Morningstar DBRS Assigned Provisional Credit Ratings to Together Asset Backed Securitisation 2025-CRE1 Plc

DBRS Ratings Limited (Morningstar DBRS) assigned provisional credit ratings on the bonds to be issued by Together Asset Backed Securitisation 2025-CRE1 Plc (the Issuer) as follows:

-- Class A Notes at (P) AAA (sf)
-- Loan Notes at (P) AAA (sf)
-- Class B Notes at (P) AA (sf)
-- Class C Notes at (P) A (low) (sf)
-- Class D Notes at (P) BBB (high) (sf)

The provisional credit ratings on the Class A Notes and Loan Notes (together, the Class A Debt) address the timely payment of interest and the ultimate repayment of principal on or before the final maturity date in January 2057. The provisional credit ratings on the Class B, Class C, and Class D Notes address the timely payment of interest once they are the senior-most class of notes outstanding and until then the ultimate payment of interest and the ultimate repayment of principal on or before the final maturity date.

Morningstar DBRS did not rate the Class X Notes, the Class Z Notes, or the residual certificates also expected to be issued in this transaction.

CREDIT RATING RATIONALE
The transaction represents the issuance of) mortgage-backed securities backed by small balance commercial assets originated by Together Commercial Financial Services Limited (TCFL), which is part of Together Financial Group (Together), a UK specialist provider of property finance. TCFL will service the portfolio, while BCMGlobal Mortgage Services Limited will act as the standby servicer.

This is the fifth public securitisation backed by small balance commercial assets from Together. The initial mortgage portfolio consists of GBP 522.2 million of first- and second-lien mortgage loans secured by owner-occupied (OO) (fully or partially) or non-OO commercial, mixed-use, and residential properties in the UK.

The provisional portfolio contains fixed-rate loans with a compulsory reversion to a floating rate in the future (48.2%), with the remaining 51.8% pay a floating rate linked to Together Commercial Managed Rate (TCMR). To hedge the interest rate mismatch arising from the fixed rate mortgage loans and the liabilities that pay a coupon linked to Sterling Overnight Index Average the Issuer will enter into two fixed-to-floating interest rate swaps. The swap providers to be appointed at closing will be HSBC Bank plc and NatWest Markets Plc. Furthermore, U.S. Bank Europe DAC, UK Branch shall act as the Issuer Account Bank, and National Westminster Bank Plc shall be appointed as the Collection Account Bank.

A liquidity facility (LF) will be available from closing to cover shortfalls on senior expenses and interest payments on the Class A Debt and - when most senior - the Class B Notes. The LF target will equal to 1.7% of the Class A Debt at closing and will then amortise at the higher of 1.7% of the outstanding Class A Debt and 1% of the outstanding Class B Notes. The target will be zero after the Class B Notes have redeemed in full.

After the step-up date a liquidity reserve fund (LRF) will be funded via both the principal and revenue waterfalls However, most of the funding is likely to come out of principal receipts since the funding of the LRF is more senior in the principal waterfall than it is in the revenue waterfall. Once the LRF starts to build up the LF will start to decrease so that the sum of the LF and LRF will always be at target, i.e., the higher of 1.7% of the outstanding Class A Debt and 1% of the outstanding Class B Notes.

The LRF will not be part of the available revenue funds in its entirety; however, it will be available to cover senior fees including the servicing fees, the swap payments, as well as the interest payments on the Class A Debt and - when most senior - the Class B Notes.

Principal borrowing will also be envisaged under the transaction documentation and will be used to cover for interest shortfalls on the senior-most class of notes outstanding, in priority to the LF and LRF draws.

Morningstar DBRS based its credit ratings on a review of the following analytical considerations:
-- The transaction's capital structure, including the form and sufficiency of available credit enhancement;
-- The credit quality of the mortgage portfolio and the ability of the servicer to perform collection and resolution activities. Morningstar DBRS estimated stress-level probability of default (PD), loss given default (LGD), and expected losses (EL) on the mortgage portfolio. Morningstar DBRS used the PD, LGD, and EL as inputs into the cash flow engine. Morningstar DBRS analysed the mortgage portfolio in accordance with its "European RMBS Insight Methodology";
-- The transaction's ability to withstand stressed cash flow assumptions and repay the Loan Notes and the Class A, Class B, Class C, and Class D Notes according to the terms of the transaction documents;
-- The structural mitigants in place to avoid potential payment disruptions caused by operational risk, such as a downgrade, and replacement language in the transaction documents;
-- Morningstar DBRS' sovereign credit rating on the United Kingdom of Great Britain and Northern Ireland of AA with a Stable trend as of the date of this press release; and
-- The expected consistency of the transaction's legal structure with Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology and the presence of legal opinions that are expected to address the assignment of the assets to the Issuer.

Morningstar DBRS' credit ratings on the rated notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Interest Amounts and the related Class Balances.

Morningstar DBRS' credit ratings on the rated notes also address the credit risk associated with the increased rate of interest applicable to each of the rated notes if the rated notes are not redeemed on the Optional Redemption Date (as defined in and) in accordance with the applicable transaction documents.

Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations.

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
There were no Environmental/Social/Governance factor(s) 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 (13 August, 2024) https://dbrs.morningstar.com/research/437781.

Morningstar DBRS analysed the transaction structure in Intex Dealmaker, considering the default rates at which the rated notes did not return all specified cash flows.

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

The principal methodology applicable to the credit ratings is: European RMBS Insight Methodology (28 February 2025), https://dbrs.morningstar.com/research/449129.

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

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

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 Together and its representatives. Morningstar DBRS received a loan-by-loan data tape as of 31 January 2025 as well as the following historical data sets:
-- Yearly vintage delinquencies, split by interest-only and repayment loans for one-month, two-month, and three-month and above arrears for the years 2014 to 2024,
-- Dynamic monthly data for one-month and three-month arrears from January 2014 to January 2025,
-- Dynamic monthly prepayments from January 2014 to January 2025, and
-- Yearly vintage repossessions for the years 2014 to 2024.

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

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.

A provisional credit rating is not a final credit rating with respect to the above-mentioned securities and may change or be different than the final credit rating assigned or may be discontinued. The assignment of final credit ratings on the above-mentioned securities is subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalise the credit ratings.

These credit ratings concern an expected-to-be issued new financial instrument. These are the first Morningstar DBRS credit ratings on this financial instrument.

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

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

-- In respect of the Class A Notes and Loan Notes, a PD of 24.7% and LGD of 33.7%, corresponding to the AAA (sf) credit rating scenario, was stressed assuming a 25% and 50% increase in the PD and LGD.
-- In respect of the Class B Notes, a PD of 21.7% and LGD of 28.2%, corresponding to the AA (sf) credit rating scenario, was stressed assuming a 25% and 50% increase in the PD and LGD.
-- In respect of the Class C Notes, a PD of 15.7% and LGD of 20.8%, corresponding to the A (low) (sf) credit rating scenario, was stressed assuming a 25% and 50% increase in the PD and LGD.
-- In respect of the Class D Notes, a PD of 13.5% and LGD of 18.8%, corresponding to the BBB (high) (sf) credit rating scenario, was stressed assuming a 25% and 50% increase in the PD and LGD.

Class A Notes and Loan Notes risk sensitivity:
-- 25% increase of the PD, ceteris paribus, would not lead to a downgrade.
-- 50% increase of the PD, ceteris paribus, would not lead to a downgrade.
-- 25% increase of the LGD, ceteris paribus, would not lead to a downgrade.
-- 50% increase of the LGD, ceteris paribus, would not lead to a downgrade.
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus, would not lead to a downgrade.
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to AA (high) (sf).
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to AA (high) (sf).
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to AA (sf).

Class B Notes risk sensitivity:
-- 25% increase of the PD, ceteris paribus, would lead to a downgrade to A (high) (sf).
-- 50% increase of the PD, ceteris paribus, would lead to a downgrade to A (low) (sf).
-- 25% increase of the LGD, ceteris paribus, would lead to a downgrade to A (high) (sf).
-- 50% increase of the LGD, ceteris paribus, would lead to a downgrade to A (sf).
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to A (low) (sf).
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (high) (sf).
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to A (low) (sf).
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (high) (sf).

Class C Notes risk sensitivity:
-- 25% increase of the PD, ceteris paribus, would lead to a downgrade to BBB (high) (sf).
-- 50% increase of the PD, ceteris paribus, would lead to a downgrade to BBB (low) (sf).
-- 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (high) (sf).
-- 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (high) (sf).
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (sf).
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (high) (sf).
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (low) (sf).
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (high) (sf).

Class D Notes risk sensitivity:
-- 25% increase of the PD, ceteris paribus, would lead to a downgrade to BB (high) (sf).
-- 50% increase of the PD, ceteris paribus, would lead to a downgrade to BB (high) (sf).
-- 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (low) (sf).
-- 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (low) (sf).
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (high) (sf).
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (high) (sf).
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (high) (sf).
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (high) (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: Lorenzo Coccioli, Vice President,
Credit Rating Committee Chair: Rehanna Sameja, Senior Vice President
Initial Credit Rating Date: 6 March 2025

DBRS Ratings Limited
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Tel. +44 (0) 20 7855 6600
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The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- European RMBS Insight Methodology (28 February 2025) https://dbrs.morningstar.com/research/449129 and European RMBS Insight Model v. 10.1.0.0.
-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024)
https://dbrs.morningstar.com/research/443196
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024)
https://dbrs.morningstar.com/research/439571
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024)
https://dbrs.morningstar.com/research/439913
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024)
https://dbrs.morningstar.com/research/437781

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.