# DBRS Morningstar Upgrades and Confirms Ratings on 22 UK RMBS Transactions Following Update to European RMBS Insight: UK Addendum

RMBSDBRS Ratings Limited (DBRS Morningstar) upgraded and confirmed its ratings on 128 tranches in 22 UK residential mortgage-backed securities (RMBS) transactions and removed the relevant classes of notes from Under Review with Positive Implications (UR-Pos.), where they were placed on 4 October 2022.

The rating actions are the result of full transaction reviews following DBRS Morningstar’s finalisation of its “European RMBS Insight: UK Addendum” (the Methodology) on 16 September 2022 and the end of the review period for the transactions, which began on 4 October 2022. For more details, please see the following press release:

https://www.dbrsmorningstar.com/research/403600/dbrs-morningstar-places-ratings-on-24-uk-rmbs-transactions-under-review-with-positive-implications-following-update-to-european-rmbs-insight-uk-addendum.

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 updates to the market value decline assumptions in the UK, which DBRS Morningstar now derives using a base year of 2017, as opposed to 2002 previously, and updates to house price indexation to reflect data through Q4 2021. For more details, please see the following press release: https://www.dbrsmorningstar.com/research/402865/dbrs-morningstar-publishes-final-european-rmbs-insight-uk-addendum.https://www.dbrsmorningstar.com/research/402865/dbrs-morningstar-publishes-final-european-rmbs-insight-uk-addendum.

Along with the material changes introduced in 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; and

-- Current available credit enhancement to the notes to cover the expected losses at their respective rating levels.

For certain tranches, ratings may be one or two notches lower than those implied by the quantitative model. DBRS Morningstar opted for more conservative ratings in these instances due to heightened uncertainty regarding the residential mortgage market outlook in the UK as well as certain collateral and structural characteristics in the relevant transactions that may render these tranches more susceptible to performance deterioration.

Avon Finance No. 2 plc

-- Class A Notes confirmed at AAA (sf)

-- Class B Notes upgraded to AA (high) (sf) from AA (low) (sf)

-- Class C Notes upgraded to AA (low) (sf) from A (low) (sf)

-- Class D Notes upgraded to A (sf) from BBB (high) (sf)

-- Class E Notes upgraded to BBB (high) (sf) from BB (high) (sf)

-- Class F Notes upgraded to BBB (low) (sf) from BB (low) (sf)

The rating on the Class A Notes addresses the timely payment of interest and the full payment of principal by the legal final maturity date. The ratings on the Class B and Class C Notes address the ultimate payment of interest and principal, and the timely payment of interest while the senior-most class outstanding. The ratings on the Class D, Class E, and Class F Notes address the ultimate payment of interest and principal on or before the legal final maturity date.

DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions at the B (sf) rating level to 13.7% and 6.1%, respectively.

Canterbury Finance 4 PLC

-- Class A1 confirmed at AAA (sf)

-- Class A2 confirmed at AAA (sf)

-- Class B confirmed at AA (high) (sf)

-- Class C confirmed at A (high) (sf)

-- Class D upgraded to A (low) (sf) from BBB (high) (sf)

-- Class E confirmed at BB (high) (sf)

-- Class F confirmed at B (sf)

-- Class X confirmed at AAA (sf)

The ratings on the Class A1, Class A2, and Class X notes address the timely payment of interest and the full payment of principal by the legal final maturity date. The ratings on the Class B, Class C, Class D, Class E, and Class F notes address the ultimate payment of interest and principal and the timely payment of interest while the senior-most class outstanding.

DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions at the B (sf) rating level to 3.9% and 11.5%, respectively.

Castell 2020-1 plc

-- Class A notes confirmed at AAA (sf)

-- Class B notes upgraded to AAA (sf) from AA (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 (high) (sf) from BB (high) (sf)

-- Class F notes upgraded to BBB (sf) from BB (low) (sf)

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

DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions at the B (sf) rating level to 4.8% and 15.5%, respectively.

Castell 2021-1 PLC

-- Class A notes confirmed at AAA (sf)

-- Class B notes upgraded to AAA (sf) from AA (sf)

-- Class C notes upgraded to AA (low) (sf) from A (sf)

-- Class D notes upgraded to A (sf) from BBB (sf)

-- Class E notes upgraded to BBB (low) (sf) from BB (low) (sf)

-- Class F notes upgraded to BB (low) (sf) from B (sf)

The ratings on the Class A and Class B notes address the timely payment of interest and the full payment of principal by the legal final maturity date. The ratings on the Class C, Class D, Class E, and Class F notes address the ultimate payment of interest and principal, and the timely payment of interest while the senior-most class outstanding.

DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions at the B (sf) rating level to 3.1% and 33.7%, respectively.

Castell 2022-1 PLC

-- Class A notes confirmed at AAA (sf)

-- Class A Loan 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 upgraded to BBB (high) (sf) from BBB (sf)

-- Class E notes upgraded to BB (high) (sf) from BB (sf)

-- Class F notes upgraded to BB (low) (sf) from B (sf)

-- Class X notes upgraded to BBB (low) (sf) from B (high) (sf)

The ratings on the Class A, Class A Loan, and Class X notes address the timely payment of interest and the full payment of principal by the legal final maturity date. The ratings on the Class B, Class C, Class D, Class E, and Class F notes address the ultimate payment of interest and principal, and the timely payment of interest while the senior-most class outstanding.

DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions at the B (sf) rating level to 4.3% and 28.8%, respectively.

Durham Mortgages A plc

-- Class A Notes confirmed at AAA (sf)

-- Class B Notes upgraded to AA (high) (sf) from AA (low) (sf)

-- Class C Notes upgraded to A (high) (sf) from A (low) (sf)

-- Class D Notes upgraded to BBB (high) (sf) from BBB (low) (sf)

-- Class E Notes upgraded to BB (high) (sf) from BB (sf)

-- Class F Notes upgraded to BB (low) (sf) from B (low) (sf)

The rating on the Class A Notes addresses the timely payment of interest and the full payment of principal by the legal final maturity date. The rating on the Class B Notes addresses the ultimate payment of interest and principal, and 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.

DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions at the B (sf) rating level to 8.7% and 5.8%, respectively.

Durham Mortgages B plc

-- Class A Notes confirmed at AAA (sf)

-- Class B Notes upgraded to AA (sf) from AA (low) (sf)

-- Class C Notes upgraded to A (sf) from A (low) (sf)

-- Class D Notes confirmed at BBB (sf)

-- Class E Notes confirmed at BB (sf)

-- Class F Notes confirmed at B (sf)

-- Class X Notes confirmed at BB (sf)

The rating on the Class A Notes addresses the timely payment of interest and the full payment of principal by the legal final maturity date. The rating on the Class B Notes addresses the ultimate payment of interest and principal, and the timely payment of interest while the senior-most class outstanding. The ratings on the Class C, Class D, Class E, Class F, and Class X Notes address the ultimate payment of interest and principal on or before the legal final maturity date.

DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions at the B (sf) rating level to 6.5% and 15.4%, respectively.

Elvet Mortgages 2021-1 plc

-- Class A notes confirmed at AAA (sf)

-- Class B notes upgraded to AAA (sf) from 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 A (low) (sf) from BBB (low) (sf)

The ratings on the Class A and Class B notes address the timely payment of interest and the full payment of principal by the legal final maturity date. The rating on the Class C notes addresses the ultimate payment of interest and principal, and the timely payment of interest while the senior-most class outstanding. The ratings on the Class D and Class E notes address the ultimate payment of interest and principal on or before the legal final maturity date.

DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions at the B (sf) rating level to 0.8% and 6.5%, respectively.

Finsbury Square 2019-3 plc

-- Class A Notes confirmed at AAA (sf)

-- Class B Notes upgraded to AAA (sf) from AA (high) (sf)

-- Class C Notes upgraded to AA (high) (sf) from A (high) (sf)

-- Class D Notes upgraded to AA (sf) from BBB (high) (sf)

-- Class E Notes upgraded to A (high) (sf) from BBB (low) (sf)

The ratings on the Class A and Class B Notes address the timely payment of interest and the full payment of principal by the legal final maturity date. The ratings on the Class C, Class D, and Class E Notes address the ultimate payment of interest and principal, and the timely payment of interest while the senior-most class outstanding.

DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions at the B (sf) rating level to 8.9% and 6.3%, respectively.

Finsbury Square 2020-1 plc

-- Class A Notes confirmed at AAA (sf)

-- Class B Notes upgraded to AAA (sf) from AA (high) (sf)

-- Class C Notes upgraded to AA (high) (sf) from A (high) (sf)

-- Class D Notes upgraded to AA (low) (sf) from BBB (high) (sf)

The ratings on the Class A and Class B Notes addresses the timely payment of interest and the full payment of principal by the legal final maturity date. The ratings on the Class C and Class D Notes address the ultimate payment of interest and principal, and the timely payment of interest while the senior-most class outstanding.

DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions at the B (sf) rating level to 7.6% and 6.5%, respectively.

Gemgarto 2021-1 Plc

-- Class A notes confirmed at AAA (sf)

-- Class B notes confirmed at AA (sf)

-- Class C notes upgraded to A (high) (sf) from A (sf)

-- Class D notes upgraded to A (high) (sf) from A (low) (sf)

-- Class X notes upgraded to AA (high) (sf) from BB (high) (sf)

The ratings on the Class A and Class X notes address the timely payment of interest and the full payment of principal by the legal final maturity date. The ratings on the Class B, Class C, and Class D notes address the ultimate payment of interest and principal, and the timely payment of interest while the senior-most class outstanding.

DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions at the B (sf) rating level to 6.4% and 5.9%, respectively.

Genesis Mortgage Funding 2022-1 plc

-- Class A notes confirmed at AAA (sf)

-- Class B notes upgraded to AA (high) (sf) from AA (sf)

-- Class C notes upgraded to A (high) (sf) from A (sf)

-- Class D notes upgraded to BBB (high) (sf) from BBB (sf)

-- Class E notes upgraded to BB (high) (sf) from BB (sf)

-- Class X notes confirmed at BB (low) (sf)

The rating on the Class A notes addresses the timely payment of interest and the full payment of principal by the legal final maturity date. The ratings on the Class B, Class C, Class D, and Class E notes address the ultimate payment of interest and principal, and 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 conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions at the B (sf) rating level to 10.0% and 5.1%, respectively.

Harbour No. 1 plc

-- Class A1 Notes confirmed at AAA (sf)

-- Class A2 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 (high) (sf)

-- Class D Notes upgraded to A (high) (sf) from BBB (high) (sf)

-- Class E Notes upgraded to A (low) (sf) from BBB (low) (sf)

-- Class F Notes upgraded to BBB (low) (sf) from BB (sf)

-- Class G Notes upgraded to BB (low) (sf) from B (high) (sf)

-- Class X Notes upgraded to AA (high) (sf) from BB (high) (sf)

The ratings on the Class A1, Class A2, and Class X Notes address the timely payment of interest and the full payment of principal by the legal final maturity date. The ratings on the Class B and Class C Notes address the ultimate payment of interest and principal, and timely payment of interest while the senior-most class outstanding. The ratings on the Class D, Class E, Class F, and Class G Notes address the ultimate payment of interest and the ultimate payment of principal.

DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions at the B (sf) rating level to 29.5% and 7.4%, respectively.

Pavillion Mortgages 2021-1 PLC

-- Class A notes confirmed at AAA (sf)

-- Class B notes confirmed at AAA (sf)

-- Class C notes upgraded to AA (sf) from A (high) (sf)

-- Class D notes upgraded to A (high) (sf) from A (low) (sf)

-- Class E notes upgraded to A (low) (sf) from BBB (high) (sf)

The ratings on the Class A, Class B, and Class C notes address the timely payment of interest and the full payment of principal by the legal final maturity date. The ratings on the Class D and Class E notes address the ultimate payment of interest and principal, and timely payment of interest while the senior-most class outstanding.

DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions at the B (sf) rating level to 1.2% and 5.7%, respectively.

Together Asset Backed Securitisation 2019-1 Plc

-- Class A notes confirmed at AAA (sf)

-- Class B notes upgraded to AAA (sf) from 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 A (low) (sf) from BBB (low) (sf)

The ratings on the Class A and Class B notes address the timely payment of interest and the full payment of principal by the legal final maturity date. The ratings on the Class C, Class D and Class E notes address the ultimate payment of interest and principal, and timely payment of interest while the senior-most class outstanding.

DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions at the B (sf) rating level to 9.9% and 8.2%, respectively.

Towd Point Mortgage Funding 2018-Auburn 12 Plc

-- Class A notes confirmed at AAA (sf)

-- Class B notes confirmed at AA (high) (sf)

-- Class C notes upgraded to AA (high) (sf) from AA (sf)

-- Class D notes upgraded to AA (low) (sf) from A (sf)

-- Class E notes upgraded to BBB (high) (sf) from BB (high) (sf)

The rating on the Class A notes addresses the timely payment of interest and the full payment of principal by the legal final maturity date. The ratings on the Class B, Class C, and Class D notes address the ultimate payment of interest and principal, and the timely payment of interest while the senior-most class outstanding. The rating on the Class E notes addresses the ultimate payment of interest and principal on or before the legal final maturity date.

DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions at the B (sf) rating level to 4.3% and 4.3%, respectively.

Towd Point Mortgage Funding 2019-Vantage2 Plc

-- 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 (sf)

-- Class D notes upgraded to A (high) (sf) from A (low) (sf)

-- Class E notes upgraded to A (low) (sf) from BB (high) (sf)

-- Class F notes upgraded to BBB (sf) from BB (sf)

The rating on the Class A notes addresses the timely payment of interest and the full payment of principal by the legal final maturity date. The ratings on the Class B and Class C notes address the ultimate payment of interest and principal, and the timely payment of interest while the senior-most class outstanding. The ratings on the Class D, Class E, and Class F notes address the ultimate payment of interest and principal on or before the legal final maturity date.

DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions at the B (sf) rating level to 34.8% and 8.3%, respectively.

Tower Bridge Funding 2021-1 plc

-- Class A Notes confirmed at AAA (sf)

-- Class B Notes confirmed at AA (high) (sf)

-- Class C Notes upgraded to AA (sf) from A (high) (sf)

-- Class D Notes upgraded to A (high) (sf) from BBB (high) (sf)

The rating on the Class A Notes addresses the timely payment of interest and the full payment of principal by the legal final maturity date. The ratings on the Class B, Class C, and Class D Notes address the ultimate payment of interest and principal, and timely payment of interest while the senior-most class outstanding.

DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions at the B (sf) rating level to 5.9% and 8.2%, respectively.

Tower Bridge Funding 2021-2 plc

-- Class A notes confirmed at AAA (sf)

-- Class B notes confirmed at AA (high) (sf)

-- Class C notes upgraded to AA (sf) from A (high) (sf)

-- Class D notes upgraded to A (sf) from BBB (high) (sf)

-- Class X notes upgraded to AAA (sf) from AA (sf)

The ratings on the Class A and Class X notes address the timely payment of interest and the full payment of principal by the legal final maturity date. The ratings on the Class B, Class C, and Class D notes address the ultimate payment of interest and principal, and timely payment of interest while the senior-most class outstanding.

DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions at the B (sf) rating level to 5.2% and 10.3%, respectively.

Trinidad Mortgage Securities 2018-1 plc

-- Class A notes confirmed at AAA (sf)

-- Class B notes upgraded to AAA (sf) from AA (high) (sf)

-- Class C notes upgraded to AA (high) (sf) from AA (sf)

-- Class D notes upgraded to AA (sf) from A (high) (sf)

-- Class E notes upgraded to A (sf) from BBB (high) (sf)

-- Class F notes confirmed at BB (sf)

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

DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions at the B (sf) rating level to 18.3% and 5.7%, respectively.

Tudor Rose Mortgages 2021-1 PLC

-- Class A notes confirmed at AAA (sf)

-- Class B notes upgraded to AA (high) (sf) from AA (low) (sf)

-- Class C notes upgraded to AA (low) (sf) from A (low) (sf)

-- Class D notes upgraded to A (low) (sf) from BBB (sf)

-- Class RFN notes upgraded to BBB (low) (sf) from BB (high) (sf)

-- Class X1 notes upgraded to AAA (sf) from A (low) (sf)

The ratings on the Class A and Class X1 notes address the timely payment of interest and the full payment of principal by the legal final maturity date. The ratings on the Class B and Class C notes address the ultimate payment of interest and principal, and the timely payment of interest while the senior-most class outstanding. The ratings on the Class D and Class RFN notes address the ultimate payment of interest and principal on or before the legal final maturity date.

DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions at the B (sf) rating level to 4.8% and 7.4%, respectively.

Warwick Finance Residential Mortgages Number Four Plc

-- Class A notes confirmed at AAA (sf)

-- Class B notes confirmed at AA (sf)

-- Class C notes confirmed at A (low) (sf)

-- Class D notes confirmed at BBB (high) (sf)

-- Class E notes confirmed at BB (high) (sf)

The rating on the Class A notes addresses the timely payment of interest and the full payment of principal by the legal final maturity date. The rating on the Class B notes addresses the ultimate payment of interest and principal, and the timely payment of interest while the senior-most class outstanding. The ratings on the Class C, Class D, and Class E notes address the ultimate payment of interest and principal on or before the legal final maturity date.

The rating on the Class D notes issued by Warwick Finance Residential Mortgages Number Four Plc at BBB (high) (sf) materially deviates from the higher rating implied by the quantitative model. DBRS Morningstar considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by a quantitative model that is a substantial component of a rating methodology. In this case, the rating action takes into account the current level of interest shortfall on the mezzanine and junior notes, where interest payments have been deferred since June 2022. DBRS Morningstar notes that such deferrals are permissible until the maturity date and considers such interest deferrals to be temporary in nature. DBRS Morningstar will continue to monitor the situation and may take positive rating actions once cumulative interest shortfalls reduce.

DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions at the B (sf) rating level to 9.5% and 5.0%, respectively.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS

DBRS Morningstar considers the help-to-buy (HTB) scheme applicable to a proportion of the portfolio in Genesis Mortgage Funding 2022-1 plc, Finsbury Square 2019-3 plc, Finsbury Square 2020-1 plc, Gemgarto 2021-1 Plc, Tower Bridge Funding 2021-1 plc, and Tower Bridge Funding 2021-2 plc to be a relevant social factor (social impact of products and services) as outlined in the “DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings”. The HTB scheme is credit negative, but DBRS Morningstar does not consider this to be a significant social factor given the generally limited exposure to HTB loans in these transactions.

In the remaining transactions, there were no Environmental/Social/Governance factors that had a significant or relevant impact 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 (17 May 2022).

DBRS Morningstar analysed the transaction structures in Intex DealMaker.

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” (19 May 2022) and the “European RMBS Insight: UK Addendum” (16 September 2022).

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

A review of the transaction legal documents was not conducted as the legal documents for each transaction have remained unchanged since the most recent rating actions.

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/401817/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 for a number of these transactions. 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 4 October 2022, when DBRS Morningstar placed its ratings on all classes of notes UR-Pos., except for the classes of notes already rated AAA (sf).

The lead analyst responsibilities for Genesis Mortgage Funding 2022-1 plc have been transferred to Natalia Coman.

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

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the rating, 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 risk sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption.

Avon Finance No. 2 plc

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 A (high) (sf)

--25% increase in PD and 25% increase in LGD, expected rating of AA (low) (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 (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 AA (low) (sf)

--50% increase in LGD, expected rating of AA (low) (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 (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 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 BBB (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 BBB (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 BBB (high) (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 BB (high) (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 F 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 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 (high) (sf)

--50% increase in PD and 25% increase in LGD, expected rating of BB (sf)

--50% increase in PD and 50% increase in LGD, expected rating of BB (low) (sf)

Canterbury Finance 4 PLC

Class A1 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 AAA (sf)

Class A2 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 (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 AA (sf)

Class B 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 (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 AA (low) (sf)

--50% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)

Class C Risk Sensitivity:

--25% increase in LGD, expected rating of A (high) (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 (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 D 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 (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 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 (sf)

--25% increase in PD and 25% increase in LGD, expected rating of BB (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 of BB (low) (sf)

--50% increase in PD and 50% increase in LGD, expected rating of BB (low) (sf)

Class F Risk Sensitivity:

--25% increase in LGD, expected rating of B (sf)

--50% increase in LGD, expected rating of Below B (sf)

--25% increase in PD, expected rating of B (sf)

--50% increase in PD, expected rating of below B (sf)

--25% increase in PD and 25% increase in LGD, expected rating of below B (sf)

--25% increase in PD and 50% increase in LGD, expected rating of below B (sf)

--50% increase in PD and 25% increase in LGD, expected rating of below B (sf)

--50% increase in PD and 50% increase in LGD, expected rating of below B (sf)

Class X 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 AAA (sf)

Castell 2020-1 plc

Class A 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 AAA (sf)

Class B 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 AA (high) (sf)

--50% increase in PD and 50% increase in LGD, expected rating of AA (sf)

Class C 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 (low) (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 D Risk Sensitivity:

--25% increase in LGD, expected rating of A (high) (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 (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 A (low) (sf)

--50% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)

Class E Risk Sensitivity:

--25% increase in LGD, expected rating of BBB (high) (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 (sf)

--50% increase in PD and 50% increase in LGD, expected rating of BBB (low) (sf)

Class F Risk Sensitivity:

--25% increase in LGD, expected rating of BBB (sf)

--50% increase in LGD, expected rating of BBB (low) (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)

Castell 2021-1 PLC

Class A 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 AAA (sf)

Class B 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 AA (high) (sf)

--50% increase in PD and 50% increase in LGD, expected rating of AA (sf)

Class C Risk Sensitivity:

--25% increase in LGD, expected rating of AA (low) (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 (high) (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 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 A (low) (sf)

--25% increase in PD and 25% increase in LGD, expected rating of A (low) (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 E 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 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 F 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 BB (low) (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 (high) (sf)

Castell 2022-1 PLC

Class A and Class A Loan 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 AA (sf)

--50% increase in PD and 50% increase in LGD, expected rating of AA (low) (sf)

Class B 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 (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 A (high) (sf)

--50% increase in PD and 50% increase in LGD, expected rating of A (sf)

Class C Risk Sensitivity:

--25% increase in LGD, expected rating of A (high) (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 (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 A (low) (sf)

--50% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)

Class D Risk Sensitivity:

--25% increase in LGD, expected rating of BBB (high) (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 (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 E 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 (high) (sf)

--50% increase in PD and 25% increase in LGD, expected rating of BB (sf)

--50% increase in PD and 50% increase in LGD, expected rating of BB (low) (sf)

Class F 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 (high) (sf)

Class X 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 BBB (low) (sf)

--25% increase in PD and 50% increase in LGD, expected rating of BBB (low) (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)

Durham Mortgages A plc

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 (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 AA (low) (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 (low) (sf)

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

--25% increase in LGD, expected rating of BBB (high) (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 (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 (low) (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 (high) (sf)

--50% increase in PD and 25% increase in LGD, expected rating of BB (sf)

--50% increase in PD and 50% increase in LGD, expected rating of BB (low) (sf)

Class F 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 B (high) (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)

Durham Mortgages B plc

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 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 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 (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 (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 (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 (sf)

--50% increase in LGD, expected rating of BBB (low) (sf)

--25% increase in PD, expected rating of BBB (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 (high) (sf)

Class E Notes Risk Sensitivity:

--25% increase in LGD, expected rating of BB (sf)

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

--25% increase in PD, expected rating of BB (sf)

--50% increase in PD, expected rating of BB (low) (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 (high) (sf)

Class F Notes Risk Sensitivity:

--25% increase in LGD, expected rating of B (sf)

--50% increase in LGD, expected rating of below B (sf)

--25% increase in PD, expected rating of B (sf)

--50% increase in PD, expected rating of below B (sf)

--25% increase in PD and 25% increase in LGD, expected rating of below B (sf)

--25% increase in PD and 50% increase in LGD, expected rating of below B (sf)

--50% increase in PD and 25% increase in LGD, expected rating of below B (sf)

--50% increase in PD and 50% increase in LGD, expected rating of below B (sf)

Class X Notes Risk Sensitivity:

--25% increase in LGD, expected rating of BB (sf)

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

--25% increase in PD, expected rating of BB (sf)

--50% increase in PD, expected rating of BB (low) (sf)

--25% increase in PD and 25% increase in LGD, expected rating of BB (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 of BB (low) (sf)

--50% increase in PD and 50% increase in LGD, expected rating of B (high) (sf)

Elvet Mortgages 2021-1 plc

Class A 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 AAA (sf)

Class B 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 (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 AA (high) (sf)

Class C Risk Sensitivity:

--25% increase in LGD, expected rating of AA (high) (sf)

--50% increase in LGD, expected rating of AA (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 AA (low) (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 D Risk Sensitivity:

--25% increase in LGD, expected rating of A (high) (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 (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 A (low) (sf)

--50% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)

Class E Risk Sensitivity:

--25% increase in LGD, expected rating of A (low) (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 A (low) (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 (high) (sf)

Finsbury Square 2019-3 plc

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 AAA (sf)

Class B 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 C 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 (high) (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 (low) (sf)

Class D 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 (low) (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 A (high) (sf)

--50% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)

Class E Notes Risk Sensitivity:

--25% increase in LGD, expected rating of A (high) (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 (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)

Finsbury Square 2020-1 plc

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 AAA (sf)

Class B 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 C 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 D Notes Risk Sensitivity:

--25% increase in LGD, expected rating of AA (low) (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 AA (low) (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 (high) (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 (low) (sf)

Gemgarto 2021-1 Plc

Class A 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 AA (high) (sf)

--50% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf)

Class B 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 A (high) (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 C Risk Sensitivity:

--25% increase in LGD, expected rating of A (high) (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 (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 BBB (high) (sf)

Class D Risk Sensitivity:

--25% increase in LGD, expected rating of A (high) (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 (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 A (low) (sf)

--50% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)

Class X 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 (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 AA (high) (sf)

Genesis Mortgage Funding 2022-1 plc

Class A 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 (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 AA (sf)

Class B Risk Sensitivity:

--25% increase in LGD, expected rating of AA (high) (sf)

--50% increase in LGD, expected rating of AA (sf)

--25% increase in PD, expected rating of AA (high) (sf)

--50% increase in PD, expected rating of AA (low) (sf)

--25% increase in PD and 25% increase in LGD, expected rating of AA (low) (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 A (high) (sf)

--50% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)

Class C Risk Sensitivity:

--25% increase in LGD, expected rating of A (high) (sf)

--50% increase in LGD, expected rating of A (high) (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 A (low) (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 D Risk Sensitivity:

--25% increase in LGD, expected rating of BBB (high) (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 (low) (sf)

--25% increase in PD and 25% increase in LGD, expected rating of BBB (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 BB (high) (sf)

--50% increase in PD and 50% increase in LGD, expected rating of BB (high) (sf)

Class E 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 (sf)

--25% increase in PD and 25% increase in LGD, expected rating of BB (sf)

--25% increase in PD and 50% increase in LGD, expected rating of BB (low) (sf)

--50% increase in PD and 25% increase in LGD, expected rating of BB (low) (sf)

--50% increase in PD and 50% increase in LGD, expected rating of B (high) (sf)

Class X Risk Sensitivity:

--25% increase in LGD, expected rating of B (high) (sf)

--50% increase in LGD, expected rating of B (high) (sf)

--25% increase in PD, expected rating of B (high) (sf)

--50% increase in PD, expected rating of below 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 below B (sf)

--50% increase in PD and 50% increase in LGD, expected rating of below B (sf)

Harbour No. 1 plc

Class A1 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 AAA (sf)

Class A2 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 (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 AA (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 (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 A (high) (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 D Notes Risk Sensitivity:

--25% increase in LGD, expected rating of A (high) (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 (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 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 E 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 F 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 (low) (sf)

Class G 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 (high) (sf)

Class X 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 (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 AA (high) (sf)

Pavillion Mortgages 2021-1 PLC

Class A 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 AAA (sf)

Class B 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 (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 AA (high) (sf)

Class C 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 A (high) (sf)

--25% increase in PD and 25% increase in LGD, expected rating of AA (low) (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 A (high) (sf)

--50% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)

Class D Risk Sensitivity:

--25% increase in LGD, expected rating of A (high) (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 (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 E Risk Sensitivity:

--25% increase in LGD, expected rating of A (low) (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)

Together Asset Backed Securitisation 2019-1 Plc

Class A 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 AAA (sf)

Class B 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 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 AA (sf)

--50% increase in PD and 50% increase in LGD, expected rating of AA (sf)

Class C 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 (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 AA (sf)

Class D Risk Sensitivity:

--25% increase in LGD, expected rating of A (high) (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 (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 E Risk Sensitivity:

--25% increase in LGD, expected rating of A (low) (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)

Towd Point Mortgage Funding 2018-Auburn 12 Plc

Class A 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 AAA (sf)

Class B 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 (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 AA (high) (sf)

Class C 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 (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 AA (sf)

Class D Risk Sensitivity:

--25% increase in LGD, expected rating of AA (low) (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 AA (low) (sf)

--25% increase in PD and 25% increase in LGD, expected rating of AA (low) (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 E Risk Sensitivity:

--25% increase in LGD, expected rating of BBB (high) (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 (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)

Towd Point Mortgage Funding 2019-Vantage2 Plc

Class A 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 AAA (sf)

Class B 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 A (low) (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 (low) (sf)

--50% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)

Class C 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 A (high) (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 D Risk Sensitivity:

--25% increase in LGD, expected rating of A (high) (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 (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 BBB (high) (sf)

Class E Risk Sensitivity:

--25% increase in LGD, expected rating of A (low) (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 (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 F Risk Sensitivity:

--25% increase in LGD, expected rating of BBB (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 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)

Tower Bridge Funding 2021-1 plc

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 (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 AA (sf)

Class C 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 (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 D Notes Risk Sensitivity:

--25% increase in LGD, expected rating of A (high) (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 (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)

Tower Bridge Funding 2021-2 plc

Class A 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 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 (high) (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 (low) (sf)

Class C 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 (low) (sf)

--25% increase in PD and 25% increase in LGD, expected rating of AA (low) (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 A (high) (sf)

--50% increase in PD and 50% increase in LGD, expected rating of A (sf)

Class D Risk Sensitivity:

--25% increase in LGD, expected rating of A (sf)

--50% increase in LGD, expected rating of A (sf)

--25% increase in PD, expected rating of A (sf)

--50% increase in PD, expected rating of A (low) (sf)

--25% increase in PD and 25% increase in LGD, expected rating of A (low) (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 X 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 AAA (sf)

Trinidad Mortgage Securities 2018-1 plc

Class A 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 AAA (sf)

Class B 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 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 AA (sf)

--50% increase in PD and 50% increase in LGD, expected rating of AA (sf)

Class C 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 (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 AA (high) (sf)

Class D 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 (low) (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)

Class E Risk Sensitivity:

--25% increase in LGD, expected rating of A (sf)

--50% increase in LGD, expected rating of BBB (high) (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 (high) (sf)

--50% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)

Class F Risk Sensitivity:

--25% increase in LGD, expected rating of BB (sf)

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

--25% increase in PD, expected rating of BB (sf)

--50% increase in PD, expected rating of BB (low) (sf)

--25% increase in PD and 25% increase in LGD, expected rating of BB (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 of BB (low) (sf)

--50% increase in PD and 50% increase in LGD, expected rating of B (high) (sf)

Tudor Rose Mortgages 2021-1 PLC

Class A 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 AAA (sf)

Class B 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 AA (low) (sf)

Class C Risk Sensitivity:

--25% increase in LGD, expected rating of AA (low) (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 AA (low) (sf)

--25% increase in PD and 25% increase in LGD, expected rating of AA (low) (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 A (high) (sf)

--50% increase in PD and 50% increase in LGD, expected rating of A (sf)

Class D Risk Sensitivity:

--25% increase in LGD, expected rating of A (low) (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 A (low) (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 RFN 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 (high) (sf)

Class X1 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 AAA (sf)

Warwick Finance Residential Mortgages Number Four Plc

Class A 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 AAA (sf)

Class B 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 A (high) (sf)

Class C Risk Sensitivity:

--25% increase in LGD, expected rating of A (low) (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 A (low) (sf)

--25% increase in PD and 25% increase in LGD, expected rating of A (low) (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 A (low) (sf)

Class D Risk Sensitivity:

--25% increase in LGD, expected rating of BBB (high) (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 (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 E 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 (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)

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.

Avon Finance No. 2 plc

Lead Analyst: Andrew Lynch, Vice President

Rating Committee Chair: Alfonso Candelas, Senior Vice President

Initial Rating Date: 15 September 2020

Canterbury Finance 4 PLC

Lead Analyst: Andrew Lynch, Vice President

Rating Committee Chair: Alfonso Candelas, Senior Vice President

Initial Rating Date: 6 July 2021

Castell 2020-1 plc

Lead Analyst: Natalia Coman, Assistant Vice President

Rating Committee Chair: Alfonso Candelas, Senior Vice President

Initial Rating Date: 10 September 2020

Castell 2021-1 PLC

Lead Analyst: Natalia Coman, Assistant Vice President

Rating Committee Chair: Alfonso Candelas, Senior Vice President

Initial Rating Date: 25 October 2021

Castell 2022-1 PLC

Lead Analyst: Natalia Coman, Assistant Vice President

Rating Committee Chair: Alfonso Candelas, Senior Vice President

Initial Rating Date: 11 July 2022

Durham Mortgages A plc

Lead Analyst: Clare Wootton, Vice President

Rating Committee Chair: Alfonso Candelas, Senior Vice President

Initial Rating Date: 16 February 2021

Durham Mortgages B plc

Lead Analyst: Clare Wootton, Vice President

Rating Committee Chair: Alfonso Candelas, Senior Vice President

Initial Rating Date: 16 August 2021

Elvet Mortgages 2021-1 plc

Lead Analyst: Clare Wootton, Vice President

Rating Committee Chair: Alfonso Candelas, Senior Vice President

Initial Rating Date: 4 October 2021

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

Gemgarto 2021-1 Plc

Lead Analyst: Natalia Coman, Assistant Vice President

Rating Committee Chair: Alfonso Candelas, Senior Vice President

Initial Rating Date: 26 January 2021

Genesis Mortgage Funding 2022-1 plc

Lead Analyst: Natalia Coman, Assistant Vice President

Rating Committee Chair: Alfonso Candelas, Senior Vice President

Initial Rating Date: 21 April 2022

Harbour No. 1 plc

Lead Analyst: Clare Wootton, Vice President

Rating Committee Chair: Alfonso Candelas, Senior Vice President

Initial Rating Date: 3 December 2021

Pavillion Mortgages 2021-1 PLC

Lead Analyst: Clare Wootton, Vice President

Rating Committee Chair: Alfonso Candelas, Senior Vice President

Initial Rating Date: 15 December 2021

Together Asset Backed Securitisation 2019-1 Plc

Lead Analyst: Natalia Coman, Assistant Vice President

Rating Committee Chair: Alfonso Candelas, Senior Vice President

Initial Rating Date: 23 September 2019

Towd Point Mortgage Funding 2018-Auburn 12 Plc

Lead Analyst: Natalia Coman, Assistant Vice President

Rating Committee Chair: Alfonso Candelas, Senior Vice President

Initial Rating Date: 23 July 2018

Towd Point Mortgage Funding 2019-Vantage2 Plc

Lead Analyst: Natalia Coman, Assistant Vice President

Rating Committee Chair: Alfonso Candelas, Senior Vice President

Initial Rating Date: 5 November 2019

Tower Bridge Funding 2021-1 plc

Lead Analyst: Natalia Coman, Assistant Vice President

Rating Committee Chair: Alfonso Candelas, Senior Vice President

Initial Rating Date: 9 March 2021

Tower Bridge Funding 2021-2 plc

Lead Analyst: Natalia Coman, Assistant Vice President

Rating Committee Chair: Alfonso Candelas, Senior Vice President

Initial Rating Date: 28 June 2021

Trinidad Mortgage Securities 2018-1 plc

Lead Analyst: Natalia Coman, Assistant Vice President

Rating Committee Chair: Alfonso Candelas, Senior Vice President

Initial Rating Date: 12 June 2018

Tudor Rose Mortgages 2021-1 PLC

Lead Analyst: Clare Wootton, Vice President

Rating Committee Chair: Alfonso Candelas, Senior Vice President

Initial Rating Date: 22 November 2021

Warwick Finance Residential Mortgages Number Four Plc

Lead Analyst: Andrew Lynch, Vice President

Rating Committee Chair: Alfonso Candelas, Senior Vice President

Initial Rating Date: 23 August 2019

DBRS Ratings Limited

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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.

-- Legal Criteria for European Structured Finance Transactions (22 July 2022), https://www.dbrsmorningstar.com/research/400166/legal-criteria-for-european-structured-finance-transactions.

-- Master European Structured Finance Surveillance Methodology (19 May 2022), https://www.dbrsmorningstar.com/research/397033/master-european-structured-finance-surveillance-methodology.

-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (17 May 2022), https://www.dbrsmorningstar.com/research/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

-- Operational Risk Assessment for European Structured Finance Servicers (15 September 2022), https://www.dbrsmorningstar.com/research/402774/operational-risk-assessment-for-european-structured-finance-servicers.

-- Operational Risk Assessment for European Structured Finance Originators (15 September 2022), https://www.dbrsmorningstar.com/research/402773/operational-risk-assessment-for-european-structured-finance-originators.

-- European RMBS Insight Methodology (28 March 2022) and European Asset RMBS Insight Model v5.7.1.0, https://www.dbrsmorningstar.com/research/394309/european-rmbs-insight-methodology.

-- European RMBS Insight: UK Addendum (16 September 2022), https://www.dbrsmorningstar.com/research/402864/european-rmbs-insight-uk-addendum.

-- Interest Rate Stresses for European Structured Finance Transactions (22 September 2022), https://www.dbrsmorningstar.com/research/402943/interest-rate-stresses-for-european-structured-finance-transactions.

-- Derivative Criteria for European Structured Finance Transactions (20 September 2021), https://www.dbrsmorningstar.com/research/384624/derivative-criteria-for-european-structured-finance-transactions.

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 these credits 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.