Summerhill Residential 2021-1 DAC

Presale:

Summerhill Residential 2021-1 DACJune 22, 2021

Preliminary Ratings

ClassPrelim.rating*

Classsize (%)

Credit enhancement(%)§ Interest

Step-upmargin Step-up date

Legal finalmaturity

A AAA (sf) 62.50 38.79 1ME + amargin

1ME + amargin

June 2024 March 2059

B-Dfrd AA (sf) 7.75 30.95 1ME + amargin

1ME + amargin


C-Dfrd A (sf) 6.25 24.63 1ME + amargin

1ME + amargin


D-Dfrd BBB (sf) 5.00 19.57 1ME + amargin

1ME + amargin

June2024 March 2059

E-Dfrd BB (sf) 3.00 16.54 1ME + amargin

1ME + amargin


F-Dfrd B (sf) 1.50 15.02 1ME + amargin

1ME + amargin


G-Dfrd B- (sf) 1.50 13.50 1ME + amargin

1ME + amargin


Z NR 12.50 N/A Fixed rate N/A N/A March 2059

R NR 2.31 N/A Fixed rate N/A N/A March 2059

X1 NR N/A N/A N/A N/A N/A March 2059

X2 NR N/A N/A N/A N/A N/A March 2059

Note: This presale report is based on information as of June 22, 2021. The ratings shown are preliminary. Subsequent information may result inthe assignment of final ratings that differ from the preliminary ratings. We expect to assign final credit ratings on the closing date subject to asatisfactory review of the transaction documents and legal opinions. Accordingly, the preliminary ratings should not be construed as evidenceof final ratings. This report does not constitute a recommendation to buy, hold, or sell securities. *Our ratings address timely receipt ofinterest and ultimate repayment of principal on the class A notes and the ultimate payment of interest and principal on the other rated notes.§Credit enhancement is calculated based on subordination and a reserve fund, excluding write-off loans. 1ME--One-month EURIBOR.Dfrd--Deferrable. NR--Not rated. N/A--Not applicable.

Presale:

Summerhill Residential 2021-1 DACJune 22, 2021

PRIMARY CREDIT ANALYST

Fabio Alderotti

Madrid

+ 34 91 788 7214

[email protected]

SECONDARY CONTACT

Maxime Pontois

Paris

(33) 1-4075-2538

[email protected]

www.standardandpoors.com June 22, 2021 1

© S&P Global Ratings. All rights reserved. No reprint or dissemination without S&P Global Ratings' permission. See Terms of Use/Disclaimeron the last page.

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mailto: [email protected]




Overview

- S&P Global Ratings has assigned preliminary ratings to Summerhill Residential 2021-1DAC's class A to G-Dfrd Irish RMBS notes. At closing, the transaction will also issueunrated class Z, R, X1, and X2 notes.

- Summerhill Residential 2021-1 is a static RMBS transaction that securitizes a €299million portfolio of performing and reperforming owner-occupied and buy-to-letmortgage loans secured over residential properties in Ireland.

- The preliminary portfolio cutoff date is as of May 31, 2021, however for our creditanalysis we have used the portfolio as of end of April 2021.

- The securitization comprises a purchased portfolio, which was previously securitized inShamrock Residential 2019-1 DAC. Irish Nationwide Building Society, Bank of ScotlandPLC, Bank of Scotland (Ireland) Ltd., Nua Mortgages Ltd., and Start Mortgages DACoriginated the loans.

- Our rating on the class A notes addresses the timely payment of interest and theultimate payment of principal. Our ratings on the class B-Dfrd to G-Dfrd notes addressthe ultimate payment of interest and principal. The timely payment of interest on theclass A notes is supported by the liquidity reserve fund, which will be fully funded atclosing to its required level of 0.50% of the class A notes' balance. Furthermore, thetransaction benefits from the ability to use principal to cover certain senior items.

- Pepper Finance Corporation (Ireland) DAC and Start Mortgages DAC, the administrators,are responsible for the day-to-day servicing. In addition, the issuer administrationconsultant, Hudson Advisors Ireland Ltd., helps devise the mandate for special servicing,which Start Mortgages and Pepper Finance are implementing.

- At closing, the issuer will use the issuance proceeds to purchase the beneficial interestin the mortgage loans from the seller. The issuer grants security over all its assets infavor of the security trustee. We consider the issuer to be bankruptcy remote under ourlegal criteria.

- There are no rating constraints in the transaction under our structured financeoperational, sovereign, and counterparty risk criteria.

Transaction Key Features*

Expected closing date June 2021

Note payment frequency Monthly

Collateral Performing and reperforming first-lien Irish owner-occupied mortgage loansand buy-to-let mortgages

Sources of credit enhancement Initial subordination and non-liquidity reserve fund ledger

Outstanding principal of the provisionalpool

€299.9 (excluding for the purpose of our analysis €3.3 million of loans subject tofuture write-off)

Country of origination Ireland

Concentration Dublin: 34.8%



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Presale: Summerhill Residential 2021-1 DAC

Transaction Key Features* (cont.)

Property occupancy 93.1% owner-occupied, 6.9% buy-to-let

Deferral Class B-Dfrd to G-Dfrd notes

Weighted-average original LTV ratio§ 74.7%

Weighted-average current LTV ratio§ 83.1%

Weighted-average seasoning 184 months

Arrears greater than or equal to onemonth§

21%

Reperforming loans 57.6%

Ever in COVID-19 moratorium 21.7%

Asset redemption profile 70.9% repayment and 29.1% interest-only

Liability redemption profile Fully sequential

Reserve fund at closing 2.00%

*Data is based on a provisional pool as of April 30, 2021. §Calculations are according to S&P Global Ratings' methodology. LTV--Loan-to-value.

The Credit Story

Strengths Concerns and mitigating factors

The capital structure provides 38.79% of availablecredit enhancement for the class A notes throughsubordination and a reserve fund.

Over half of the borrowers (76.7%) have had their loans restructuredin the past. In a stressed economic environment, there is increasedprobability of these borrowers going back into arrears. We haveconsidered this risk in our analysis and increased ourweighted-average foreclosure frequency (WAFF) assumptions via ourreperforming adjustment. In our analysis, we have applied ourreperforming adjustment to those loans that were restructured orwere in arrears for more than three months in the last 60 months andare currently performing (57.6%).

There will be a fully funded liquidity reserve fund anda general reserve fund at closing to meet revenueshortfalls on the senior class and to provide creditenhancement to all rated notes.

Within the provisional pool, 21% of the loans are currently at leastone month in arrears. In line with our global RMBS criteria, we haveincreased our WAFF estimates accordingly to address this increasedrisk.

Geographic concentration within the pool is limited,and there are no counties with an exposure abovethe thresholds outlined in our residential loanscriteria.

Of the portfolio, 7.7% comprises split mortgages. Of these, €3.3million are subject to potential future write-offs. We have consideredthis in our analysis by using the current balance, net of any write-offs.At the same time, in our cash flow analysis, the warehouse loans donot accrue any interest.

Pepper Finance, the long-term administrator, andthe interim administrator, Start Mortgages, areexperienced servicers with well-established andfully integrated servicing systems and policies. Starthas also worked together with the issueradministration consultant, Hudson Advisors IrelandDAC, on previous reperforming transactions.

Split mortgages rely on a bullet payment to be made toward theloan's maturity if the borrower's affordability does not improve overthe loan term. Given the borrowers' age profile and the term of theseloans, borrowers may have limited refinancing options available atcontract maturity. Also, they may be older borrowers, making it moredifficult for the servicer to repossess the properties. We haveconsidered this in our analysis by testing the effect of extending thetime to recover on these loans, and the ratings remain robust.

The application of principal proceeds is fullysequential. Credit enhancement can therefore buildup over time for the rated notes, enabling the capitalstructure to withstand performance shocks.

Based on our analysis of the difference between updated propertyvaluations and indexed original property valuations, there is the riskthat the original property valuations may be overstated. Consideringthis, along with findings from the audit report, we have applied a 10%valuation haircut to the original property valuations for the portfolio.



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The Credit Story (cont.)

Strengths Concerns and mitigating factors

The structure incorporates an arrears provisioningmechanism rather than being linked solely to theloans' loss status. We consider this more positive forthe transaction than the latter, given that any excessspread is trapped as soon as the loan is in arrearsrather than waiting until the recovery process iscompleted. We have considered this feature in ourcash flow analysis.

Post-closing, the portfolio serviced by Start Mortgages will betransferred to Pepper Finance, and borrowers will be notified to payinto Pepper Finance's collection account. We have analyzed thismigration under our operation risk criteria and considered its effect inour cash flow analysis. Both servicers have previous experience inthis type of portfolio migration, which mitigates these risks.

The audit report generated more errors than we typically see inEuropean RMBS transactions. We have taken this into account in ourcredit analysis through an increased originator adjustment and theapplication of a haircut to the valuation.

Of the loans in the provisional portfolio, 29.1% are interest-onlyloans. In our view, interest-only loans on owner-occupied propertieshave historically exhibited a higher default probability than otherwisesimilar loans, and we have increased the foreclosure frequency onthese type of loans on owner-occupied properties in our analysis inline with our criteria.

The warranty provider and retention holder provide representationsand warranties and remedies for breach of these representations andwarranties, in the mortgage sale agreement, which we consider to beweaker than the market standard for an Irish RMBS transaction. Wehave therefore increased our foreclosure frequency estimates toaddress this risk. We have also considered the pool's high seasoningas a supporting factor in this regard.

The notes pay one-month EURIBOR plus a margin. Of the loans in theprovisional portfolio, 35.8% are linked to the European Central Bank(ECB) tracker rate, and 1.2% are fixed-rate loans. The remaining63.0% are linked to a standard variable rate (SVR). The SVR loans arefloored at one-month EURIBOR plus 2.5%, which we considered inour cash flow analysis. The transaction does not have a basis swap tomitigate the basis risk between the ECB tracker loans and theinterest on the liabilities. We have therefore accounted for this basisrisk in our analysis.

As a result of the COVID-19 pandemic, as of April 30, 2021, 21.7% ofthe loans had been granted payment holidays. All of these paymentholidays have since expired. Of the loans that were in paymentholiday, 3% are currently in arrears. Our analysis incorporatesstresses to capture the risk of payment holidays rolling into arrears(see "Payment holidays and the impact of COVID-19" section below).The preliminary ratings assigned remain robust.

COVID-19: Our credit and cash flow analysis and related assumptionsconsider the transaction's ability to withstand the potentialrepercussions of the coronavirus outbreak, namely, higher defaults,longer recovery timing. Considering these factors, we believe that theavailable credit enhancement is commensurate with the preliminaryratings assigned. As the situation evolves, we will update ourassumptions and estimates accordingly.

Environmental, Social, And Governance (ESG)

Our rating analysis considers a transaction's potential exposure to ESG credit factors. For RMBS,we view the exposure to environmental credit factors as average, social credit factors as above



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average, and governance credit factors as below average (see "ESG Industry Report Card:Residential Mortgage-Backed Securities," published March 31, 2021). Social credit factors aregenerally considered above average because housing is viewed as one of the most basic humanneeds and conduct risk presents a direct social exposure for lenders and servicers, particularly asregulators are increasingly focused on ensuring fair treatment of borrowers.

In our view, this transaction has a relatively higher exposure to governance credit factors given theweak representation and warranties framework and data limitations as outlined in the creditsection above.

We have addressed these ESG risks by applying certain originator adjustments and a valuationhaircut to the transaction.

Collateral Summary

In our credit analysis we used loan-level data as of April 30, 2021. The preliminary pool of€299,990,516 comprises 2,255 loan parts originated by those listed in table 1.

Table 1

Originators

Originator Outstanding balance)

Irish Nationwide Building Society 46.3%

Bank of Scotland PLC 35.0%

Nua Mortgages Ltd. 2.4%

Start Mortgages DAC 16.3%

Chart 1

The assets are first-ranking owner-occupied and buy-to-let mortgage loans secured againstproperties in Ireland. The portion of the portfolio originated by Start Mortgages and NuaMortgages comprise nonconforming loans, while the rest of the portfolio was originated as prime.However, Irish mortgage performance was significantly affected by rising unemployment in theaftermath of the global financial crisis, and the performance of the loans originated as primedeteriorated.

In our cash flow analysis, we have used the total secured pool balance of €299,990,516, as of endof April 2021. We have excluded €3,373,468 of loans subject to potential write-off from ouranalysis.



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Data adequacy

We have received historical arrears performance data for the loans in the portfolio since 2016,details of all restructurings in the portfolio, and payment rate data since 2016. The historical dataspans a relatively benign economic environment given that most of the pool was originated before2008. We have considered this in our credit analysis by increasing our originator adjustment.

Based on our analysis of the difference between updated property valuations and indexed originalproperty valuations on pools of other comparable assets, there is a risk that the original propertyvaluations may be overstated.

In addition, the pool was audited by a third-party due diligence provider. The scope and resultswere worse than we typically see in the Irish market, but in 2019 we had already received a poolaudit over the same portfolio for Shamrock Residential 2019-1. We have accounted for thisthrough a pool-level adjustment and a 10% haircut to the valuation considering the findings ofboth audit reports.

Table 2

Collateral Key Features*

SummerhillResidential2021-1 DAC

PrimroseResidential2021-1DAC

ShamrockResidential2021-1 DAC

ShamrockResidential2019-1 DAC

JepsonResidential2019-1 DAC

Pool cut-off date April 30, 2020 April 30, 2020 Dec. 31, 2020 May 31, 2019 Feb. 28, 2019

Jurisdiction Ireland Ireland Ireland Ireland Ireland

Principal outstanding ofthe pool (€)

296,617,048 846,704,360 425,863,931 331,685,281 616,730,597

Number of loans 1,586 4,255 2,400 1,698 2,560

Average loan balance (€) 187,022 198,990 177,443 195,339 230,467

Weighted-averageindexed current LTV ratio(%)

83.10 75.3 83.0 78.34 73.40

Weighted-averageoriginal LTV ratio (%)

74.70 75.3 73.8 74.5 72.22

Weighted-averageseasoning (months)

184 180 161 152 150

Self-certified loans (%)§ 9.70 8.2 3.1 10.23 13.91

Interest-only and partand part (%)

29.10 55.8 22.5 25.59 46.20

Buy-to-let (%) 6.90 41.70 36.50 6.98 4.83

Jumbo valuations (%) 20.80 9.97 16.20 22.88 33.46

'AAA' RMVD (%) 53.40 53.40 53.40 53.44 54.55

Current arrears > onemonth (%)

21.00 7.20 24.10 9.48 13.38

Historical restructures(%)

76.70 55.60 48.30 72.00 71.00

*Calculations are according to S&P Global Ratings' methodology. §We did not receive data for all of the loans in the pool. These amounts arebased on the available data. LTV--Loan-to-value. RMVD--Repossession market value declines.



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Asset description

The portfolio's weighted-average current indexed loan-to-value (LTV) ratio is 83.1%, and theweighted-average original LTV is 74.7% (see chart 2).

We have capped the original LTV ratio at the borrower level at 100% because according to the loanunderwriting criteria at origination, lending above 100% was not common.

The weighted-average current TLV ratio of 83.1% is based on our methodology and incorporatesthe 10% valuation haircut.

We consider that borrowers with minimal equity in their property are more likely to default on theirobligations than borrowers with lower original loans. At the same time, loans with high current LTVratios are likely to incur greater loss severities if the borrower defaults.

Chart 2

Approximately 29.1% of loans are interest-only loans and 10.7% of the loans are to self-employedborrowers. In our view, interest-only loans on owner-occupied properties have historicallyexhibited a higher default probability than otherwise similar loans.

The portfolio's weighted-average seasoning is 184 months, but this is offset by the fact that wehave not given any benefit to the seasoning of loans that have been classified as reperforming inthe past five years.

In line with other Irish portfolios, the assets are primarily concentrated in Dublin (34.8%), but nocounties breach our concentration limits.

The seller is a special-purpose entity. It did not originate the loans, and it has limited resources tomeet its financial obligations.

While the warranty provider provides certain representations and warranties on the assets, its



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responsibility to indemnify the issuer is limited. We consider the warranty provider's responsibilityin case of a breach to be weaker than what we normally see in European RMBS transactions, andwe have increased the originator adjustment to incorporate this risk. We have also considered thepool's high seasoning as a supporting factor in this regard

Chart 3

The proportion of the provisional pool with jumbo valuations is 20.8%. Due to the illiquid nature oflarger valued properties, these loans may suffer an additional market value decline, in our view. Aproperty is classified as jumbo under our criteria if it's in excess of €750,000 for Dublin propertiesand €500,000 for properties outside Dublin.

Asset performance

Mortgage arrears in Ireland increased steadily from the beginning of 2009 until 2013 after theonset of the global financial crisis. Since the peak, total delinquencies have halved, partly drivenby the improving economic environment, but also reflecting implementation of the Central Bank of



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Ireland's Mortgage Arrears Resolution Process (MARP), which was first introduced in 2011.

While we have received five years of data (from 2016 to 2021) for the portfolio, it spans a relativelybenign economic environment, given that most of the pool was originated before 2008, andtherefore, we have limited visibility on when the arrears peaked (see chart 5 below).

Although the data provided meet our minimum requirements, we have accounted for the lack ofperformance history during the recessionary period in the Irish mortgage market in our originatoradjustment.

Reperforming analysis

Of the portfolio, 57.6% of loans are classified as reperforming under our criteria, and we increasedour WAFF assumptions for these assets based on the date when the loan was last 90 days or morein arrears or restructured over the last 60 months, in line with our criteria.

When a restructuring arrangement occurred, it included a full reassessment of the borrower'saffordability. We have therefore calculated our seasoning credit on these loans based on the datea loan was last 90 or more days in arrears or restructured. We have considered those borrowersunder an active personal insolvency agreement or one that occurred in the past five years asrestructured.

Arrears in this pool peaked to approximately 70% in 2016, mainly due to the then ongoingmacroeconomic scenario in Ireland combined with the borrowers' credit quality. Since 2016,arrears have been decreasing due to restructuring arrangements and an enhanced servicingstrategy.

Of the loans in the final pool, 21% are currently in arrears of greater than one month, butapproximately 76.7% of the loans in the pool have been restructured. Most of the restructurings(approximately 68.3%) took place since the start of 2016 (see chart 4).



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Chart 4 Chart 5

Some of the split mortgages incorporate future write-off agreements if the borrower remainscurrent. In our cash flow analysis, we have considered this by reducing the collateral balance.

The portfolio's payment rate has remained high, despite the portion of borrowers that were inarrears and subsequently restructured (see chart 6). The pay rate data shows a decrease insecond-quarter 2020 due to the effect of COVID-19 payment holidays.

We have considered the potentially vulnerability of these loans to increased defaults due to theimpact of COVID-19 in our analysis (see "Macroeconomic and sector outlook").



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Chart 6

Servicer

Two administrators will provide the day-to-day operational servicing capabilities for thistransaction. During the interim period, Start Mortgages will administer the Start Mortgages, NuaMortgages, and Bank of Scotland originated loans, while Pepper Finance will administer the IrishNationwide originated loans. After the interim period, Pepper Finance will be the soleadministrator of the whole portfolio.

In addition to the administrators, the issuer appointed the issuer administration consultant,Hudson Advisors Ireland DAC, to provide consulting services for the administrators. Theadministrators and the issuer administration consultant together will implement the servicingbusiness strategy for the loans in this transaction.

The servicing strategy for these loans is to proactively use restructuring techniques as outlinedunder the Central Bank of Ireland's Mortgage Arrears Resolution Process to help cure borrowersstruggling to make their payments and those in long-term arrears. These restructures will includereduced payments, term extensions, and eventual arrears capitalizations.

A large portion of the portfolio has already gone through a permanent restructure consideringborrowers' circumstances. Should these restructure agreements fail, and a sustainable solutionnot be available, the servicing strategy for both servicers aims to realize the real estate value in



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the most efficient manner available.

Both Start Mortgages and Pepper Finance are experienced servicers in the Irish market withwell-established and fully integrated servicing systems and policies. We have considered theability of both to service the portfolio under our operational risk criteria, and we are satisfied thatthey are capable of performing their functions in the transaction. There is no cap on the ratings onthe notes from an operational risk perspective. Start Mortgages' administrator and legaltitleholder roles will migrate to Pepper Finance by early 2022. Start Mortgages and PepperFinance have already experienced this type of migration. We have considered this migration underour operation risk analysis and considered its effect in our cash flow analysis (see "Cash FlowAssumptions And Analysis").

Credit Analysis And Assumptions

WAFF and WALS

We have applied our global residential loans criteria to the provisional pool in order to derive theWAFF and the weighted-average loss severity (WALS) at each rating level.

The WAFF and the WALS assumptions increase at each rating level because notes with a higherrating should be able to withstand a higher level of mortgage defaults and loss severity. We baseour credit analysis on the loans, the properties, and the associated borrowers' characteristics.

Table 3

Portfolio WAFF And WALS

Rating level WAFF (%) WALS (%)Credit coverage

(%)Base foreclosure frequency component for an archetypical

Irish mortgage loan pool (%)

AAA 66.92 43.81 29.32 14.00

AA 53.69 39.52 21.22 9.40

A 46.19 32.29 14.91 7.10

BBB 38.03 28.32 10.77 4.70

BB 29.88 25.52 7.63 2.40

B 27.88 22.90 6.39 1.85

WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity.



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Chart 7

Macroeconomic and sector outlook

S&P Global Ratings believes there remains high, albeit moderating, uncertainty about theevolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping upand rollouts are gathering pace around the world. Widespread immunization, which will help pavethe way for a return to more normal levels of social and economic activity, looks to be achievableby most developed economies by the end of the third quarter. However, some emerging marketsmay only be able to achieve widespread immunization by year-end or later. We use theseassumptions about vaccine timing in assessing the economic and credit implications associatedwith the pandemic (see our research here: www.spglobal.com/ratings). As the situation evolves,we will update our assumptions and estimates accordingly.

We now expect that eurozone GDP contracted by 7.8% in 2020, up from 7.3% in our May 2020projections. See table 4 for our economic forecasts for Ireland.

Table 4

Irish Market Statistics

2019 2020e 2021f 2022f

Nominal house prices, % change y/y 0.8 1.0 2.7 4.5



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Table 4

Irish Market Statistics (cont.)

2019 2020e 2021f 2022f

Real GDP (% change) 5.57 3.42 4.0 3.6

Unemployment rate 5.0 5.6 7.0 7.0

Sources: S&P Global Ratings, Eurostat, Organization for Economic Co-operation and Development, Central Statistics Office. Y/Y--Year on year.CPI--Consumer price index. e--estimate. f--Forecast.

Based on our macroeconomic forecasts we revised the 'B' foreclosure frequency assumptions inour global residential loans criteria for Ireland's archetypal pool to 1.85% from 1.5% on May 1,2020 (see "Residential Mortgage Market Outlooks Updated For 13 European JurisdictionsFollowing Revised Economic Forecasts").

In addition, we have considered the potential increased credit effect on this pool due to COVID-19,given the assets' nature and the potential vulnerability to higher delinquencies and defaultsthrough scenario analysis with increased defaults. We have also considered the transaction'sability to withstand extended foreclosure timing assumptions, and the ratings remain robust.

As the situation evolves, we will update our assumptions and estimates accordingly.

Transaction Summary

S&P Global Ratings has assigned its preliminary credit ratings to Summerhill Residential 2021-1'sclass A notes and to the interest deferrable class B-Dfrd to G-Dfrd notes. Our preliminary ratingson the class B-Dfrd to G-Dfrd notes address the payment of interest of the stated coupon. Atclosing, Summerhill 2021-1 will also issue unrated class Z, R, X1, and X2 notes.

At closing, Summerhill 2021-1 will acquire the beneficial interest in the mortgage loans from theseller (Shamrock Residential 2019-1 DAC). Summerhill 2021-1 will issue seven classes of ratednotes (class A to G-Dfrd) to fund the purchase of the portfolio. At the same time, Summerhill2021-1 will also use the proceeds of the class Z and R notes to establish the reserve fund. Theissuer will grant security over all of its assets to the trustee (see chart 8). Start Mortgages andPepper Finance will hold the legal title to the mortgage loans on trust for the issuer, until aperfection of title event occurs.



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Chart 8

The issuer is an Irish special-purpose entity, which we assume to be bankruptcy remote for ourcredit analysis. We analyzed its corporate structure in line with our legal criteria and reviewed thetransaction legal opinion, which provides assurance as to whether the structure will achieve avalid and effective sale of assets.

We have also reviewed English and Irish law opinions and a tax opinion.

Stated coupon

Interest will be paid monthly, beginning in July 2021.

The class A notes pay interest equal to one-month EURIBOR plus a margin with a further step-upin margin following the optional call date in June 2024. Our preliminary rating on the class A notes



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addresses timely payment of interest and the ultimate payment of principal.

The class B-Dfrd to G-Dfrd pay interest equal to one-month EURIBOR plus a class-specific margin,with a further step-up in margin following the optional call date in June 2024. Our preliminaryratings on the class B-Dfrd to G-Dfrd notes address the ultimate payment of interest andprincipal.

Class X1 payment

At closing, Summerhill Residential 2021-1 will issue class X1 notes. Interest on the class X1 noteswill be equal to 0.07% of the portfolio's current balance, and will be paid pro rata and pari passuwith the class A notes' interest amount in the revenue waterfall. Its nonpayment will not be anevent of default.

General reserve fund

At closing, the class R notes' issuance proceeds will fully fund the reserve fund to its requiredamount of 2% of the portfolio's closing balance. The reserve fund will be used to pay each item ofthe revenue waterfall down to the class G-Dfrd's principal deficiency ledger (PDL) item (excludingthe top up of the liquidity reserve). The general reserve cannot amortize.

Liquidity reserve fund

The required balance of the liquidity component will be the lower of 0.5% of the class A notes'closing balance and 1.0% of class A notes' outstanding balance. The liquidity reserve fund mayonly be used to cover senior fees, the class A notes' interest, and the class X1 certificates' interest.

Principal to pay interest

In high-delinquency scenarios, there may be liquidity stresses, whereby the issuer would not havesufficient revenue receipts to pay interest due on senior fees or the most-senior class of notes. Tomitigate this risk, the issuer can use any existing principal receipts. The use of principal to payinterest would result in the registering of a PDL and may reduce the credit enhancement availableto the notes. Principal cannot be borrowed to pay the class X1 certificates' interest.

PDLs

The PDL will comprise eight subledgers, one for each of the class A to Z notes (except the class Rnotes).

The PDL will be a loss-based and default-based hybrid. When a loan becomes between six andnine months delinquent, a PDL of 20% of the outstanding principal balance is recorded. A further15% is recorded when the loan is between nine and 12 months in arrears. A further 15% isrecorded when the loan is more than 12 months in arrears, and the remaining is recorded at therealization of loss. Amounts will be recorded on the PDL if the portfolio suffers any losses or if thetransaction uses principal as available revenue receipts.

If forbearance occurs and a loan becomes a split mortgage, any warehoused portion subject topotential future write-off will also be recorded as a PDL.



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PDL amounts will first be recorded in the class Z notes' PDL, up to the class Z notes' outstandingamount. They will then be debited sequentially upward.

Revenue priority of payments

Table 5

Priority of Payments

Revenue priority of payments Principal priority of payments

Senior fees To top up the liquidity reserve fund

Senior servicer fees Class A notes' principal

Other senior fees Class B-Dfrd notes' principal

Issuer profit amounts Class C-Dfrd notes' principal

Class A notes' interest and X1 payment pro rata Class D-Dfrd notes' principal

Class A notes' PDL Class E-Dfrd notes' principal

Top up the liquidity reserve fund Class F-Dfrd notes' principal

Class B-Dfrd notes' interest Class G-Dfrd notes' principal

Class B-Dfrd notes' PDL Warranty rebate due and unpaid to the warranty provider

Class C-Dfrd notes' interest Class Z notes' principal

Class C-Dfrd notes' PDL Class R notes' principal

Class D-Dfrd notes' interest Any remaining amounts to constitute available revenue receipts

Class D-Dfrd notes' PDL

Class E-Dfrd notes' interest

Class E-Dfrd notes' PDL

Class F-Dfrd notes' interest

Class F-Dfrd notes' PDL

Class G-Dfrd notes' interest

Class G-Dfrd notes' PDL

To up of the general reserve fund required

Junior subordinated consultant fees

Class Z-Dfrd notes' PDL

Warranty rebate due and unpaid to the warranty provider

After the step-up, all revenue to principal waterfall

Amount due to the lead manager

Junior subordinated administrator fees

Class R notes' interest

Class Z notes' interest

The class X2 notes' principal

*Our preliminary ratings do not address the payment of what are termed PDL--Principal deficiency ledger.



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SVR loans

Start Mortgages and Pepper Finance have proposed to maintain a minimum SVR of one-monthEURIBOR plus 2.5%. We have given credit to this floor in our analysis. In the event of StartMortgages' or Pepper Finance's insolvency, the right to set the SVR rate will transfer to thereplacement servicer.

Cash Flow Analysis And Assumptions

We stress the transaction's cash flows to test the credit and liquidity support that the assets,subordinated tranches, and cash reserve provide.

We apply these stresses to the cash flows at all relevant rating levels. In our stresses on the classA notes, all notes must pay full principal and timely interest when due. Our preliminary ratings onthe class B-Dfrd to G-Dfrd notes address the payment of ultimate interest and principal.

Our standard cash flow analysis indicates that the available credit enhancement for the classE-Dfrd and F-Dfrd notes is commensurate with higher ratings than those assigned. Thepreliminary ratings on these notes also reflect their ability to withstand the potentialrepercussions of the COVID-19 outbreak, including longer foreclosure timing and higher defaults.

In our analysis, the class G-Dfrd notes are unable to withstand the stresses we apply at our 'B'rating level when we consider potential higher defaults as a result of COVID 19. Therefore, weapplied our 'CCC' criteria, to assess if either a rating in the 'B–' or 'CCC' category would beappropriate (see "Criteria for Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings" published Oct. 1,2012). According to our 'CCC' criteria, for structured finance issues, expected collateralperformance and the level of credit enhancement are the primary factors in our assessment of thedegree of financial stress and likelihood of default.

We performed a qualitative assessment of the key variables, along with simulating a steady-statescenario in our cash flow analysis. The class G-Dfrd is able to pass such scenario. Therefore, we donot consider repayment of this class of notes to be dependent upon favorable business, financial,and economic conditions. Consequently, we have assigned a preliminary 'B- (sf)' rating to thenotes in line with our criteria.

Spread compression

The asset yield on the provisional pool can decrease if higher-paying assets default or prepay. Wehave taken this into account in our cash flow analysis. At 'AAA', we have compressed the availableyield by 0.12%. At 'B', we have applied 0.06% as spread compression.

Commingling risk

Start Mortgages' borrowers pay into the collection accounts held with Allied Irish Banks PLC toisolate them from other borrowers, while Pepper Finance's borrowers pay into collection accountsheld with The Governor and Company of the Bank of Ireland. The collection accounts are in thename of the legal titleholders. All amounts in the Start Mortgages and Pepper Finance collectionaccount will be transferred daily to the bank account provider (Barclays Bank PLC).

Start Mortgages' borrowers will be notified of the change in collections accounts during themigration process. During this time, there is a risk that some of the collections might continue



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paying into the old accounts. To mitigate this risk, we have sized a delay in borrower payments inour cash flow analysis. Additionally, the servicers, who have experience in this kind of process, willredirect payments made into the wrong accounts to the correct accounts, and have confirmed thathistorically the percentage of borrowers that pay in the wrong account is very limited. Additionally,this risk is only limited to borrowers who make their own payments (this excludes direct debit ordebit card).

If a legal titleholder were to become insolvent, mortgage collection amounts in the relevantcollection account may become part of the legal titleholder's bankruptcy estate. In order tomitigate this risk, collections are transferred daily into the issuer's bank account and adeclaration of trust is in place over the collection account. The transaction documents containreplacement language in line with our current counterparty criteria.

Although we believe that the above mechanisms (downgrade language and declaration of trust)mitigate against loss of collections, we have considered that collections could be delayed in theevent of an insolvency. In our analysis, we have therefore applied a liquidity stress of two monthsof collections to consider the above-mentioned risks.

Fees

The issuer must pay periodic fees to various parties providing services to the transaction such asservicers, trustees, and cash managers, among others. We have accounted for these in ouranalysis. In particular, and in line with our global residential loans criteria, we have applied astressed servicing fee of 0.60% to account for the potential increase in costs to attract areplacement servicer. In addition, we have also considered the interim administration consultantfee.

Setoff

As the legal titleholders and the seller are not deposit-taking institutions, we have not applied astress to account for potential deposit setoff risk in our analysis.

Default timing and recoveries

We used the WAFF and WALS derived in our credit analysis as inputs in our cash flow analysis (seetable 6). At each rating level, the WAFF specifies the total balance of the mortgage loans weassume will default over the transaction's life. Defaults are applied on the outstanding balance ofthe assets as of the closing date. We simulate defaults following two paths (i.e., one front-loadedand one back-loaded) over a six-year period. During the recessionary period within each scenario,we assume 25% of the expected WAFF is applied annually for three years.

Table 6

Default Timings For Front-Loaded And Back-Loaded Default Curves

Year after closing Front-loaded defaults (% of WAFF per year) Back-loaded defaults (% of WAFF per year)

1 25.0 5.0

2 25.0 10.0

3 25.0 10.0

4 10.0 25.0



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Table 6

Default Timings For Front-Loaded And Back-Loaded Default Curves (cont.)

Year after closing Front-loaded defaults (% of WAFF per year) Back-loaded defaults (% of WAFF per year)

5 10.0 25.0

6 5.0 25.0

WAFF--Weighted-average foreclosure frequency.

We assume recoveries on defaulted assets to be received 42 months after default forowner-occupied and 24 months for buy-to-let properties. Foreclosure costs are estimated at 3%of the repossession value and €10,000.

Delinquencies

To simulate the effect of delinquencies on liquidity, we model a proportion of scheduledcollections equal to one-third of the WAFF (in addition to assumed foreclosures reflected in theWAFF) to be delayed. We apply this in each of the first 18 months of the recession, and we assumea full recovery of these delinquencies to occur 36 months after they arise.

Prepayments

To assess the effect on excess spread and the absolute level of defaults in a transaction we modeltwo prepayment scenarios: high and low (see table 7).

Table 7

Prepayment Assumptions

High Low

Pre-recession 24.0 1.0

During recession 1.0 1.0

Post-recession 24.0 1.0

Interest rates

We modeled two interest rate scenarios in our analysis: up and down.

Scenarios related to COVID-19 outbreak

We incorporated stresses related to potential repercussions of the coronavirus outbreak, namelyhigher defaults and longer recovery timing. Considering these factors, we believe that theavailable credit enhancement for the rated notes is commensurate with the assigned preliminaryratings.

Summary

Combined, the default timings, recession timings, interest rates, and prepayment rates described



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above give rise to eight different scenarios at each rating level (see table 8).

Table 8

RMBS Stress Scenarios

Total number of scenarios Prepayment rate Interest rate Default timing

8 High and low Up and down Front-loaded and back-loaded

Scenario analysis

We analyzed the effect of a moderate stress on our WAFF assumptions and its ultimate effect onour preliminary ratings on the notes. We ran two stress scenarios to demonstrate the ratingtransition of a note, and the results are in line with our credit stability criteria.

We also conducted additional sensitivity analysis to assess the effect of, all else being equal,increased WAFF and WALS on our ratings on the notes. For this purpose, we ran eight scenarios byeither increasing stressed defaults and/or reducing expected recoveries as shown in the tablesbelow.

Table 9

Sensitivity Stresses

WALS

WAFF 1.0x 1.1x 1.3x

1.0x Base Case Scenario 3 Scenario 4

1.1x Scenario 1 Scenario 5 Scenario 7

1.3x Scenario 2 Scenario 6 Scenario 8

WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity.

Table 10

Sensitivity Scenarios

Class Base case 1 2 3 4 5 6 7 8

A AAA AA+ AA AAA AA+ AA+ AA AA AA-

B-Dfrd AA AA A AA AA- AA- A A A-

C-Dfrd A A- BBB A A- A- BBB BBB BBB-

D-Dfrd BBB BBB- BB+ BBB BBB- BBB- BB BB+ BB

E-Dfrd BB BB B+ BB BB BB B B+ B- or lower

F-Dfrd B B B- or lower B B B B- or lower B- or lower B- or lower

G-Dfrd B- B- or lower B- or lower B- or lower B- or lower B- or lower B- or lower B- or lower B- or lower

Counterparty Risk

The issuer is exposed to Barclays Bank, as the transaction's account provider, Allied Irish Banksand The Governor and Company of the Bank of Ireland as collection bank accounts providers of theservicers' collection accounts. The documented replacement mechanisms adequately mitigate



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the transaction's exposure to counterparty risk in line with our current counterparty criteria, andtherefore, it does not constrain our ratings.

Table 11

Supporting Ratings

Institution/role RatingReplacementtrigger

Collateral postingtrigger

Barclays Bank PLC, as the transaction bank accountprovider

AA/Stable/A-1 A N/A

Allied Irish Banks PLC, as collection bank accountsprovider

BBB+/Negative/A-2 BBB N/A

The Governor and Company of the Bank of Ireland, ascollection bank accounts provider

A-/Stable/A-2 BBB N/A

Note: The replacement language in the documentation is in line with our current counterparty criteria.

Sovereign Risk

Our long-term credit rating on Ireland is 'AA-'. This enables the notes to achieve a maximumpotential rating of up to 'AAA'. Therefore, our structured finance sovereign risk criteria do notconstrain our preliminary ratings in this transaction.

Surveillance

We will maintain surveillance on the transaction until the notes mature or are otherwise retired. Todo this, we will analyze regular servicer reports detailing the performance of the underlyingcollateral, monitor supporting ratings, and make regular contact with the servicer to ensure that itmaintains minimum servicing standards and that any material changes in the servicer'soperations are communicated and assessed.

Appendix

Transaction participants

The full list of transaction parties (excluding those providing supporting ratings) are listed below.

Transaction Participants

Originators Bank of Scotland (Ireland) Ltd., Irish Nationwide Building Society, Start Mortgages DAC,Nua Mortgages Ltd., and Bank of Scotland PLC.

Arranger Barclays Bank PLC.

Lead manager Barclays Bank PLC.

Seller Shamrock Residential 2019 1 DAC.

Primary servicers Start Mortgages DAC and Pepper Finance Corporation (Ireland) DAC.

Interim issuer administrationconsultant

Hudson Advisors Ireland DAC.



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Transaction Participants (cont.)

Cash manager U.S. Bank Global Corporate Trust Ltd.

Corporate services provider CSC Capital Markets (Ireland) Ltd.

Principal paying agent /registrar Elavon Financial Services DAC.

Trustee U.S. Bank Trustees Ltd.

Bank account provider Barclays Bank PLC.

Collection bank accountproviders

Allied Irish Bank PLC and The Governor and Company of the Bank of Ireland

Related Criteria

- Criteria | Structured Finance | General: Global Framework For Payment Structure And CashFlow Analysis Of Structured Finance Securities, Dec. 22, 2020

- Criteria | Structured Finance | General: Methodology To Derive Stressed Interest Rates InStructured Finance, Oct. 18, 2019

- Criteria | Structured Finance | General: Counterparty Risk Framework: Methodology AndAssumptions, March 8, 2019

- Criteria | Structured Finance | General: Incorporating Sovereign Risk In Rating StructuredFinance Securities: Methodology And Assumptions, Jan. 30, 2019

- Criteria | Structured Finance | RMBS: Global Methodology And Assumptions: Assessing Pools OfResidential Loans, Jan. 25, 2019

- Legal Criteria: Structured Finance: Asset Isolation And Special-Purpose Entity Methodology,March 29, 2017

- Criteria | Structured Finance | General: Global Framework For Assessing Operational Risk InStructured Finance Transactions, Oct. 9, 2014

- General Criteria: Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings, Oct. 1, 2012

- General Criteria: Global Investment Criteria For Temporary Investments In TransactionAccounts, May 31, 2012

- General Criteria: Principles Of Credit Ratings, Feb. 16, 2011

- Criteria | Structured Finance | General: Methodology For Servicer Risk Assessment, May 28,2009

Related Research

- European Economic Snapshots Say Condition Are In Place For A Strong Rebound, April 28, 2021

- Sovereign Risk Indicators, April 12, 2021

- ESG Industry Report Card: Residential Mortgage-Backed Securities, March 31, 2021

- Europe's Housing Market Will Chill In 2021 As Pent-Up Pandemic Demand Eases, Feb. 22, 2021

- Residential Mortgage Market Outlooks Updated For 13 European Jurisdictions Following



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Revised Economic Forecasts, May 1, 2020

- Reports Discuss How COVID-19 Could Affect European Structured Finance, March 30, 2020

- European ABS And RMBS: Assessing The Credit Effects Of COVID-19, March 30, 2020

- Will Mortgage Payment Suspensions Related To COVID-19 Affect European RMBS?, March 13,2020

- 2017 EMEA RMBS Scenario And Sensitivity Analysis, July 6, 2017

- Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top FiveMacroeconomic Factors, Dec. 16, 2016

- European Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The TopFive Macroeconomic Factors, Dec. 16, 2016



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Summerhill Residential 2021-1 DAC

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