Morningstar DBRS Assigns Provisional Credit Ratings to Asimi Funding 2025-1 PLC

DBRS Ratings Limited (Morningstar DBRS) assigned provisional credit ratings to the following classes of notes (collectively, the Rated Notes) to be issued by Asimi Funding 2025-1 PLC (the Issuer):

-- Class A Notes at (P) AAA (sf)
-- Class B Notes at (P) AA (low) (sf)
-- Class C Notes at (P) A (low) (sf)
-- Class D Notes at (P) BBB (low) (sf)
-- Class E Notes at (P) B (sf)
-- Class F Notes at (P) B (low) (sf)
-- Class X Notes at (P) CCC) (sf)

Morningstar DBRS does not rate the Class G Notes (together with the Rated Notes, the Notes) also expected to be issued in the transaction.

The credit ratings of the Class A and Class B Notes address the timely payment of scheduled interest and the ultimate repayment of principal by the final maturity date. The credit ratings of the Class C, Class D, Class E, Class F and Class X Notes address the ultimate payment of scheduled interest while the class is subordinate but the timely payment of scheduled interest when it is the most senior class, and the ultimate repayment of principal by the final maturity date.

The transaction is a securitisation of fixed-rate consumer loans granted by Plata Finance Limited (Plata or the seller) to private individuals residing in the United Kingdom. Plata is the initial servicer with Lenvi Servicing Limited (Lenvi) in place as the standby servicer for the transaction.

CREDIT RATING RATIONALE
Morningstar DBRS based its credit ratings on the following analytical considerations:
-- The transaction's structure, including the form and sufficiency of available credit enhancement to withstand stressed cash flow assumptions and repay the Issuer's financial obligations according to the terms under which the Rated Notes are issued
-- The credit quality and the diversification of the collateral portfolio, its historical performance, and the projected performance under various stress scenarios
-- Morningstar DBRS' operational risk review of Plata's capabilities regarding originations, underwriting, servicing, position in the market, and financial strength
-- The operational risk review of Lenvi regarding servicing
-- The transaction parties' financial strength relative to their respective roles
-- The expected consistency of the transaction's structure with Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology
-- Morningstar DBRS' long-term sovereign credit rating on the United Kingdom of Great Britain and Northern Ireland, currently AA with a Stable trend

TRANSACTION STRUCTURE
The transaction is static and allocates collections in separate interest and principal priorities of payments. The transaction benefits from two reserves initially funded with the Notes proceeds: (1) the Class A liquidity reserve fund equal to 2% of the outstanding Class A notes balance, subject to a floor of 1% of the initial Class A notes balance, which as part of interest available funds can be used to cover senior expenses, servicing fees, senior hedging payments, interest payments on the Class A Notes, and the Class A principal deficiency ledger (PDL) and (2) the general reserve fund equal to 1.5% of the outstanding Rated Notes balance (excluding the Class X Notes), subject to a floor of 1% of the initial Rated Notes balance (excluding the Class X Notes) minus the Class A liquidity reserve fund target amount, which as part of interest available funds can be used to cover senior expenses, servicing fee, senior hedging payments, and interest payments on the Rated Notes (excluding the Class X Notes).

In addition, there is a late delinquency loss reserve fund, which will be funded in the transaction interest waterfalls for loans 90 or more days past due that are not defaulted. If the interest collections and these three reserves are not sufficient, principal funds can also be reallocated to cover senior expenses, servicing fee, senior hedging payments, interest payments on the most senior class of Notes (excluding the Class X Notes), and related Class PDL.

Morningstar DBRS considers the interest rate risk for the transaction to be somewhat limited as an interest rate swap is in place to reduce the mismatch between the fixed-rate collateral and the floating-rate Notes. However, only around 66% of the portfolio at closing is expected to be hedged with a predefined notional amount. Under the terms of the swap agreement, the Issuer pays a gradually increasing swap rate over time, which further compress excess spread during the later stages of the transaction.

TRANSACTION COUNTERPARTIES
Barclays Bank PLC (Barclays) is both the account bank and hedge provider for the transaction. Morningstar DBRS has a Long-Term Issuer Rating of "A" on Barclays, which meets the Morningstar DBRS criteria to act in these capacities.

The transaction documents contain downgrade provisions consistent with Morningstar DBRS' criteria.

PORTFOLIO ASSUMPTIONS
As the performance data of Plata's loans is limited, another proxy dataset was provided to Morningstar DBRS for analysis. This dataset consists of more seasoned loans originated by a related entity, Bamboo Limited (Bamboo), under similar underwriting criteria but with higher annual percentage rates (APRs) than those of Plata loans. Considering the available historical data and benchmarking of comparable European unsecured consumer loan portfolios, Morningstar DBRS established a lifetime expected default of 14%. Similarly, Morningstar DBRS set the expected recovery at 15% or a loss given default (LGD) of 85%, comparable with other UK consumer loan portfolios.

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 are the related Interest Amounts and the Class Balances.

Morningstar DBRS' credit ratings do not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) 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, or Governance (ESG) 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 (13 August 2024), https://dbrs.morningstar.com/research/437781.

Morningstar DBRS analysed the transaction structure in Intex Dealmaker.

Notes:

All figures are in British pound sterling unless otherwise noted.

The principal methodology applicable to the credit ratings is Rating European Consumer and Commercial Asset-Backed Securitisations (18 September 2024), https://dbrs.morningstar.com/research/439583.

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.

An asset and a cash flow analysis were both conducted.

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 were provided through the arranger, Barclays, as follows:
-- Quarterly static cumulative gross defaults from Q1 2017 to Q4 2024 for Bamboo and Q3 2022 to Q4 2024 for Plata
-- Quarterly static cumulative recoveries from Q3 2017 to Q4 2024 for Bamboo, and from Q2 2023 to Q4 2024 for Plata
-- Quarterly static delinquencies of more than 30 days and more than 60 days past due from Q4 2017 to Q4 2024 for Bamboo and from Q3 2022 to Q4 2024 for Plata
-- Monthly dynamic delinquencies from January 2017 to December 2024 for Bamboo and from July 2022 to December 2024 for Plata
-- Monthly dynamic prepayments from June 2017 to December 2024 for Bamboo and from August 2022 to December 2024 for Plata
-- Loan-by-loan data, stratification tables, and contractual amortisation profile in relation to the collateral pool as of 20 March 2025

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.

These credit ratings involve a receivables portfolio with limited historical performance data, as the underlying loans have only been originated since July 2022. The relatively short operating history, especially when compared with the maximum loan term of five years, presented a significant challenge in projecting lifetime cumulative defaults. As a result, Morningstar DBRS focused on the delinquency analysis and performance benchmarking against comparable European unsecured consumer loan portfolios, including specific sub-segments with similar risk-based pricing and APR ranges.

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 the final credit ratings on the above-mentioned securities are 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 expected-to-be-issued new financial instruments. These are the first Morningstar DBRS credit ratings on these financial instruments.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on https://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 ratings:

-- Expected default of 14%
-- Expected LGD of 85%

Scenario 1: A 25% increase in the expected default
Scenario 2: A 50% increase in the expected default
Scenario 3: A 25% increase in the expected LGD
Scenario 4: A 25% increase in the expected default and a 25% increase in the expected LGD
Scenario 5: A 50% increase in the expected default and a 25% increase in the expected LGD
Scenario 6: A 50% increase in the expected LGD
Scenario 7: A 25% increase in the expected default and a 50% increase in the expected LGD
Scenario 8: A 50% increase in the expected default and a 50% increase in the expected LGD

Morningstar DBRS concludes that the expected credit ratings under the five stress scenarios are as follows:
-- Class A Notes: AA (low) (sf), A (low) (sf), AA (sf), A (sf), BBB (sf)
-- Class B Notes: A (low) (sf), BBB (low) (sf), A (high) (sf), BBB (sf), BB (sf)
-- Class C Notes: BBB (low) (sf), BB (low) (sf), BBB (sf), BB (low) (sf), B (high) (sf)
-- Class D Notes: B (high) (sf), B (sf), BB (low) (sf), B (sf), B (low) (sf)
-- Class E Notes: below B (low) (sf), below B (low) (sf), B (low) (sf), below B (low) (sf), below B (low) (sf)
-- Class F Notes: below B (low) (sf) for all scenarios

Morningstar DBRS did not conduct sensitivity analysis on the Class X Notes.

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: Jeffrey Cespon, Vice President
Rating Committee Chair: Paolo Conti, Associate Managing Director
Initial Rating Date: 31 March 2025

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.

-- Rating European Consumer and Commercial Asset-Backed Securitisations (18 September 2024), https://dbrs.morningstar.com/research/439583
-- Rating European Structured Finance Transactions Methodology (19 November 2024),
https://dbrs.morningstar.com/research/443199
-- 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.