Press Release

DBRS Morningstar Discontinues Credit Ratings on E-CARAT 11 plc

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December 18, 2023

DBRS Ratings Limited (DBRS Morningstar) discontinued its credit ratings on the Class A, Class B, Class C, Class D, Class E, Class F and Class G notes (together, the Notes) issued by E-CARAT 11 plc (the Issuer).

The discontinuations reflect the full repayment of the Notes on the 20 November 2023 payment date following the exercise of the call option by the Issuer. Prior to their repayment in full, the credit ratings and the outstanding principal balances of the Notes were as follows:

-- Class A Notes rated AAA (sf); GBP 33,235,904.59
-- Class B Notes rated AA (sf); GBP 3,220,087.62
-- Class C Notes rated A (sf); GBP 2,300,062.59
-- Class D Notes rated BBB (high) (sf); GBP 1,840,050.07
-- Class E Notes rated BB (high) (sf); GBP 1,495,040.67
-- Class F Notes rated BB (sf); GBP 805,021.93
-- Class G Notes rated B (sf); GBP 805,021.93

Please refer to https://www.dbrsmorningstar.com/issuers/24768 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/416784/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 credit ratings is: “Master European Structured Finance Surveillance Methodology” (11 December 2023), https://www.dbrsmorningstar.com/research/425148/master-european-structured-finance-surveillance-methodology.

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

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

In DBRS Morningstar’s opinion, a discontinued-repaid credit rating action does not warrant the application of the entire principal methodology, as the bonds have been repaid in full.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit 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/421590.

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.

The sources of data and information used for these credit ratings include investor reports provided by Vauxhall Finance plc.

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

At the time of the initial credit ratings, DBRS Morningstar was supplied with third-party assessments. However, this did not impact the credit rating analysis.

DBRS Morningstar considers the data and information available to it for the purposes of providing these credit ratings to be of satisfactory quality.

DBRS Morningstar 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 this transaction took place on 3 February 2023, when DBRS Morningstar confirmed its credit ratings on the Class A, Class B, Class C, Class D, Class E, and Class F notes at AAA (sf), AA (sf), A (sf), BBB (high) (sf), BB (high) (sf), BB (sf), and B (sf), respectively.

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

As this is a discontinued-repaid credit rating action, a 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://registers.esma.europa.eu/cerep-publication. For further information on DBRS Morningstar 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: Natalia Coman, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 24 February 2020

DBRS Ratings Limited
1 Oliver’s Yard 55-71 City Road, 2nd Floor,
London EC1Y 1HQ United Kingdom
Tel. +44 (0) 20 7855 6600
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://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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