), https://www.dbrsmorningstar.com/research/379557/european-rmbs-insight-methodology.
-- European RMBS Insight: UK Addendum (9 October 2020) and European RMBS Insight Model v.5.2.0.0, https://www.dbrsmorningstar.com/research/368132/european-rmbs-insight-uk-addendum.
-- Interest Rate Stresses for European Structured Finance Transactions (28 September 2020), https://www.dbrsmorningstar.com/research/367292/interest-rate-stresses-for-european-structured-finance-transactions.
-- Derivative Criteria for European Structured Finance Transactions (24 September 2020), https://www.dbrsmorningstar.com/research/367092/derivative-criteria-for-european-structured-finance-transactions.
-- Legal Criteria for European Structured Finance Transactions (6 April 2021), https://www.dbrsmorningstar.com/research/376314/legal-criteria-for-european-structured-finance-transactions.
-- Operational Risk Assessment for European Structured Finance Servicers (19 November 2020), https://www.dbrsmorningstar.com/research/370270/operational-risk-assessment-for-european-structured-finance-servicers.
-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (3 February 2021), https://www.dbrsmorningstar.com/research/373262/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

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 [email protected].