Morningstar DBRS Discontinues Credit Ratings on Tower Bridge Funding 2021-1 plc

DBRS Ratings Limited (Morningstar DBRS) discontinued its credit ratings on the Class A, Class B, Class C, and Class D notes (collectively, the Rated Notes) issued by Tower Bridge Funding 2021-1 plc (the Issuer).

The discontinuations reflect the full repayment of the Rated Notes following the exercise of the optional redemption by Belmont Green Finance Limited, acting as the seller, on the 22 April 2024 payment date. Prior to their repayment in full, the credit ratings and the outstanding principal balances of the Rated Notes were as follows:

-- Class A Notes rated AAA (sf); GBP 126,089,716.50
-- Class B Notes rated AAA (sf); GBP 15,399,973.89
-- Class C Notes rated AA (high) (sf); GBP 14,699,975.07
-- Class D Notes rated AA (low) (sf); GBP 11,899,979.82

Please refer to https://dbrs.morningstar.com/issuers/26544 for more information.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
Social (S) Factors
Morningstar DBRS considers the help-to-buy scheme (HTB) applicable to a proportion of the portfolio of each transaction to be a relevant social factor (Social Impact of Products and Services) as outlined in the "Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings". The HTB scheme is credit negative, but Morningstar DBRS does not consider this to be a significant social factor given the generally limited exposure to HTB loans in these transactions.

There were no Environmental or Governance factors that had a significant or relevant effect on the credit analysis.
A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://dbrs.morningstar.com/research/427030.

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

The principal methodology applicable to the credit ratings is the Master European Structured Finance Surveillance Methodology (7 March 2024), https://dbrs.morningstar.com/research/429051.

Other methodologies referenced in this transaction are listed at the end of this press release.

In Morningstar DBRS' opinion, a discontinued-repaid credit rating action does not warrant the application of the entire principal methodology, as the bonds have been repaid in full.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit 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://dbrs.morningstar.com/research/421590.

The sources of data and information used for these credit ratings include investor reports provided by U.S. Bank Trustees Limited and a copy of the early redemption notice provided by CSC Capital Markets UK Limited.

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

At the time of the initial credit ratings, Morningstar DBRS was supplied with third-party assessments. However, this did not affect the credit rating analysis.

Morningstar DBRS considers the data and information available to it for the purposes of providing these credit ratings to be of satisfactory quality.

Morningstar DBRS does not audit or independently verify the data or information it receives in connection with the credit rating process.

The last credit rating action on this transaction took place on 23 August 2023, when Morningstar DBRS confirmed its credit rating on the Class A Notes at AAA (sf) and upgraded its credit ratings on the Class B, Class C, and Class D Notes to AAA (sf), AA (high) (sf), and AA (low) (sf), respectively, from AA (high) (sf), AA (sf), and A (high) (sf), respectively.

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

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on dbrs.morningstar.com.

As this is a discontinued-repaid credit rating action, a sensitivity analysis is not applicable.

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

These credit ratings are endorsed by DBRS Ratings GmbH for use in the European Union.

Lead Analyst: Andrew Lynch, Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 9 March 2021

DBRS Ratings Limited
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Registered and incorporated under the laws of England and Wales: Company No. 7139960

The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Master European Structured Finance Surveillance Methodology (7 March 2024),
https://dbrs.morningstar.com/research/429051
-- European RMBS Insight Methodology (25 March 2024) and European RMBS Insight Model version 6.0.2.1, https://dbrs.morningstar.com/research/430103
-- European RMBS Insight: UK Addendum (11 August 2023),
https://dbrs.morningstar.com/research/419141
-- Interest Rate Stresses for European Structured Finance Transactions (15 September 2023), https://dbrs.morningstar.com/research/420602
-- Legal Criteria for European Structured Finance Transactions (30 June 2023),
https://dbrs.morningstar.com/research/416730
-- Operational Risk Assessment for European Structured Finance Servicers (15 September 2023), https://dbrs.morningstar.com/research/420572
-- Derivative Criteria for European Structured Finance Transactions (18 September 2023), https://dbrs.morningstar.com/research/420754
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (23 January 2024),
https://dbrs.morningstar.com/research/427030

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/278375.

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at [email protected].