DBRS Morningstar Takes Rating Actions on Together Asset Backed Securitisation 2021-CRE1 Plc and Together Asset Backed Securitisation 2021-CRE2 Plc

DBRS Ratings Limited (DBRS Morningstar) confirmed its ratings on the notes issued by Together Asset Backed Securitisation 2021-CRE1 Plc (TABS 2021-CRE1), as follows:

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

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 of the Class B, Class C, Class D, and Class E notes address the timely payment of interest while the senior-most class outstanding otherwise ultimate payment of interest and principal on or before the legal final maturity date.

DBRS Morningstar also discontinued its rating on the Class X Notes, following their repayment in full at the January 2022 payment date. Prior to their redemption, the outstanding principal balance of the Class X Notes stood at GBP 177,294.81 and they were rated BB (sf).

DBRS Morningstar also took the following rating actions on the notes issued by Together Asset Backed Securitisation 2021-CRE2 Plc (TABS 2021-CRE2), as follows:

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

The rating on the Class A Loan Note 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 principal on or before the legal final maturity date.

The rating actions in both transactions are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults, and losses as of the February 2022 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.
-- Current economic environment and an assessment of sustainable performance, as a result of the Coronavirus Disease (COVID-19) pandemic.

TABS 2021-CRE1 and TABS 2021-CRE2 are securitisations of first- and second-lien mortgage loans, both owner-occupied and non-owner-occupied, backed by commercial, mixed-use, and residential properties located in the United Kingdom. The mortgages are originated and serviced by Together Commercial Finance Limited (TCFL). BCM Global Mortgage Services Limited (formerly Link Mortgages Services Limited) acts as the standby servicer for both transactions. The portfolios include adverse borrower features, such as borrowers with prior county court judgments and a high concentration of self-employed borrowers. The loans in the portfolios are also subject to cross-default and cross-collateralisation,

TABS 2021-CRE1 and TABS 2021-CRE2 are the first public securitisations backed by small balance commercial mortgage loans originated by TCFL. The first call dates are on the February 2025 and February 2026 payment dates, respectively, and coincide with a step-up in the coupon. The legal final maturity dates are on the January 2055 and August 2052 payment dates, respectively.

PORTFOLIO PERFORMANCE
Delinquencies have been low in both transactions since closing.

In the case of the TABS 2021-CRE1 transaction, two-to-three months delinquencies and 90+ day delinquencies were marginal at 0.0% (0.04% and 0.03%, respectively), as of the February 2022 payment date.

In the case of the TABS 2021-CRE2 transaction, two-to-three months delinquencies and 90+ day delinquencies were at 0.1%, as of the February 2022 payment date.

As of the February 2022 payment date, there were no cumulative repossessions and cumulative principal losses were zero for both transactions.

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

In the case of TABS 2021-CRE1, DBRS Morningstar has updated its base case PD and LGD assumptions to 11.2% and 9.1%, respectively, from 9.9% and 20.1%, respectively, at closing.

In the case of TABS 2021-CRE2, DBRS Morningstar updated its base case PD and LGD assumptions to 10.2% and 12.6%, respectively, from 9.5% and 16.7%, respectively, at closing.

In both transactions, the variations in the PD and LGD assumptions result from the update of the European RMBS Insight: UK Addendum (27 October 2021). 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.

CREDIT ENHANCEMENT
As of the February 2022 payment date, the credit enhancement (CE) evolved since closing as follows:

TABS 2021-CRE1
-- CE to the Class A Notes increased to 24.1%, from 22.3%
-- CE to the Class B Notes increased to 17.9%, from 16.8%
-- CE to the Class C Notes increased to 13.0%, from 12.5%
-- CE to the Class D Notes stable at 8.6%, and
-- CE to the Class E Notes decreased to 4.5%, from 5.1%

TABS 2021-CRE2
-- CE to the Class A Loan Notes increased to 22.6% from 21.1%,
-- CE to the Class B Notes increased to 16.7% from 15.6%,
-- CE to the Class C Notes increased to 12.2% from 11.3%,
-- CE to the Class D Notes increased to 8.0% from 7.4%,
-- CE to the Class E Notes increased to 4.2% from 3.8%, and
-- CE to the Class X Notes remained at 0.0%.

The CE for the Class A to Class E notes in both transactions consists of the subordination of the respective junior notes and a General Reserve Fund (GRF).

Both transactions benefits from a GRF, which is available to cover senior fees and interest on the Class A to Class E notes and principal losses via the principal deficiency ledgers (PDLs) on the Class A to Class Z notes.

As of the February 2022 payment date, both GRFs were at their target level, equal to 2% of the portfolio outstanding balance at closing minus the Class A Liquidity Reserve Fund (Class A LRF). As of the February 2022 payment date, all PDLs were clear in both transactions.

The Class A notes in both transactions benefit from a dedicated liquidity reserve, the Class A LRF, which covers the payment of senior fees and interest shortfalls on the Class A notes. The Class A LRF is amortising with a target amount set at 1.5% of the Class A outstanding balance and floored at 1% of the Class A balance at closing. Any excess amounts become part of the available revenue receipts. As of the February 2022 payment date, the Class A LRF was at its target balance in both transactions.

Elavon Financial Services DAC, UK Branch (Elavon UK) acts as the account bank for both transactions. Based on the DBRS Morningstar private rating of Elavon UK, 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 in both transactions, as described in DBRS Morningstar's "Legal 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 had caused an economic contraction, leading in some cases to increases in unemployment rates and income reductions for 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-rated-sovereigns-december-2021-update and https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

On 14 March 2022, 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. For more details, please see: https://www.dbrsmorningstar.com/research/393639/emerging-from-the-covid-19-pandemic-update-on-european-mortgage-performance 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 methodology applicable to the ratings is: “Master European Structured Finance Surveillance Methodology” (8 February 2022).

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 methodology consistently and conducted a review of the transactions in accordance with the principal methodology.

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 US Bank Trustees Limited and property-level data provided by TCFL.

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

For both transactions, at the time of the initial rating, DBRS Morningstar was not 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 TABS 2021-CRE1 took place on 15 March 2021, when DBRS Morningstar finalised its provisional ratings. The last rating action on TABS 2021-CRE2 took place on 11 June 2021, when DBRS Morningstar finalised its provisional ratings.

The lead analyst responsibilities for these transactions have been transferred to Natalia Coman.

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 11.2% and 9.1%, respectively, for TABS 2021-CRE1.
-- The base case PD and LGD of the current pool of receivables are 10.2% and 12.6%, respectively, for TABS 2021-CRE2.
-- 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 TABS 2021-CRE1, 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 A (high) (sf).

In the case of TABS 2021-CRE2, for example, if the LGD increases by 50%, the rating of the Class A Loan 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 Loan 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 Loan Notes would be expected to fall to A (sf).

TABS 2021-CRE1:
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 A (high) (sf)

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

TABS 2021-CRE2:
Class A Loan 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 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 A (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 (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 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 (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 BBB (high) (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 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 (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 D Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of BBB (low) (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 (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 B (sf)
-- 50% increase in LGD, expected rating of B (sf)
-- 25% increase in PD, expected rating of B (sf)
-- 50% increase in PD, expected rating of B (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of B (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 of B (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)

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, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Dates:
TABS 2021-CRE1: 22 February 2021
TABS 2021-CRE2: 2 June 2021

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 these transactions can be found at: http://www.dbrsmorningstar.com/about/methodologies.

--Master European Structured Finance Surveillance Methodology (8 February 2022),
https://www.dbrsmorningstar.com/research/392000/master-european-structured-finance-surveillance-methodology
--European RMBS Insight Methodology (3 June 2021) and European RMBS Insight Model v5.4.3.0,
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-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].