Morningstar DBRS Downgrades and Discontinues Credit Ratings on Elizabeth Finance 2018 DAC

DBRS Ratings Limited (Morningstar DBRS) downgraded the bonds issued by Elizabeth Finance 2018 DAC as follows:
-- Class A Notes to D (sf) from C (sf) with outstanding amount of GBP 6,317,923
-- Class B Notes to D (sf) from C (sf) with outstanding amount of GBP 8,017,191
-- Class C Notes to D (sf) from C (sf) with outstanding amount of GBP 7,454,453
-- Class D Notes to D (sf) from C (sf) with outstanding amount of GBP 10,721,257
-- Class E Notes to D (sf) from C (sf) with outstanding amount of GBP 3,059,980

Following these downgrades, Morningstar DBRS subsequently discontinued and withdrew its credit ratings on all classes of notes.

CREDIT RATING RATIONALE
The downgrades were due to a loss as detailed in the aforementioned outstanding amount for each class of the notes as reflected in the last investor reporting dated 22 April 2025. The notes-level loss was in line with Morningstar DBRS' expectation of full write-off of the outstanding balance of the Class B to Class E Notes and a partial loss on the Class A Notes at the last review in June 2024.

Furthermore, the Regulatory Information Services notice published on 20 May 2025 disclosed that a final recovery determination was made in respect of the Maroon loans, and no further amounts are expected except for any final liquidation proceeds resulting from the liquidation of the obligors. However, such final liquidation proceeds are only expected at the end of 2026, and it is anticipated that transaction running costs would exceed the amounts of any such proceeds. Therefore, Morningstar DBRS discontinued and withdrew the credit ratings on all classes of notes.

This concludes Morningstar DBRS' surveillance of this transaction.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

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 at https://dbrs.morningstar.com/research/454196.

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

The principal methodology applicable to the credit ratings is: European CMBS Rating and Surveillance Methodology (4 March 2025), https://dbrs.morningstar.com/research/449278.

In Morningstar DBRS' opinion, a withdrawn credit rating action does not warrant the application of the entire principal methodology.

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 surveillance section of the principal methodology.

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

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 quarterly reporting by Mount Street Mortgage Servicing and US Trust Bank, and regulatory news service published on Euronext.

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

At the time of the initial credit ratings, Morningstar DBRS was not 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.

The last credit rating action on this transaction took place on 20 June 2024, when Morningstar DBRS downgraded the Class A, Class B, Class C, and Class D Notes to C (sf), confirmed the Class E Notes at C (sf), and removed all trends.

The lead analyst responsibilities for this transaction have been transferred to Clare Wootton.

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

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: Clare Wootton, Vice President
Rating Committee Chair: David Lautier, Senior Vice President
Initial Rating Date: 20 August 2018

DBRS Ratings Limited
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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 CMBS Rating and Surveillance Methodology (4 March 2025)
https://dbrs.morningstar.com/research/449278
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024)
https://dbrs.morningstar.com/research/439913
-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024)
https://dbrs.morningstar.com/research/443196
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (16 May 2025)
https://dbrs.morningstar.com/research/454196

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.