Press Release

DBRS Morningstar Discontinues Ratings on Nightingale Securities 2017-1 Limited

Structured Credit

October 25, 2022

DBRS Ratings Limited (DBRS Morningstar) discontinued the following provisional ratings on the Tranche C, Tranche D, Tranche E, Tranche F, Tranche G, Tranche H, Tranche I, Tranche J, Tranche K, and Tranche L of the unexecuted, unfunded financial guarantee regarding Nightingale Securities 2017-1 Limited’s (the Issuer) portfolio upon the Issuer’s request.

Tranche A and Tranche B reduced to zero at the 31 March 2022 and at the 30 June 2022 portfolio cut-off dates, respectively. Prior their full amortisation, the ratings on these tranches were AAA (sf).

The ratings on the remaining 10 tranches and their outstanding balances as of the 30 June 2022 portfolio cut-off date were as follows:
-- GBP 19,920,678 Tranche C at AA (high) (sf)
-- GBP 60,794,000 Tranche D at AA (high) (sf)
-- GBP 133,369,000 Tranche E at AA (sf)
-- GBP 32,989,000 Tranche F at AA (sf)
-- GBP 78,702,000 Tranche G at AA (sf)
-- GBP 210,186,000 Tranche H at AA (sf)
-- GBP 33,931,000 Tranche I at AA (sf)
-- GBP 44,771,000 Tranche J at AA (sf)
-- GBP 139,967,000 Tranche K at AA (low) (sf)
-- GBP 21,206,000 Tranche L at AA (low) (sf)

The transaction is a synthetic balance sheet collateralised loan obligation structured in the form of a financial guarantee. The tranches are collateralised by a portfolio of term loans to small and medium-size enterprises and loans backed by income-producing real estate, comprising either commercial or residential properties, granted to borrowers in the United Kingdom and originated by National Westminster Bank plc (NatWest). The rated tranches were unfunded and the senior guarantee remained unexecuted since DBRS Morningstar’s initial rating.

Please refer to https://www.dbrsmorningstar.com/issuers/22859 for more information.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect 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 (17 May 2022).

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

The principal methodology applicable to the ratings is: “Rating CLOs Backed by Loans to European SMEs” (10 June 2022).

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.

In DBRS Morningstar’s opinion, discontinued-repaid and discontinued-withdrawn rating actions do not warrant the application of the entire principal methodology.

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 Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The sources of data and information used for these ratings include reference registry reports and investor reports provided by NatWest.

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 not 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.

The last rating action on this transaction took place on 12 November 2021, when DBRS Morningstar confirmed its provisional ratings on Tranche A, Tranche B, Tranche C, Tranche D, Tranche E, and Tranche F, and Tranche G at AAA (sf), AAA (sf), AA (high) (sf), AA (high) (sf), AA (sf), AA (sf), and AA (sf), respectively, and upgraded its provisional ratings on Tranche H, Tranche I, and Tranche J to AA (sf) from A (high) (sf), A (sf), and A (low) (sf), respectively, as well as its provisional ratings on Tranche K and Tranche L to AA (low) (sf) from BBB (low) (sf) in both cases, respectively.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available on www.dbrsmorningstar.com.

As these are discontinue-repaid and discontinued-withdrawn rating actions, sensitivity analysis is not applicable.

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml. DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage: https://www.fca.org.uk/firms/credit-rating-agencies.

These ratings are endorsed by DBRS Ratings GmbH for use in the European Union.

Lead Analyst: Natalia Coman, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 15 November 2017

DBRS Ratings Limited
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London EC3M 3BY United Kingdom
Tel. +44 (0) 20 7855 6600
Registered and incorporated under the laws of England and Wales: Company No. 7139960

The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://www.dbrsmorningstar.com/research/278375.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.

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