Morningstar DBRS Upgrades and Confirms Credit Ratings on Elvet Mortgages 2021-1 plc and Elvet Mortgages 2023-1 plc

DBRS Ratings Limited (Morningstar DBRS) took the following credit rating actions on the notes (the rated notes) issued by Elvet Mortgages 2021-1 plc (Elvet 2021) and Elvet Mortgages 2023-1 plc (Elvet 2023) (together, the Issuers):

Elvet 2021
-- Class A confirmed at AAA (sf)
-- Class B confirmed at AAA (sf)
-- Class C confirmed at AAA (sf)
-- Class D upgraded to AAA (sf) from AA (high) (sf)
-- Class E upgraded to AA (high) (sf) from AA (low) (sf)

Elvet 2023
-- Class A confirmed at AAA (sf)
-- Class B confirmed at AAA (sf)
-- Class C upgraded to AA (low) (sf) from A (high) (sf)
-- Class D upgraded to A (sf) from BBB (high) (sf)
-- Class E upgraded to A (low) (sf) from BB (high) (sf)

With respect to Elvet 2021, the ratings on the Class A, Class B, Class C, and Class D notes address the timely payment of interest and ultimate repayment of principal by the Legal Final Maturity Date. The rating on the Class E notes addresses the ultimate payment of interest and principal on or before the legal final maturity date while junior, and timely payment of interest while the senior-most class outstanding.

With respect to Elvet 2023, the rating on the Class A notes addresses the timely payment of interest and ultimate repayment 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 on or before the legal final maturity date while junior, and 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.

CREDIT RATING RATIONALE
The upgrades and confirmations follow an annual review of the transactions and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the July 2024 payment date (Elvet 2021) and August 2024 payment date (Elvet 2023).
-- Probability of default (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables.
-- Current available credit enhancement to the notes to cover the expected losses at their respective credit rating levels.

Each transaction is a securitisation of first-lien owner-occupied residential mortgages originated and serviced by Atom Bank plc (Atom Bank), secured by residential properties located in the United Kingdom.

PORTFOLIO PERFORMANCE
With respect to Elvet 2021, as of 30 June 2024, loans two to three months in arrears represented 0.0% of the outstanding portfolio balance, unchanged from one year prior. Loans more than three months in arrears represented 0.2%, up from 0.1% a year prior. The cumulative default ratio was 0.0%.

With respect to Elvet 2023, as of 31 July 2024, loans two to three months in arrears represented 0.01% of the outstanding portfolio balance, up from 0.0% one year prior. Loans more than three months in arrears represented 0.0%, unchanged from one year prior. The cumulative default ratio was 0.0%.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables in each transaction and has updated its base case PD and LGD assumptions at the B (sf) credit rating level to the following:
-- Elvet 2021: Base case PD of 1.3% and a base case LGD of 5.3%;
-- Elvet 2023: Base case PD of 1.4% and a base case LGD of 10.6%.

CREDIT ENHANCEMENT AND RESERVES
Credit enhancement to the rated notes is provided by the subordination of the junior notes and a general reserve fund. As of the July 2024 payment date (Elvet 2021) and August 2024 payment date (Elvet 2023), credit enhancement to the rated notes had increased from the Morningstar DBRS Initial Ratings as follows:

Elvet 2021
-- Class A notes: 40.3%, up from 9.8%;
-- Class B notes: 28.3%, up from 6.5%;
-- Class C notes: 18.1%, up from 3.8%;
-- Class D notes: 10.7%, up from 1.8%; and
-- Class E notes: 8.0%, up from 1.0%.

Elvet 2023
-- Class A notes: 12.6%, up from 11.0%;
-- Class B notes: 8.9%, up from 7.8%;
-- Class C notes: 6.1%, up from 5.3%;
-- Class D notes: 5%, up from 4.3%; and
-- Class E notes: 3.6%, up from 3.0%.

Each transaction benefits from a liquidity reserve fund (LRF) that is funded to 1.5% of the outstanding portfolio balance, which is available to cover shortfalls in senior fees and interest payments on the Class A and Class B notes. The LRF in each transaction is at its target level of GBP 1.5 million (Elvet 2021) and GBP 6.5 million (Elvet 2023).

The transaction also benefits from a general reserve fund (GRF) funded to 1.5% of the initial portfolio balance minus the LRF target amount. The GRF is available to cover shortfalls in senior fees and interest payments on the Class A to Class E notes, as well as principal losses on the Class A to Class E notes via the principal deficiency ledgers. The GRF in each transaction is at its target level of GBP 4.0 million (Elvet 2021) and GBP 0.8 million (Elvet 2023).

Citibank N.A./London Branch (Citibank) acts as the account bank for both transactions, with Elavon Financial Services DAC, UK Branch (Elavon) and BNP Paribas London Branch (BNPP) acting as additional account banks for Elvet 2021 and Elvet 2023, respectively. Based on the Morningstar DBRS private credit ratings of Citibank, Elavon, and BNPP, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account banks to be consistent with the credit ratings assigned to the notes, as described in Morningstar DBRS's "Legal Criteria for European Structured Finance Transactions" methodology.

NatWest Markets Plc acts as the swap counterparty for both transactions. Morningstar DBRS's public Long-Term Critical Obligations Rating of NatWest Markets Plc at AA is consistent with the First Rating Threshold as described in Morningstar DBRS's "Derivative Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS's 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's 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
There were no Environmental/Social/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 methodology applicable to the credit ratings is: "Master European Structured Finance Surveillance Methodology" (6 August 2024) https://dbrs.morningstar.com/research/437540.

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

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

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

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 provided by Citibank N.A./London Branch and loan-level data provided by EuroABS.

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 Elvet 2021 took place on 11 December 2023 when Morningstar DBRS confirmed its AAA (sf) credit ratings on the Class A and Class B Notes, and upgraded its credit ratings on the Class C, Class D, and Class E Notes to AAA (sf), AA (high) (sf), and AA (low) (sf), respectively.

The last credit rating action on Elvet 2023 took place on 3 November 2023 when Morningstar DBRS finalised its provisional credit ratings of AAA (sf), AAA (sf), A (high) (sf), BBB (high) (sf), and BB (high) (sf) on the Class A, Class B, Class C, Class D, and Class E Notes, respectively.

The lead analyst responsibilities for Elvet 2023 have been transferred to Clare Wootton.

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

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit rating, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit rating (the base case):

-- Morningstar DBRS expected a lifetime base case PD and LGD for each pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The base case PD and LGD of the current pool of loans for each Issuer at the B (sf) credit rating level are:
-- Elvet 2021: Base case PD of 1.3% and a base case LGD of 5.3%;
-- Elvet 2023: Base case PD of 1.4% and a base case LGD of 10.6%.

-- The risk sensitivity overview below illustrates the credit ratings expected if the PD and LGD increase by a certain percentage over the base case assumption.

Elvet 2021 Sensitivity Analysis
Class A Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

Class B Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

Class C Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

Class D Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (sf)

Class E Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD, expected credit rating of AA (high) (sf)
-- 50% increase in PD, expected credit rating of AA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A (high) (sf)

Elvet 2023 Sensitivity Analysis
Class A Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (high)) (sf)

Class B Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in LGD, expected credit rating of AA (sf)
-- 25% increase in PD, expected credit rating of AA (sf)
-- 50% increase in PD, expected credit rating of AA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (low) (sf)

Class C Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (low) (sf)
-- 50% increase in LGD, expected credit rating of AA (low) (sf)
-- 25% increase in PD, expected credit rating of AA (low) (sf)
-- 50% increase in PD, expected credit rating of AA (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of A (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A (low) (sf)

Class D Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in LGD, expected credit rating of A (high) (sf)
-- 25% increase in PD, expected credit rating of A (high) (sf)
-- 50% increase in PD, expected credit rating of A (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of A (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of A (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BBB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BBB (high) (sf)

Class E Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of A (low) (sf)
-- 50% increase in LGD, expected credit rating of BBB (high) (sf)
-- 25% increase in PD, expected credit rating of BBB (high) (sf)
-- 50% increase in PD, expected credit rating of BBB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of BBB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BBB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BBB (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BBB (low) (sf)

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: Clare Wootton, Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Date: 4 October 2021 (Elvet 2021); 23 October 2023 (Elvet 2023)

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.

-- Legal Criteria for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435165/.
-- Master European Structured Finance Surveillance Methodology (6 August 2024),
https://dbrs.morningstar.com/research/437540/.
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (13 August 2024),
https://dbrs.morningstar.com/research/437781/.
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024),
https://dbrs.morningstar.com/research/439571/.
-- European RMBS Insight Methodology (18 September 2024)
https://dbrs.morningstar.com/research/439573/.
-- European RMBS Insight: U.K. Addendum (16 August 2024) and European RMBS Insight Model v 10.0.0.0,
https://dbrs.morningstar.com/research/437988/.
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024),
https://dbrs.morningstar.com/research/439913.
-- Derivative Criteria for European Structured Finance Transactions (6 September 2024) https://dbrs.morningstar.com/research/439043/

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/439604.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.