Press Release

DBRS Morningstar Places Ratings of Six UK RMBS Transactions Under Review with Positive Implications, Following Update to European RMBS Insight: UK Addendum Methodology

RMBS

November 03, 2021

DBRS Ratings Limited (DBRS Morningstar) placed the following ratings of six UK residential mortgage-backed security (RMBS) transactions Under Review with Positive Implications:

Towd Point Mortgage Funding 2019-Vantage2 Plc:
-- Class B notes rated AA (low) (sf)
-- Class C notes rated A (low) (sf)
-- Class D notes rated BBB (sf)
-- Class E notes rated BB (sf)
-- Class F notes rated B (sf)

The rating on the Class B notes issued by Towd Point Mortgage Funding 2019-Vantage2 Plc addresses the ultimate payment of interest and principal as well as the timely payment of interest while the senior-most class outstanding. The ratings on the Class C, Class D, Class E, and Class F notes address the ultimate payment of interest and principal on or before the legal final maturity date.

Towd Point Mortgage Funding 2019-Granite5 Plc:
-- Class B notes rated AA (sf)
-- Class C notes rated A (low) (sf)
-- Class D notes rated BBB (sf)
-- Class E notes rated BB (high) (sf)
-- Class F notes rated B (sf)

The rating on the Class B notes issued by Towd Point Mortgage Funding 2019-Granite5 Plc addresses the ultimate payment of interest and principal as well as the timely payment of interest while the senior-most class outstanding. The ratings on the Class C, Class D, Class E, and Class F notes address the ultimate payment of interest and principal on or before the legal final maturity date.

Finsbury Square 2019-1 plc:
-- Class B Notes rated AA (sf)
-- Class C Notes rated A (low) (sf)
-- Class D Notes rated BBB (sf)
-- Class E Notes rated BB (high) (sf)

The ratings on the Class B, Class C, Class D, and Class E Notes issued by Finsbury Square 2019-1 plc address the timely payment of interest and principal on or before the legal final maturity date.

Finsbury Square 2019-2 plc:
-- Class B notes rated AA (high) (sf)
-- Class C notes rated A (high) (sf)
-- Class D notes rated BBB (high) (sf)
-- Class E notes rated BB (high) (sf)

The ratings on the Class B, Class C, Class D, and Class E notes issued by Finsbury Square 2019-2 plc address the ultimate payment of interest and principal as well as the timely payment of interest while the senior-most class outstanding.

Finsbury Square 2019-3 plc:
-- Class B Notes rated AA (high) (sf)
-- Class C Notes rated A (sf)
-- Class D Notes rated BBB (high) (sf)
-- Class E Notes rated BBB (low) (sf)
-- Class X Notes rated AA (sf)

The ratings on the Class B, Class C, Class D, and Class E Notes issued by Finsbury Square 2019-3 plc address the ultimate payment of interest and principal as well as the timely payment of interest while the senior-most class outstanding. The rating on the Class X Notes addresses the ultimate payment of interest and principal on or before the legal final maturity date.

Finsbury Square 2020-1 plc:
-- Class B Notes rated AA (high) (sf)
-- Class C Notes rated A (high) (sf)
-- Class D Notes rated BBB (high) (sf)
-- Class X Notes rated BB (high) (sf)

The ratings on the Class B, Class C, and Class D Notes issued by Finsbury Square 2020-1 plc address the ultimate payment of interest and principal as well as the timely payment of interest while the senior-most class outstanding. The rating on the Class X Notes addresses the ultimate payment of interest and principal on or before the legal final maturity date.

DBRS Morningstar also rates the Class A notes issued in each transaction at AAA (sf), but did not place these classes Under Review with Positive Implications.

KEY RATING DRIVERS AND CONSIDERATIONS
On 27 October 2021, DBRS Morningstar finalised its updated “European RMBS Insight: UK Addendum” (the Methodology), superseding the prior version published on 9 October 2020. The Methodology presents the criteria for which UK RMBS ratings and, where relevant, UK covered bonds ratings, are assigned and/or monitored.

The changes to the Methodology include revisions to the loan scoring approach, delinquency migration matrices, and loss given default floors, as well as updates to house price indexation and market value decline rates through the first quarter of 2020. For more details, see the following press release:
https://www.dbrsmorningstar.com/research/386600/dbrs-morningstar-publishes-final-european-rmbs-insight-uk-addendum.

As a consequence, DBRS Morningstar placed the aforementioned tranches Under Review with Positive Implications as DBRS Morningstar considers these classes to be more affected by the changes to the Methodology.

These ratings are Under Review. Generally, the conditions that lead to the assignment of ratings Under Review are resolved within a 90-day period. Further information on potential rating sensitivity as a result of this methodological change will be available when DBRS Morningstar resolves the Under Review status on the affected classes.

The Coronavirus Disease (COVID-19) and the resulting isolation measures have caused an immediate economic contraction, leading in some cases to 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 structured finance transactions. The ratings are based on additional analysis to expected performance as a result of the global efforts to contain the spread of the coronavirus.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. These scenarios were last updated on 8 September 2021. DBRS Morningstar’s analysis considered impacts consistent with the baseline scenario in the below referenced report. For details, see the following commentaries:
https://www.dbrsmorningstar.com/research/384150/baseline-macroeconomic-scenarios-for-rated-sovereigns and https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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.

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 methodologies applicable to the ratings are the “Master European Structured Finance Surveillance Methodology” (8 February 2021) and the “European RMBS Insight: UK Addendum” (27 October 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 is undertaking a review and will remove the ratings from this status as soon as it is appropriate.

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 DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The sources of data and information used for these ratings include investor reports and loan-level data provided by the cash manager, trustee, and/or servicer in each transaction.

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.

Towd Point Mortgage Funding 2019-Vantage2 Plc:
The last rating action on this transaction took place on 17 November 2020, when DBRS Morningstar confirmed the ratings on Classes A to F at their current rating levels.

The lead analyst responsibilities for this transaction have been transferred to Andrew Lynch.

Towd Point Mortgage Funding 2019-Granite5 Plc:
The last rating action on this transaction took place on 18 November 2020, when DBRS Morningstar confirmed the ratings on Classes A to F at their current rating levels.

The lead analyst responsibilities for this transaction have been transferred to Andrew Lynch.

Finsbury Square 2019-1 plc:
The last rating action on this transaction took place on 12 February 2021, when DBRS Morningstar confirmed the ratings on the Class A to E Notes at their current rating levels.

Finsbury Square 2019-2 plc:
The last rating action on this transaction took place on 29 July 2021, when DBRS Morningstar confirmed the ratings on the Class A to E notes at their current rating levels.

Finsbury Square 2019-3 plc:
The last rating action on this transaction took place on 29 July 2021, when DBRS Morningstar confirmed the ratings on the Class A to E Notes at their current rating levels and upgraded the rating on the Class X Notes to AA (sf) from B (low) (sf).

Finsbury Square 2020-1 plc:
The last rating action on this transaction took place on 12 February 2021, when DBRS Morningstar confirmed the ratings on the Class A to X Notes at their current rating levels.

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

The ratings are Under Review. Generally, the conditions that lead to the assignment of reviews are resolved within a 90-day period. 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.

Towd Point Mortgage Funding 2019-Vantage2 Plc:
Lead Analyst: Andrew Lynch, Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 5 November 2019

Towd Point Mortgage Funding 2019-Granite5 Plc:
Lead Analyst: Andrew Lynch, Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 13 November 2019

Finsbury Square 2019-1 plc:
Lead Analyst: Natalia Coman, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 4 March 2019

Finsbury Square 2019-2 plc:
Lead Analyst: Natalia Coman, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 8 July 2019

Finsbury Square 2019-3 plc:
Lead Analyst: Natalia Coman, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 27 September 2019

Finsbury Square 2020-1 plc:
Lead Analyst: Natalia Coman, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 24 January 2020

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 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 this credit or on this industry, visit www.dbrsmorningstar.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.

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