Press Release

DBRS Morningstar Discontinues Ratings on Marketplace Originated Consumer Assets 2019-1 PLC

Consumer Loans & Credit Cards

June 22, 2022

DBRS Ratings Limited (DBRS Morningstar) discontinued its ratings on the Class A1, Class A2, Class B, Class C, Class D, Class E, and Class F notes (together, the Rated Notes) issued by Marketplace Originated Consumer Assets 2019-1 PLC.

The discontinuation reflects the full repayment of the notes at the 20 June 2022 payment date, following the exercise of the Portfolio Purchase Option by the Issuer. Prior to their repayment, the ratings and the outstanding principal balance of the Rated Notes were as follows:

-- Class A1 Notes rated at AAA (sf) with an outstanding principal balance of GBP 2,147,616.37
-- Class A2 Notes rated at AAA (sf) with an outstanding principal balance of GBP 942,763.99
-- Class B Notes rated at AA (high) (sf) with an outstanding principal balance of GBP 11,836,220.35
-- Class C Notes rated at AA (high) (sf) with an outstanding principal balance of GBP 8,877,165.27
-- Class D Notes rated at AA (sf) with an outstanding principal balance of GBP 6,500,219.35
-- Class E Notes rated at A (high) (sf) with an outstanding principal balance of GBP 5,336,001.01
-- Class F Notes rated at A (low) (sf) with an outstanding principal balance of GBP 4,123,273.48

The transaction is a securitisation of unsecured consumer loans granted via a marketplace lending platform operated by Zopa Limited (Zopa) to borrowers in the UK and financed by M&G Investments plc and Prudential plc via funds. Zopa also services the receivables. Target Servicing Limited was appointed as a backup servicer.

Please refer to https://www.dbrsmorningstar.com/issuers/24431 for more information.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/ Social/ Governance factors that had a significant or relevant effect on the credit analysis.

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/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

Notes:
All figures are in British pound sterling unless otherwise noted.

The principal methodology applicable to the ratings is the “Master European Structured Finance Surveillance Methodology” (19 May 2022).

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at: https://www.dbrsmorningstar.com/about/methodologies.

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 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 a redemption notice and investor reports 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 5 November 2021, when DBRS Morningstar confirmed its ratings on the Class A1, and Class A2 notes at AAA (sf), and upgraded its ratings on the Class B, Class C, Class D, Class E, and Class F notes to AA (high) (sf), AA (high) (sf), AA (sf), A (high) (sf), and A (low) (sf) from AA (sf), A (high) (sf), A (low) (sf), BBB (high) (sf), and BBB (low) (sf) respectively.

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: 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 Date: 5 December 2019

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: https://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: 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].

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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