Morningstar DBRS Places Credit Ratings on 11 UK RMBS Transactions Under Review with Positive Implications Following Update to European RMBS Insight: UK Addendum Methodology

DBRS Ratings Limited (Morningstar DBRS) placed its credit ratings on the following 11 UK RMBS transactions Under Review with Positive Implications (UR-Pos.) following an update to the “European RMBS Insight: UK Addendum” methodology:

Atlas Funding 2024-1 plc:
-- Class B Notes rated AA (high) (sf)
-- Class C Notes rated A (low) (sf)
-- Class D Notes rated BBB (sf)
-- Class E Notes rated BBB (low) (sf)
-- Class X Notes rated BBB (high) (sf)

The credit ratings on the Class B, Class C, Class D, and Class E Notes issued by Atlas Funding 2024-1 plc address the ultimate payment of interest and principal on or before the legal final maturity date, and the timely payment of interest while they are the senior-most class of notes outstanding. The credit rating on the Class X Notes addresses the ultimate payment of interest and principal.

Canterbury Finance 4 PLC
-- Class C rated AA (high) (sf)
-- Class D rated AA (low) (sf)
-- Class E rated BBB (sf)
-- Class F rated B (high) (sf)

The credit ratings on the Class C, Class D, Class E, and Class F notes issued by Canterbury Finance 4 PLC address the ultimate payment of interest and principal on or before the legal final maturity date, and the timely payment of interest while they are the senior-most class of notes outstanding.

Castell 2022-1 PLC
-- Class C rated AA (low) (sf)
-- Class D rated A (low) (sf)
-- Class E rated BB (high) (sf)
-- Class F rated BB (low) (sf)

The credit ratings on the Class C, Class D, Class E, and Class F notes issued by Castell 2022-1 PLC address the ultimate payment of interest and principal on or before the legal final maturity date, and the timely payment of interest while they are the senior-most class of notes outstanding.

Charles Street Conduit Asset Backed Securitisation 2 Limited
-- Class A1/A2 Notes (together, the Class A Notes) rated AA (sf)
-- Class B Notes rated BBB (high) (sf)
-- Class C Notes rated BB (high) (sf)

The credit ratings on the Class A, Class B, and Class C Notes issued by Charles Street Conduit Asset Backed Securitisation 2 Limited address the timely payment of interest and the ultimate repayment of principal on or before the legal final maturity date.

East One 2024-1 PLC
-- Class B Notes rated AA (sf)
-- Class C Notes rated A (high) (sf)
-- Class D Notes rated A (low) (sf)
-- Class E Notes rated BBB (sf)
-- Class X Notes rated BB (high) (sf)

The credit ratings on the Class B, Class C, Class D, and Class E Notes issued by East One 2024-1 PLC address the ultimate payment of interest and principal on or before the legal final maturity date, and the timely payment of interest while they are the senior-most class of notes outstanding. The credit rating on the Class X Notes addresses the ultimate payment of interest and principal.

Together Asset Backed Securitisation 2021-CRE1 plc
-- Class B Notes rated AA (high) (sf)
-- Class C Notes rated AA (sf)
-- Class D Notes rated A (low) (sf)
-- Class E Notes rated BB (sf)

The credit ratings on the Class B, Class C, Class D, and Class E Notes issued by Together Asset Backed Securitisation 2021-CRE1 plc address the ultimate payment of interest and principal on or before the legal final maturity date, and the timely payment of interest while they are the senior-most class of notes outstanding.

Together Asset Backed Securitisation 2021-CRE2 plc
-- Class B Notes rated AA (sf)
-- Class C Notes rated AA (low) (sf)
-- Class D Notes rated BBB (low) (sf)
-- Class E Notes rated B (sf)

The credit ratings on the Class B, Class C, Class D, and Class E Notes issued by Together Asset Backed Securitisation 2021-CRE2 plc address the ultimate payment of interest and principal on or before the legal final maturity date, and the timely payment of interest while they are the senior-most class of notes outstanding.

Together Asset Backed Securitisation 2022-2ND1 plc
-- Class B rated AA (sf)
-- Class C rated A (high) (sf)
-- Class D rated BBB (high) (sf)
-- Class E rated BB (low) (sf)
-- Class F rated B (sf)

The credit ratings on the Class B, Class C, Class D, Class E, and Class F notes issued by Together Asset Backed Securitisation 2022-2ND1 plc address the ultimate payment of interest and principal on or before the legal final maturity date, and the timely payment of interest while they are the senior-most class of notes outstanding.

Together Asset Backed Securitisation 2022-CRE1 plc
-- Loan Note rated AA (sf)
-- Class B rated A (sf)
-- Class C rated BBB (sf)
-- Class D rated BB (sf)

The credit rating on the Loan Note issued by Together Asset Backed Securitisation 2022-CRE1 plc addresses the timely payment of interest and the ultimate repayment of principal on or before the legal final maturity date. The credit ratings on the Class B, Class C, and Class D notes address the ultimate payment of interest and principal on or before the legal final maturity date, and the timely payment of interest while they are the senior-most class of notes outstanding.

Together Asset Backed Securitisation 2023-CRE-1 plc
-- Class B Notes rated AA (high) (sf)
-- Class C Notes rated A (low) (sf)
-- Class D Notes rated BBB (sf)

The credit ratings on the Class B, Class C, and Class D Notes issued by Together Asset Backed Securitisation 2023-CRE-1 plc address the ultimate payment of interest and principal on or before the legal final maturity date, and the timely payment of interest while they are the senior-most class of notes outstanding.

Tower Bridge Funding 2021-2 plc
-- Class C rated AA (sf)
-- Class D rated A (sf)

The credit ratings on the Class C and Class D notes issued by Tower Bridge Funding 2021-2 plc address the ultimate payment of interest and principal on or before the legal final maturity date, and the timely payment of interest while they are the senior-most class of notes outstanding.

Morningstar DBRS also rates other classes of notes issued in each of these transactions at AAA (sf). These credit ratings were not placed Under Review.

KEY CREDIT RATING DRIVERS AND CONSIDERATIONS
On 16 August 2024, Morningstar DBRS finalised its updated “European RMBS Insight: UK Addendum” (the Methodology), which superseded the prior version published on 11 August 2023. The Methodology presents the criteria for which UK residential mortgage-backed securities (RMBS) credit ratings, and, where relevant, UK covered bonds credit ratings, are assigned and/or monitored.

The changes to the Methodology include revisions to the UK Loan Scoring Approach and Delinquency Migration Matrix based on an updated modelling sample, as well as updates to Morningstar DBRS’ house price indexation and market value decline rates to reflect data through the second quarter of 2023. For more details, see the following press release:
https://dbrs.morningstar.com/research/437991/morningstar-dbrs-publishes-final-european-rmbs-insight-uk-addendum.

The aforementioned tranches are considered to be potentially affected by the changes to the Methodology, and as a consequence, Morningstar DBRS placed the relevant credit ratings UR-Pos.

Morningstar DBRS’ credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions’ respective press releases at issuance.

Morningstar DBRS’ long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
Morningstar DBRS considers the help-to-buy (HTB) scheme applicable to a proportion of the portfolio in Tower Bridge Funding 2021-2 plc 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 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 the transaction.

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 Factors in Credit Ratings” at https://dbrs.morningstar.com/research/437781.

Morningstar DBRS analysed the transaction structures in Intex DealMaker.

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

The principal methodologies applicable to the credit ratings are “Master European Structured Finance Surveillance Methodology” (6 August 2024): https://dbrs.morningstar.com/research/437540, and “European RMBS Insight: UK Addendum” (16 August 2024): https://dbrs.morningstar.com/research/437988.

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

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

Morningstar DBRS is undertaking a review and will remove the credit ratings from this status as soon as it is appropriate.

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

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to “Appendix C: The Impact of Sovereign Credit Ratings on Other Morningstar DBRS Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://dbrs.morningstar.com/research/436000.

The sources of data and information used for these credit ratings include investor reports and loan-level data provided by the cash manager, trustee and/or servicer in each transaction.

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 Atlas Funding 2024-1 plc took place on 31 May 2024, when Morningstar DBRS finalised its provisional credit ratings on the Class A, Class B, Class C, Class D, Class E, and Class X Notes. The lead analyst responsibilities for this transaction have been transferred to Andrew Lynch.

The last credit rating action on Canterbury Finance 4 PLC took place on 18 December 2023, when Morningstar DBRS confirmed its credit rating on the Class A2 notes, and upgraded its credit ratings on the Class B, Class C, Class D, Class E, and Class F notes.

The last credit rating action on Castell 2022-1 PLC took place on 21 November 2023, when Morningstar DBRS confirmed its credit ratings on the Class A, Class A Loan, Class E, and Class F notes, and upgraded its credit ratings on the Class B, Class C, and Class D notes.

The last credit rating action on Charles Street Conduit Asset Backed Securitisation 2 Limited took place on 1 March 2024, when Morningstar DBRS confirmed its credit ratings on the Class A, Class B, and Class C Notes.

The last credit rating action on East One 2024-1 PLC took place on 16 April 2024, when Morningstar DBRS finalised its provisional credit ratings on the Class A, Class B, Class C, Class D, Class E, and Class X Notes.

The last credit rating action on Together Asset Backed Securitisation 2021-CRE1 plc took place on 15 March 2024, when Morningstar DBRS confirmed its credit rating on the Class A Notes, and upgraded its credit ratings on the Class B, Class C, Class D, and Class E Notes.

The last credit rating action on Together Asset Backed Securitisation 2021-CRE2 plc took place on 15 March 2024, when Morningstar DBRS confirmed its credit ratings on the Class A Loan Note, Class D and Class E Notes, and upgraded its credit ratings on the Class B and Class C Notes.

The last credit rating action on Together Asset Backed Securitisation 2022-2ND1 plc took place on 24 May 2024, when Morningstar DBRS confirmed its credit ratings on the Class A Loan Note, Class B, Class C, Class D, Class E, and Class F notes.

The last credit rating action on Together Asset Backed Securitisation 2022-CRE1 plc took place on 15 March 2024, when Morningstar DBRS confirmed its credit ratings on the Loan Note, Class B, Class C, and Class D notes.

The last credit rating action on Together Asset Backed Securitisation 2023-CRE-1 plc took place on 28 November 2023, when Morningstar DBRS finalised its provisional credit ratings on the Loan Note, Class A, Class B, Class C, and Class D Notes.

The last credit rating action on Tower Bridge Funding 2021-2 plc took place on 23 August 2023, when Morningstar DBRS confirmed its credit ratings on the Class A, Class C, and Class D notes, and upgraded its credit rating on the Class B notes. The lead analyst responsibilities for this transaction have been transferred to Petter Wettestad.

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

These credit ratings are under review. Generally, the conditions that lead to the assignment of reviews are resolved within a 90-day period. Further information on potential rating sensitivity as a result of this methodological change will be available when the under review statuses are resolved.

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.

Atlas Funding 2024-1 plc
Lead Analyst: Andrew Lynch, Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Date: 15 May 2024

Canterbury Finance 4 PLC
Lead Analyst: Andrew Lynch, Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Date: 6 July 2021

Castell 2022-1 PLC
Lead Analyst: Petter Wettestad, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Date: 11 July 2022

Charles Street Conduit Asset Backed Securitisation 2 Limited
Lead Analyst: Clare Wootton, Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Date: 8 March 2022

East One 2024-1 PLC
Lead Analyst: Clare Wootton, Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Date: 20 March 2024

Together Asset Backed Securitisation 2021-CRE1 plc
Lead Analyst: Natalia Coman, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Date: 19 February 2021

Together Asset Backed Securitisation 2021-CRE2 plc
Lead Analyst: Natalia Coman, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Date: 2 June 2021

Together Asset Backed Securitisation 2022-2ND1 plc
Lead Analyst: Natalia Coman, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Date: 19 May 2022

Together Asset Backed Securitisation 2022-CRE1 plc
Lead Analyst: Natalia Coman, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Date: 31 May 2022

Together Asset Backed Securitisation 2023-CRE-1 plc
Lead Analyst: Natalia Coman, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Date: 22 November 2023

Tower Bridge Funding 2021-2 plc
Lead Analyst: Petter Wettestad, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Date: 28 June 2021

DBRS Ratings Limited
1 Oliver’s Yard 55-71 City Road, 2nd Floor
London EC1Y 1HQ United Kingdom
Tel. +44 (0) 20 7855 6600
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 (6 August 2024),
https://dbrs.morningstar.com/research/437540
-- European RMBS Insight Methodology (25 March 2024) and European RMBS Insight Model v9.0.0.0,
https://dbrs.morningstar.com/research/430103
-- European RMBS Insight: UK Addendum (16 August 2024),
https://dbrs.morningstar.com/research/437988
-- Interest Rate Stresses for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435278
-- Legal Criteria for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435165
-- Operational Risk Assessment for European Structured Finance Servicers (6 August 2024),
https://dbrs.morningstar.com/research/437543
-- Operational Risk Assessment for European Structured Finance Originators (6 August 2024), https://dbrs.morningstar.com/research/437541
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024),
https://dbrs.morningstar.com/research/437781
-- Derivative Criteria for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435260

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 info-DBRS@morningstar.com.