DBRS Morningstar Upgrades and Confirms Ratings on Finsbury Square 2019-1 plc, Finsbury Square 2019-2 plc, Finsbury Square 2019-3 plc, and Finsbury Square 2020-1 plc, Following Methodology Update

DBRS Ratings Limited (DBRS Morningstar) took the following rating actions on the notes issued by Finsbury Square 2019-1 plc, Finsbury Square 2019-2 plc, Finsbury Square 2019-3 plc, and Finsbury Square 2020-1 plc as per below (Finsbury Square 2019-1, Finsbury Square 2019-2, Finsbury Square 2019-3, and Finsbury Square 2020-1, respectively):

Finsbury Square 2019-1:
-- Class A Notes confirmed at AAA (sf)
-- Class B Notes upgraded to AA (high) (sf) from AA (sf)
-- Class C Notes upgraded to AA (sf) from A (low) (sf)
-- Class D Notes upgraded to A (sf) from BBB (sf)
-- Class E Notes upgraded to BBB (sf) from BB (high) (sf)

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

Finsbury Square 2019-2:
-- Class A Notes confirmed at AAA (sf)
-- Class B Notes confirmed at AA (high) (sf)
-- Class C Notes upgraded to AA (high) (sf) from A (high) (sf)
-- Class D Notes upgraded to A (high) (sf) from BBB (high) (sf)
-- Class E Notes upgraded to BBB (sf) from 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.

Finsbury Square 2019-3:
-- Class A Notes confirmed at AAA (sf)
-- Class B Notes confirmed at AA (high) (sf)
-- Class C Notes upgraded to A (high) (sf) from A (sf)
-- Class D Notes confirmed at BBB (high) (sf)
-- Class E Notes confirmed at BBB (low) (sf)
-- Class X Notes confirmed at AA (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.

Finsbury Square 2020-1:
-- Class A Notes confirmed at AAA (sf)
-- Class B Notes confirmed at AA (high) (sf)
-- Class C Notes confirmed at A (high) (sf)
-- Class D Notes confirmed at BBB (high) (sf)
-- Class X Notes upgraded to AA (sf) from 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, and Class D notes address the timely payment of interest once most senior and the ultimate repayment of principal on or before the legal final maturity date on the payment date. The rating on the Class X Notes addresses the ultimate payment of interest and repayment of principal by the legal final maturity date.

Additionally, DBRS Morningstar removed the Under Review with Positive Implications (UR-Pos.) status from the Class B, Class C, Class D, Class E, and Class X notes above.

The rating actions are the result of an entire review of the transactions following the finalisation of DBRS Morningstar’s updated “European RMBS Insight: UK Addendum” methodology (the Methodology) on 27 October 2021. The Methodology presents the criteria under 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-ukaddendum.

Along with the material changes introduced by the Methodology, the rating actions are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults, and losses.
-- Portfolio default rate (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables as of the December 2021 payment date.
-- Current available credit enhancement to the 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
Disease (COVID-19) pandemic.

The 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 (RTB) mortgages, Buy-to-Let (BTL) properties, borrowers with adverse borrower features such as 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 increased between closing and the first payment date as additional loans were purchased during that period. The portfolio has been amortising since in all transactions.

The Finsbury Square 2019-1 transaction closed in March 2019 and its legal final maturity is on the June 2069 payment date, and its first call date is on the March 2022 payment date.

The Finsbury Square 2019-2 transaction closed in August 2019 and its legal final maturity is on the September 2069 payment date, and its first call date is on the September 2022 payment date.

The Finsbury Square 2019-3 transaction closed in October 2019, its legal final maturity date is on the December 2069 payment date, and its first call date is on the March 2023 payment date.

The Finsbury Square 2020-1 transaction closed in February 2020, its legal final maturity date is on the March 2070 payment date, and its first call date is on the payment date in September 2023.

PORTFOLIO PERFORMANCE
The transactions have seen an increasing trend in delinquencies over the 2020 and 2021 years in the context of the coronavirus pandemic. KMC offered principal payment holidays between one and three months from March 2020.

In the case of the Finsbury Square 2019-1 transaction, the 90+ delinquency ratio represented 4.0% of the outstanding portfolio balance as of the December 2021 payment date, up from 2.0%, at the last annual review and total arrears were 11.6% of the outstanding portfolio balance, up from 7.8% at the last annual review.

In the case of the Finsbury Square 2019-2 transaction, the 90+-day delinquency ratio represented 2.8% of the outstanding portfolio balance as of the June 2021 payment date, up from 1.9% at the last annual review, and total arrears represented 4.5% of the outstanding portfolio balance, up from 3.8% at the last annual review.

In the case of the Finsbury Square 2019-3 transaction, the 90+-day delinquency ratio represented 5.5% of the outstanding portfolio balance as of the June 2021 payment date, up from 3.0% at the last annual review, and total arrears represented 7.5% of the outstanding portfolio balance, up from 4.6% at the last annual review.

In the case of the Finsbury Square 2020-1 transaction, the 90+ delinquency ratio represented 2.8% of the outstanding portfolio balance as of the December 2020 payment date, up from 1.4% at the last annual review, and total arrears were 4.2% of the outstanding portfolio balance, up from 3.0% at the last annual review.

As of the December 2021 payment date, all principal payment holidays granted in the context of the coronavirus pandemic had ended.

As of the December 2021 payment date, cumulative net losses were non-existent in the Finsbury Square 2019-1 and Finsbury Square 2020-1 transactions or immaterial in the Finsbury Square 2019-2 and Finsbury Square 2019-3 transactions.

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

In the case of Finsbury Square 2019-1, DBRS Morningstar has decreased its base case PD and LGD assumptions to 9.1% and 15.6%, respectively, from 10.1% and 18.7%, respectively, at the last annual review.

In the case of Finsbury Square 2019-2, DBRS Morningstar increased its base case PD assumption to 8.3% from 6.8% at the last annual review and decreased its LGD assumption to 15.0% from 18.5% at the last annual review.

In the case of Finsbury Square 2019-3, DBRS Morningstar increased its base case PD to 9.7% from 6.9% at the last annual review and decreased its LDG assumption to 15.0% from 19.0% at the last annual review.

In the case of Finsbury Square 2020-1, DBRS Morningstar has increased its base case PD to 7.3% from 6.7% at the last annual review and decreased its LGD assumption to 15.5% from 20.8% at the last annual review.

For all transactions, DBRS Morningstar’s analysis factors the presence of HTB mortgages (7.9%, 10.1%, 6.8%, and 6.3%, for Finsbury Square 2019-1, Finsbury Square 2019-2, Finsbury Square 2019-3 and Finsbury Square 2020-1, respectively) and BTL mortgages (26.1%, 29.6%, 36.8%, and 33.9% or Finsbury Square 2019-1, Finsbury Square 2019-2, Finsbury Square 2019-3 and Finsbury Square 2020-1, respectively) as well as a high proportion of self-employed borrowers (48.1%, 45.8%, 45.2%, and 47.6% for Finsbury Square 2019-1, Finsbury Square 2019-2, Finsbury Square 2019-3 and Finsbury Square 2020-1, respectively). DBRS Morningstar incorporated these adverse features as well as adjustments resulting from the coronavirus pandemic into its analysis for all transactions.

CREDIT ENHANCEMENT
As of the December 2021 payment date, the credit enhancement (CE) increased since the last annual review for all transactions as follows:

Finsbury Square 2019-1
-- CE to the Class A Notes increased to 36.1%, up from 21.8%
-- CE to the Class B Notes increased to 26.1%, up from 15.7%
-- CE to the Class C Notes increased to 17.0%, up from 10.3%
-- CE to the Class D Notes increased to 12.0%, up from 7.3%, and
-- CE to the Class E Notes increased to 10.0%, up from 6.1%

Finsbury Square 2019-2
-- CE to the Class A Notes increased to 31.4% from 20.8%,
-- CE to the Class B Notes increased to 23.1% from 15.3%,
-- CE to the Class C Notes increased to 16.6% from 11.0%,
-- CE to the Class D Notes increased to 11.6% from 7.6%, and
-- CE to the Class E Notes increased to 9.2% from 6.1%.

Finsbury Square 2019-3
-- CE to the Class A Notes increased to 26.5% from 18.0%,
-- CE to the Class B Notes increased to 18.8% from 12.8%,
-- CE to the Class C Notes increased to 12.8% from 8.7%,
-- CE to the Class D Notes increased to 9.4% from 6.4%,
-- CE to the Class E Notes increased to 8.6% from 5.8%, and
-- CE to the Class X Notes remained at 0.0%.

Finsbury Square 2020-1
-- CE to the Class A Notes increased to 17.6%, up from 15.3%
-- CE to the Class B Notes increased to 12.1%, up from 10.6%
-- CE to the Class C Notes increased to 7.9%, up from 6.9%
-- CE to the Class D Notes increased to 6.1%, up from 5.3%, and
-- CE to the Class X Notes remained at 0.0%

In the case of the Finsbury Square 2019-1, Finsbury Square 2019-2, Finsbury Square 2019-3 transactions, the CE for the Class A to Class E notes consists of the subordination of the respective junior notes and a General Reserve Fund (GRF). In the case of the Finsbury Square 2020-1 transaction, the CE for the Class A to Class D notes also consists of the subordination of the respective junior notes and a GRF.

In all transactions, the GRF is nonamortising and is available to cover senior fees, senior swap payments, interest on the Class A to Class F notes (on the Class A to Class E notes in the case of Finsbury Square 2020-1) and principal losses via the principal deficiency ledgers (PDLs) on the Class A to Class F notes (on the Class A to Class E notes in the case of Finsbury Square 2020-1).

As of the December 2021 payment date, all GRFs were at their target level, equal to 2% of the initial Class A to Class F notes (Class A to Class E notes in the case of Finsbury Square 2020-1). Once the Class E Notes (Class D Notes in the case of Finsbury Square 2020-1) are fully redeemed, the target balance of the GRF becomes zero. As of the December 2021 payment date, all PDLs were clear in all transactions.

In all 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 Class A to Class F notes balance (Class A to Class E notes in the case of Finsbury Square 2020-1). In this event, the LRF is funded to 2% of the outstanding Class A and Class B notes balance and is replenished at each payment date, in both transactions.

All transactions are exposed to interest rate risk as a portion of the portfolio, pays a fixed rate of interest on a short-term basis and a floating rate of interest indexed to the Kensington Standard Rate or the three-month Term Sonia Reference Rate or a synthetic Libor, while the rated notes are indexed to Sonia or three-month GBP Libor in the case of the Finsbury Square 2019-1 transaction. In addition for the latter, the index on the notes will switch to Sonia at the next payment date in March 2022. For further details on the index on the portfolio and the switch of index on the notes for Finsbury Square 2019-1, please see: https://www.dbrsmorningstar.com/research/380111/dbrs-morningstar-comments-on-finsbury-square-2019-1-plc-following-amendment and https://www.dbrsmorningstar.com/research/384689/dbrs-morningstar-comments-on-finsbury-square-2019-2-plc-finsbury-square-2019-3-plc-finsbury-square-2020-1-plc-gemgarto-2018-1-plc-and-gemgarto-2021-1-plc-following-amendment.

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 Class F notes original balance in the case of Finsbury Square 2019-1 (Class A to Class E notes original balance in the case of Finsbury Square 2020-1). As of the December 2020 payment date, Product Switch loans represented 1.3%, 0.7%, 2.1% and 0.5% for Finsbury Square 2019-1, Finsbury Square 2019-2, Finsbury Square 2019-3 and Finsbury Square 2020-1, respectively.

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

BNP Paribas London Branch (BNP Paribas London) acts as the swap counterparty for all the transactions. DBRS Morningstar's private rating of BNP Paribas London Branch is consistent with the First Rating Threshold as described in DBRS Morningstar's "Derivative Criteria for European Structured Finance Transactions" methodology.

DBRS Morningstar analysed the transaction structures in Intex DealMaker.

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.

For these transactions, DBRS Morningstar incorporated an increase in probability of default for self-employed borrowers.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. These scenarios were last updated on 9 December 2021. DBRS Morningstar analysis considered impacts consistent with the baseline scenario in the below referenced report. For details, see the following commentaries: https://www.dbrsmorningstar.com/research/389454/baseline-macroeconomic-scenarios-for-ratedsovereigns-december-2021-update 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-mortgageperformance-one-year-on and https://www.dbrsmorningstar.com/research/360599/european-rmbs-transactions-riskexposure-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: “Master European Structured Finance Surveillance Methodology” (8 February 2021) and the “European RMBS Insight: UK Addendum” (27 October 2021).

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.

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

A review of the transactions’ legal documents was not conducted as the legal documents have remained unchanged since the most recent rating action.

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 loan-level data and investor reports provided by Citibank London in the case of Finsbury Square 2019-1 and by Deutsche Bank AG in the case of Finsbury Square 2019-2, Finsbury Square 2019-3, and Finsbury Square 2020-1.

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

For all transactions, 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 these transactions took place on 3 November 2021, when the Class B, Class C, Class D, Class E and Class X notes were placed UR-Pos. following the finalisation of the Methodology on 27 October 2021.

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

To assess the impact of changing the transactions’ 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 receivables are 9.1% and 15.6%, respectively, for Finsbury Square 2019-1.
-- The base case PD and LGD of the current pool of receivables are 8.3% and 15.0%, respectively, for Finsbury Square 2019-2.
-- The base case PD and LGD of the current pool of receivables are 9.7% and 15.0%, respectively, for Finsbury Square 2019-3.
-- The base case PD and LGD of the current pool of receivables are 7.3% and 15.5%, respectively, for Finsbury Square 2020-1.
-- 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 2019-1, 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 remain at AAA (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 (high) (sf).

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 remain at 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 (high) (sf).

In the case of Finsbury Square 2019-3, 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 remain at 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).

In the case of Finsbury Square 2020-1, 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 (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).

Finsbury Square 2019-1:
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 AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (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 (high) (sf)
-- 25% increase in PD, expected rating of AA (high) (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 C Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (low) (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 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 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 (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 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 (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (sf)

Finsbury Square 2019-2:
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 AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (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 (high) (sf)
-- 25% increase in PD, expected rating of AA (high) (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 (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)

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

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

Finsbury Square 2019-3:
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 (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 AA (high) (sf)
-- 50% increase in LGD, expected rating of AA (low) (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 A (low) (sf)

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

Finsbury Square 2020-1:
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 (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 A (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 (low) (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 (low) (sf)
-- 50% increase in LGD, expected rating of BB (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 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 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: https://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, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Dates:
Finsbury Square 2019-1: 4 March 2019
Finsbury Square 2019-2: 8 July 2019
Finsbury Square 2019-3: 27 September 2019
Finsbury Square 2020-1: 24 January 2020

DBRS Ratings Limited
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London EC3M 3BY United Kingdom
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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.

-- 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 v5.4.1.0, https://www.dbrsmorningstar.com/research/379557/european-rmbs-insight-methodology.
-- European RMBS Insight: UK Addendum (27 October 2021), https://www.dbrsmorningstar.com/research/386599/european-rmbs-insight-uk-addendum.
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2021),
https://www.dbrsmorningstar.com/research/384920/interest-rate-stresses-for-european-structured-financetransactions.
-- Derivative Criteria for European Structured Finance Transactions (20 September 2021),
https://www.dbrsmorningstar.com/research/384624/derivative-criteria-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-financeservicers.
-- 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-toenvironmental-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: https://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].