DBRS Morningstar Discontinues Ratings on Residential Mortgage Securities 31 Plc

DBRS Ratings Limited (DBRS Morningstar) discontinued its ratings on the Class A, Class B, Class C, Class D, Class E, Class F1, and Class X1 Notes (together, the Notes) issued by Residential Mortgage Securities 31 Plc (the Issuer).

The discontinuations reflect the full repayment of the Notes on the 20 September 2021 payment date following the amendment executed on 19 August 2021. For more information, please see: https://www.dbrsmorningstar.com/research/383705/dbrs-morningstar-comments-on-residential-mortgage-securities-31-plc-following-amendment. Prior to their repayment, the ratings and the outstanding principal balance of the Notes were as follows:

-- Class A Notes rated at AAA (sf) with an outstanding principal balance of GBP 166,251,010.31;
-- Class B Notes rated at AA (sf) with an outstanding principal balance of GBP 11,900,000.00;
-- Class C Notes rated at A (sf) with an outstanding principal balance of GBP 13,480,000.00;
-- Class D Notes rated at BBB (high) (sf) with an outstanding principal balance of GBP 12,690,000.00;
-- Class E Notes rated at BB (high) (sf) with an outstanding principal balance of GBP 16,660,000.00;
-- Class F1 Notes rated at CC (sf) with an outstanding principal balance of GBP 8,720,000.00;
-- Class X1 Notes rated at C (sf) with an outstanding principal balance of GBP 931,840.96;

The transaction is a securitisation of seasoned UK non-conforming mortgages, both owner-occupied and buy-to-let. The mortgages were originated by various entities (Southern Pacific Mortgages Limited, Preferred Mortgages Limited, London Mortgage Company, Southern Pacific Personal Loans Limited, Alliance & Leicester, and Amber Homeloans Limited). The portfolio is serviced by Kensington Mortgage Company Limited (KMC).

Please refer to https://www.dbrsmorningstar.com/issuers/23529 for more information.

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 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.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent amendment of 19 August 2021.

In DBRS Morningstar’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.

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 an investor report provided by Citibank N.A., London Branch.

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 this transaction took place on 24 September 2020, when DBRS Morningstar confirmed its ratings on the Class A, Class B, Class C, Class D, Class E, and Class X1 Notes at AAA (sf), AA (sf), A (sf), BBB (high) (sf), BB (high) (sf), and C (sf), respectively, and downgraded its rating on the Class F1 Notes to CC (sf) from B (sf).

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

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

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 Date: 12 November 2018

DBRS Ratings Limited
20 Fenchurch Street, 31st Floor,
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) and European RMBS Insight Model 5.2.0.0,
https://www.dbrsmorningstar.com/research/379557/european-rmbs-insight-methodology.
-- European RMBS Insight: UK Addendum (9 October 2020),
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.
-- Legal Criteria for European Structured Finance Transactions (29 July 2021),
https://www.dbrsmorningstar.com/research/382171/legal-criteria-for-european-structured-finance-transactions.
-- Operational Risk Assessment for European Structured Finance Servicers (16 September 2021), https://www.dbrsmorningstar.com/research/384513/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].