Class A1/Class A2 Notes (collectively, the Class A Notes) at AA (sf)
Class
Class
The ratings on the Class A, Class B, and Class
The confirmations follow an annual review of the transaction and are based on the following analytical considerations:
Portfolio performance, in terms of delinquencies, defaults, and losses, as of the
Probability of default (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables.
Current available credit enhancement to the rated notes to cover the expected losses at their respective rating levels.
No early termination events have occurred.
The transaction is a revolving warehouse securitisation of
Until the initial maturity date falling in
PORTFOLIO PERFORMANCE
As of the
PORTFOLIO ASSUMPTIONS AND
DBRS Morningstar conducted a loan-level analysis of the receivables based on the worst-case portfolio composition given the transaction revolving period. DBRS Morningstar assumes a base case PD and LGD at the B (sf) rating level of 10.0% and 11.4%, respectively. The assumptions continue to be based on the worst-case portfolio composition outlined in the portfolio covenants.
CREDIT ENHANCEMENT
Subordination to the notes increases with changes in the advance rate or decreases to a floor determined by the Advance Rate Caps. The Class A, Class B, and Class
A co-mingling reserve is in place to cover shortfalls in senior fees, swap payments, and Class A interest. The target amount is 1.5% of the outstanding balance of the notes and is replenished through principal collections prior to the initial maturity date. The reserve is currently funded to its target balance of
DBRS Morningstar analysed the transaction structure in Intex DealMaker.
ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant impact on the credit analysis.
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the 'DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings' at https://www.dbrsmorningstar.com/research/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings>.
Notes:
All figures are in British pound sterling unless otherwise noted.
The principal methodology applicable to the ratings is the 'Master European Structured Finance Surveillance Methodology' (
Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at: https://www.dbrsmorningstar.com/about/methodologies>.
DBRS Morningstar 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. Due to the inclusion of a revolving period in the transaction, the analysis considers potential portfolio migration based on the replenishment criteria set forth in the transaction legal documents.
A review of the transaction legal documents was conducted following amendments to the hedging agreement in
For a more detailed discussion of the sovereign risk impact on Structured Finance 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://www.dbrsmorningstar.com/research/401817/global-methodology-for-rating-sovereign-governments>.
The DBRS
The sources of data and information used for these ratings include investor reports and loan-level data provided by Together.
DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.
At the time of the initial ratings, DBRS Morningstar was supplied with third-party assessments. However, this did not impact the rating analysis.
DBRS Morningstar considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.
DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the rating process.
This is the first rating action since the initial rating date.
Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies is available at www.dbrsmorningstar.com.
Sensitivity Analysis: To assess the impact of changing the transaction parameters on the ratings, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the ratings (the Base Case):
DBRS Morningstar expected a lifetime base case PD and LGD for the 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 the Issuer at the B (sf) rating level are 10.0% and 11.4%, respectively.
The risk sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating of the Class A Notes would be expected to fall to AA (low) (sf), assuming no change in the PD. If the PD increases by 50%, the rating of the Class A Notes would be expected to fall to AA (low) (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to fall to A (low) (sf).
Class A Notes Risk Sensitivity:
25% increase in LGD, expected rating of AA (sf)
50% increase in LGD, expected rating of AA (low) (sf)
25% increase in PD, expected rating of AA (sf)
50% increase in PD, expected rating of AA (low) (sf)
25% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf)
25% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)
50% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
50% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)
Class B Notes Risk Sensitivity:
25% increase in LGD, expected rating of BBB (high) (sf)
50% increase in LGD, expected rating of BBB (high) (sf)
25% increase in PD, expected rating of BBB (high) (sf)
50% increase in PD, expected rating of BB (high) (sf)
25% increase in PD and 25% increase in LGD, expected rating of BBB (sf)
25% increase in PD and 50% increase in LGD, expected rating of BBB (low) (sf)
50% increase in PD and 25% increase in LGD, expected rating of BB (high) (sf)
50% increase in PD and 50% increase in LGD, expected rating of BB (high) (sf)
Class
25% increase in LGD, expected rating of BB (high) (sf)
50% increase in LGD, expected rating of BB (high) (sf)
25% increase in PD, expected rating of BB (high) (sf)
50% increase in PD, expected rating of BB (sf)
25% increase in PD and 25% increase in LGD, expected rating of BB (high) (sf)
25% increase in PD and 50% increase in LGD, expected rating of BB (high) (sf)
50% increase in PD and 25% increase in LGD, expected rating of BB (sf)
50% increase in PD and 50% increase in LGD, expected rating of BB (low) (sf)
For further information on DBRS Morningstar historical default rates published by the
These ratings are endorsed by
Lead Analyst:
Rating Committee Chair:
Initial Rating Date:
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