Tudor Rose Mortgages 2020-1 PLC

Presale:

Tudor Rose Mortgages 2020-1 PLCJune 8, 2020

Preliminary Ratings

ClassPrelim.rating*

Classsize

Initial creditenhancement (%) Interest Step-up margin

Step-update

Legal finalmaturity

A AAA (sf) 84.50 15.69 DailycompoundedSONIA + a margin

DailycompoundedSONIA + a margin

June 2023 June 2048

B-Dfrd AA (sf) 5.75 9.94 DailycompoundedSONIA + a margin


June 2023 June 2048

C-Dfrd A+ (sf) 3.75 6.19 DailycompoundedSONIA + a margin


June 2023 June 2048

D-Dfrd A- (sf) 2.50 3.69 DailycompoundedSONIA + a margin


June 2023 June 2048

E-Dfrd BBB- (sf) 2.25 1.44 DailycompoundedSONIA + a margin


June 2023 June 2048

F-Dfrd BB (sf) 1.00 0.44 DailycompoundedSONIA + a margin


June 2023 June 2048

RFN NR 2.00 0.25 DailycompoundedSONIA + a margin


N/A June 2048

X1-Dfrd BB+ (sf) 2.25 0.00 DailycompoundedSONIA + a margin


N/A June 2048

X2 NR 2.00 0.00 DailycompoundedSONIA + a margin


N/A June 2048

Z NR 0.25 0.00 DailycompoundedSONIA + a margin


N/A June 2048

Presale:

Tudor Rose Mortgages 2020-1 PLCJune 8, 2020

PRIMARY CREDIT ANALYST

Arnaud Checconi

London

(44) 20-7176-3410

[email protected]

SECONDARY CONTACT

Valentina Guerra

Paris

33 1 4075 2565

[email protected]

www.standardandpoors.com June 8, 2020 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]




Preliminary Ratings (cont.)

ClassPrelim.rating*

Classsize

Initial creditenhancement (%) Interest Step-up margin

Step-update

Legal finalmaturity

Residualcertificates

NR N/A N/A N/A N/A N/A June 2048

Note: This presale report is based on information as of June 8, 2020. The ratings shown are preliminary. Subsequent information may result inthe assignment of final ratings that differ from the preliminary ratings. Accordingly, the preliminary ratings should not be construed asevidence of final ratings. This report does not constitute a recommendation to buy, hold, or sell securities. *S&P Global Ratings' ratingsaddress timely receipt of interest and ultimate repayment of principal for the class A notes, and the ultimate payment of interest and principalon the other rated notes. N/A--Not applicable. NR--Not rated. SONIA--Sterling Overnight Index Average.

Supporting Ratings

Institution/role RatingsReplacementtrigger

Collateral postingtrigger

Barclays Bank PLC as collection account provider A/Negative/A-1 BBB N/A

Elavon Financial Services DAC, U.K. Branch* astransaction account provider

AA-/Stable/A-1+ A N/A

BNP Paribas as interest rate swap provider RCR: AA-/--/A-1+ A+ N/A**

*Rating derived from the rating on the parent entity. There are no counterparty constraints on the ratings on the notes in this transaction. Thereplacement language in the documentation is in line with our current counterparty criteria (see "Counterparty Risk Framework: MethodologyAnd Assumptions," published on March 8, 2019. **The swap provider can switch from one collateral framework to another. RCR--Resolutioncounterparty rating.

The Credit Story

Strengths Concerns and mitigating factors

The mortgage portfolio has demonstrated a strong creditperformance with a low arrears level over time and no losses. Theaverage original loan-to-value (OLTV) and the currentloan-to-value (CLTV) are in line with other buy-to-let (BTL)transactions. The performance data provided is representative asthere was no negative selection of assets at the time of theacquisition by the seller.

The representations and warranties package is weak.We have considered this factor in our credit analysisand, we took into account a few mitigants.

Borrowers are professional landlords who have been operating fora minimum of two years and managing at least two properties.Before July 2019, the requirement was to hold and manage threeproperties for at least two years each. Despite the professionalnature of the borrowers, there are no large concentrations.

Close to two-thirds of the mortgage portfolio is locatedin Greater London. We have considered this in our creditanalysis.

The mortgage portfolio has no reperforming loans, no second lienloans, no county court judgments, and no bankruptcy orders.

A quarter of properties are considered as houses withmultiple occupiers (HMOs) or multi-units, which couldmake the management and valuation of theseproperties more challenging. All of them are subject toa full 'bricks and mortar' valuation, and according tolending criteria, the maximum number of tenants ineach HMO/multi-unit is six.

The reserve fund will be fully funded at closing. It is split into aliquidity reserve fund and a general reserve fund. The transactioncan also use principal receipts to pay for interest shortfalls, butonly for the most senior notes outstanding.

The average pool seasoning is 28 months with no loanseasoned more than five years. We only apply aseasoning benefit to loans outstanding for five or moreyears. Seasoned loans are associated with a lowerlikelihood of foreclosure.



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Presale: Tudor Rose Mortgages 2020-1 PLC

The Credit Story (cont.)

Strengths Concerns and mitigating factors

The capital structure is fully sequential regarding the applicationof principal proceeds. Credit enhancement can therefore build upover time for the rated notes, enabling the capital structure towithstand performance shocks.

This is the first transaction originated by this lenderthat we have rated. In addition, the availability ofhistorical performance is limited. We have consideredthese factors in our credit analysis.

Because Axis Bank U.K. Ltd. (the originator) is regulated by thePrudential Regulation Authority (PRA) and Financial ConductAuthority (FCA), we consider its governance framework to bestronger than other lenders with a limited track record. As such,the originator was subject to the PRA BTL underwriting criteria.

The originator followed the PRA guidance and stressedaffordability by applying a higher interest when lendingfor a fixed rate below five years. For five-year fixedlending, no stressed rate is being applied. We haveconsidered these factors in our credit analysis.

Only one borrower has a deposit account with the originator, andno borrowers are employees of Axis Bank U.K. Ltd. In addition, thelegal title is moving to Link Mortgage Services Ltd., which is not adeposit-taking institution. The setoff risk is deemed negligible.

There is interest rate risk between the fixed ratereceived from the mortgage loans and the compoundedSterling Overnight Index Average (SONIA) paid under thenotes. However, this is hedged using a fixed-floatinginterest rate swap, which we considered in our cashflow analysis.

There is a turbo mechanism in the revenue waterfall to repayprincipal amounts after the step-up date.

After the step-up date, the weighted average cost of thenotes will increase, reducing the excess spreadavailable, which we also considered in our cash flowanalysis.

Upon reversion, fixed-floating loans will switch to three-monthLondon Interbank Offered Rate (LIBOR) plus 4.5%/5%. There is nodiscretionary element. We also applied basis risk and spreadcompression.

The class A and B notes can use the liquidity reservefund (B is subject to its principal deficiency ledger [PDL]condition), but the principal borrowing mechanism canonly be used by the most senior notes outstanding.

All the properties are for residential use only. The sale of the assets differs from typical transfersbecause Axis Bank U.K. Ltd. (the originator) will first sellthe mortgage portfolio to Morgan Stanley PrincipalFunding (the seller), which will then on the closing datesell the beneficial title to the portfolio to the issuer. Wehave considered both sales in our legal analysis.

The servicer, Link Mortgage Services, is very experienced, has aservicer ranking assigned by S&P Global Ratings, and is part of awider financial services/information technology group.

15% of the borrowers in the pool have applied forpayment holidays, as of the cut-off date of our analysis.This is broadly in line with recent U.K. Financeestimates. We have considered these factors in ourcredit analysis.

The average debt service coverage ratio (DSCR) is relatively high.Axis Bank U.K. Ltd. has conservative underwriting policies.

As the lender is no longer active, borrowers will only exitthe pool if they refinance elsewhere (i.e., not by beingrefinanced and bought out by the lender). As aconsequence, deleveraging may be lower due to moremoderate prepayment rates than those recorded inother BTL deals where the lender is active.

The collection account has a declaration of trust in favor of theissuer, and there is a daily sweep into the transaction account. Thecommingling risk is low.

The portfolio contains no loans with maturities beyond 25 years.

Collateral

Tudor Rose Mortgages 2020-1 PLC is a U.K. pool of residential loan mortgages (first-ranking andBTL in England and Wales). We have received loan-level data as of Jan. 31, 2020.

We received the audit for the pool, and the scope and results were roughly in line with what we



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typically see in the U.K. market. We have applied a small adjustment for the audit result in ouranalysis because of the limited number of errors.

Table 1

Collateral Key Features

Pool cut-off date January 2020

Jurisdiction U.K.

Principal outstanding of the pool (£) 300,519,727

Number of loans 1,020

Number of borrowers 671

Number of properties 1,020

Average loan balance (£) 294,627

Weighted-average indexed current LTV ratio (%) 70.1

Weighted-average original LTV ratio (%) 69.9

Weighted-average seasoning (months) 28

Self-certified loans (%) 0.0

Interest only (%) 99.6

Buy-to-let (%) 100

More than one CCJ (%) 0.0

Bankruptcy (%) 0.0

Loan purpose – purchase (%)* 50.0

Jumbo valuations (%) 10.7

'AAA' RMVD (%) 73.6

Arrears >= one month (%) 0.9

Note: Calculations are according to S&P Global Ratings' methodology. *Assumption as these data are unavailable. LTV--Loan-to-value.CCJs--County court judgments. RMVD--Repossession market value declines.

Originator

Axis Bank U.K. Ltd. is the subsidiary of Axis Bank, the third-largest private sector bank in India.Axis Bank U.K. Ltd. is regulated by the FCA and PRA. In April 2015, it launched its buy-to-letbusiness with a focus on professional landlords. All loans are originated through brokers. Itdecided to divest its BTL lending business to re-deploy capital and focus on its Indian operations.

We had a corporate overview call with Axis Bank in May 2020, and we believe that its underwriting,origination, and risk management policies and procedures are in line with those of other U.K.prime lenders.

Link Mortgage Services Ltd. will service the portfolio. We also had a call with them in May 2020.S&P Global Ratings' servicing ranking assigned to Link Mortgage Services is ABOVE AVERAGE (see"Link Mortgage Services Ltd.," published Dec. 11, 2019).

We have considered the servicer's ability to service the portfolio under our operational risk criteria,and we are satisfied that it is capable of performing its functions in the transaction (see "GlobalFramework For Assessing Operational Risk In Structured Finance Transactions," published on Oct.



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9, 2014). There is no cap on the ratings on the notes from an operational risk point of view.

Asset description

The portfolio has a weighted-average current loan-to-value (WA CLTV) ratio of 70.1% and aweighted-average original LTV (WA OLTV) of 69.9%. We consider borrowers with minimal equity intheir property to be less likely able to refinance and more likely to default on their obligations thanborrowers with lower-current-indexed LTV ratio loans. At the same time, loans withhigh-current-indexed LTV ratios are likely to incur greater loss severities if the borrower defaults.

Chart 1



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Chart 2

The assets are primarily concentrated in London and the South East (82.4% in total) with GreaterLondon breaching our concentration limits. Only 10.7% of the loans are classified as jumbo loansunder our criteria.



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Chart 3

We have received little information regarding the loan purpose. Based on the additionalinformation provided, we have assumed that half of these loans were for purchase while the otherhalf of these loans were for equity release and not refinancing for a more favorable rate.

Representation and warranties

The seller provides representations and warranties in the mortgage sale agreement. In our view,we consider the whole mechanism to be weaker than those that are standard for a U.K. RMBS



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transaction. The list of representations and warranties is limited. In addition, the legaldocumentation sets limits for the claim for damages the issuer would be entitled to, and theperiod during which the issuer can make such a claim (24 months; sunset clause). The seller isalso not required to repurchase any loans in breach. The weak package is partially mitigated bythe strong historical performance of the pool, the seasoning of the assets, the good audit results,and the stringent underwriting criteria.

Credit Analysis And Assumptions

WAFF and WALS

We have applied our global residential loans criteria to the provisional pool in order to derive theweighted-average foreclosure frequency (WAFF) and the weighted-average loss severity (WALS) ateach rating level.

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

Table 2

Portfolio WAFF And WALS

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

(%)Base foreclosure frequency component for an archetypical

U.K. mortgage loan pool (%)

AAA 27.01 62.78 16.96 12.00

AA 18.32 55.20 10.11 8.10

A 13.86 41.01 5.69 6.10

BBB 9.63 31.34 3.02 4.20

BB 5.18 24.02 1.24 2.20

B 4.17 17.15 0.72 1.75

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

Macroeconomic and sector outlook

According to our latest economic outlook (see "Related Research"), the U.K. housing market isincreasingly suffering from the consequences of the COVID-19 pandemic. Our credit assumptionsreflect this outlook.

Table 3

U.K. Housing Market Statistics

2017 2018 2019 2020f 2021f 2022f

Nominal house prices, % change y/y 4.6 2.4 1.6 (3.0) 0.0 3.5

Real GDP, % change 1.8 1.3 1.4 (6.5) 6.0 3.2

CPI inflation (%) 2.7 2.5 1.8 0.7 1.3 2.2



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Table 3

U.K. Housing Market Statistics (cont.)

2017 2018 2019 2020f 2021f 2022f

Unemployment rate 4.4 4.1 3.8 6.1 6.0 4.4

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

Transaction Summary

S&P Global Ratings has assigned credit ratings to Tudor Rose Mortgages 2020-1's class A, B-Dfrd,C-Dfrd, D-Dfrd, E-Dfrd, F-Dfrd, and X1-Dfrd notes. At closing, Tudor Rose Mortgages 2020-1 willalso issue unrated class RFN notes, X2 notes, Z notes, and residual certificates.

At closing, the issuer will purchase the beneficial interest in a portfolio of U.K. BTL residentialmortgages from the seller, using the proceeds from the issuance of the rated and unrated notes.This same portfolio will have been purchased initially from the originator.

Chart 4

The issuer is an English special-purpose entity, which we assume to be bankruptcy remote for our



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credit analysis. We expect to assign credit ratings on the closing date subject to a satisfactoryreview of the transaction documents and legal opinions.

The notes will pay interest quarterly on the interest payment dates in March, June, September,and December, beginning in September 2020. The rated notes pay interest equal to compoundedSONIA plus a class-specific margin with a further step-up in margin following the optional calldate in June 2023. All of the notes reach legal final maturity in June 2048.

The transaction has an early optional redemption date, a first optional redemption date, and asecond optional redemption date. On the EORD (December 2021), on the FORD (June 2023), and onthe interest payment date following the FORD (September 2023), the call option holder has thepossibility to exercise its call option.

We derived the stressed interest rate curves for the compounded SONIA by subtracting a spread of0.25% from our stressed three-month British pound sterling (GBP) LIBOR curves. There has been aclose relationship between backward-looking compounded SONIA and forward-looking LIBORdetermined for the same period. However, since SONIA does not include the various risk premiumsreflected in LIBOR, the former has generally been lower. The spread adjustment applied to ourGBP LIBOR curves reflects the lower SONIA rates historically observed.

Interest rate risk

The transaction is exposed to basis risk as the mortgages reference to a fixed rate while the notesreference compounded SONIA.

The issuer benefits from a fixed-floating swap to hedge the mismatch of the exposure to the fixedrate. The swap's notional follows a fixed schedule. The issuer pays a fixed rate and receives SONIA.

We applied basis risk once the swap expires and spread compression during the fixed-rate periodand once all the loans have reverted to floating.

Deferral of interest

Under the transaction documents, interest payments on all classes of rated notes (excluding theclass A notes) can be deferred. Consequently, any deferral of interest on the class B-Dfrd, C-Dfrd,D-Dfrd, E-Dfrd, F-Dfrd, and X1-Dfrd notes would not constitute an event of default.

Our preliminary ratings address the timely payment of interest and the ultimate payment ofprincipal on the class A notes and the ultimate payment of interest (including interest on deferredinterest) and principal on the other rated notes.

Reserve fund

At closing, the proceeds from the issuance of the class RFN notes will contribute to funding thereserve fund. At the same time, the reserve will be split into a non-liquidity reserve and a liquidityreserve. Both the liquidity reserve fund and the non-liquidity reserve fund will be fully funded atclosing. The liquidity reserve fund can amortize, and the required amount is 2.0% of theoutstanding class A and B-Dfrd notes. After the redemption of the class A and B-Dfrd notes, theliquidity reserve fund will equal zero. The non-liquidity reserve is equal to the overall reserve fundminus the liquidity reserve.

The issuer can only use the liquidity reserve to pay senior fees and interest on the class A andB-Dfrd notes (subject to a maximum PDL of 10%, the PDL condition), and only after all of the



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non-liquidity reserve has been utilized. The non-liquidity reserve fund is topped up from availablerevenue below the class F notes' PDL in the interest priority of payments.

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 notes. To mitigate this risk theissuer can use any existing principal receipts. Class A and B notes can use the liquidity reservefund (B is subject to its PDL condition), but the principal borrowing mechanism can only be usedby the most senior note outstanding.

The use of principal to pay interest would result in a PDL and may reduce the credit enhancementavailable to the notes. Principal will only be used once the non-liquidity reserve and liquidityreserve have been exhausted.

Principal deficiency ledgers

The PDL comprises seven subledgers, one for each of the asset-backed rated classes of notes inaddition to the class Z notes (i.e., each of the collateralized classes of notes).

Amounts are recorded on the PDL if the portfolio suffers any losses, if the transaction usesprincipal as available revenue receipts, or if the liquidity reserve fund is topped up using principalreceipts.

PDL amounts are first recorded in the class Z notes' PDL up to the class Z notes' collateralizedoutstanding amount. The amounts are then to be debited sequentially upward.

Revenue priority of payments

Table 4

Priority Of Payments

Revenue priority of payments Principal priority of payments

Senior fees. Top up liquidity reserve to target.

Swap payment. Class A notes' principal.

Issuer profit amount. Class B-Dfrd notes' principal.

Class A notes' interest. Class C-Dfrd notes' principal.

Class A notes' PDL. Class D-Dfrd notes' principal.

Class B-Dfrd notes' interest. Class E-Dfrd notes' principal.

Liquidity reserve fund replenishment up to the reserve fund required liquidityamount.

Class F-Dfrd notes' principal.

Class B-Dfrd notes' PDL. Class RFN notes' interest and principal.

Class C-Dfrd notes' interest. Class X1-Dfrd interest and then principal

Class C-Dfrd notes' PDL. Class X2 interest and then principal

Class D-Dfrd notes' interest. Class Z interest and then principal

Class D-Dfrd notes' PDL. Excess amounts to the residual certificates

Class E-Dfrd notes' interest.



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Table 4

Priority Of Payments (cont.)

Revenue priority of payments Principal priority of payments

Class E-Dfrd notes' PDL.

Class F-Dfrd notes' interest.

Class F-Dfrd notes' PDL.

Non-liquidity reserve fund replenishment to reserve fund required amount.

Class RFN notes' interest.

After the step-up date, amount paid into the principal priority of payments(turbo).

Class X1-Dfrd notes' interest

Class X1-Dfrd notes' principal.

Class X2 notes' interest.

Class X2 notes' principal.

Class Z notes' PDL.

Class Z notes' interest

Excess to residual certificates

PDL--Principal deficiency ledger.

Cash Flow Assumptions And Analysis

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, the notes must pay full and timely principal and interest. Our preliminary ratings on theclass B-Dfrd to X1-Dfrd notes address the payment of ultimate principal and interest.

Spread compression

The asset yield on the provisional pool can decrease if higher-paying assets default or prepay. Wehave accounted for this in our cash flow analysis by assuming at a 'AAA' level that theweighted-average margin on the portfolio drops by 0.16% during the fixed-rate period and 0.11%once all loans have reverted to floating.

Commingling risk

Borrowers pay into collection accounts held with Barclays Bank. The transaction documents haveestablished a declaration of trust over any amounts in the collection account in favor of the issuer.The transaction documents specify that the servicer, on behalf of the issuer and the securitytrustee, must take remedial actions, including replacing Barclays Bank as collection accountprovider with a suitably rated financial institution, if our long-term issuer credit rating on thecollection bank account provider falls below 'BBB'. There is also a daily sweep into the transactionbank account. We have thus stressed a liquidity commingling risk.



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There are no counterparty constraints on the preliminary ratings on the notes in this transaction.

Fees

Contractually, the issuer is obliged to pay periodic fees to various parties providing services to thetransaction such as servicers, trustees, and cash managers, among others. We have accounted forthese in our analysis. In particular, and in line with our residential loans criteria, we have applied astressed servicing fee of 0.25% (the higher of 1.5x actual fees and 0.25% per annum) to accountfor the potential increase in costs to attract a replacement servicer. There are also specialservicing fees equal to 35 basis points of any loans more than 30 days in arrears. Servicing andspecial servicing fees are contractually capped at 25 basis points and floored at £30,000 a yearwith the current servicer. In addition, there are three basis points of the outstanding balance forlegal title fees.

Setoff risk

There are no employee loans in the securitized pool, and only one borrower has a deposit accountwith the originator. In addition, the legal title is moving to Link Mortgage Services, which is not adeposit-taking institution. In our view, the current exposure risk is negligible, and is furthermitigated by the deposit protection scheme in the U.K. We have therefore not stressed a setoffamount in our analysis.

Default timing and recoveries

We use the WAFF and WALS derived under our credit analysis (see table 2) as inputs in our cashflow analysis.

At each rating level, the WAFF specifies the mortgage loans' total balance we assume to defaultover the transaction's life. We apply defaults to the outstanding balance of the assets as of theclosing date. We simulate defaults following two paths (i.e., one front-loaded and oneback-loaded) over a six-year period. During the recessionary period within each scenario, we apply25% of the expected WAFF annually for three years.

Table 5

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

Year after closingFront-loaded defaults (% of WAFF per

annum)Back-loaded defaults (% of WAFF per

annum)

1 25.0 5.0

2 25.0 10.0

3 25.0 10.0

4 10.0 25.0

5 10.0 25.0

6 5.0 25.0

WAFF--Weighted-average foreclosure frequency.

We assume recoveries (1-weighted-average loss severities) on defaulted assets to be received 12months after default for BTL properties. We estimate foreclosure costs at 3% of the repossession



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value plus £5,000.

We base our loss severities on loan principal and do not give any credit to the recovery of interestaccrued on the loan during the foreclosure process.

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 impact on excess spread and the absolute level of defaults in a transaction, wemodel both high and low prepayment scenarios at all rating levels (see table below).

Table 6

Prepayment Assumptions

High Low

Pre-recession 30.0 4.0

During recession 3.0 3.0

Post-recession 30.0 4.0

Interest rates

We modeled two interest rate scenarios in our analysis: up and down. In an up scenario, theinterest rates increase from the input starting interest rate, while in a down scenario, the ratesdecrease. The curves vary by stress scenario (see "Methodology To Derive Stressed Interest RatesIn Structured Finance," published on Oct. 18, 2019).

Summary

In combination, the default timings, recession timings, interest rates, and prepayment ratesdescribed above give rise to eight different scenarios at each rating level (see table below).

Table 7

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

Surveillance and scenario analysis

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 underlying



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collateral, 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.

Various factors could lead us to lower our ratings on the notes, such as increasing foreclosurerates in the underlying pool and changes in the pool composition. We have analyzed the effect ofincreased defaults by testing the sensitivity of the ratings to two different levels of movements.

Under our scenario analysis, the preliminary ratings on the notes in both scenarios would notsuffer a rating transition outside of that considered under our credit stability criteria.

S&P Global Ratings acknowledges a high degree of uncertainty about the rate of spread and peakof the coronavirus outbreak. Some government authorities estimate the pandemic will peak aboutmidyear, and we are using this assumption in assessing the economic and credit implications. Webelieve the measures adopted to contain COVID-19 have pushed the global economy intorecession (see our macroeconomic and credit updates here: www.spglobal.com/ratings). As thesituation evolves, we will update our assumptions and estimates accordingly.

Related Criteria

- 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: Structured Finance Temporary Interest ShortfallMethodology, Dec. 15, 2015

- Criteria | Structured Finance | General: Methodology: Criteria For Global Structured FinanceTransactions Subject To A Change In Payment Priorities Or Sale Of Collateral Upon ANonmonetary EOD, March 2, 2015

- Criteria - Structured Finance - General: Global Framework For Cash Flow Analysis OfStructured Finance Securities, Oct. 9, 2014

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

- General Criteria: Methodology Applied To Bank Branch-Supported Transactions, Oct. 14, 2013

- Criteria | Structured Finance | General: Global Derivative Agreement Criteria, June 24, 2013

- Criteria | Structured Finance | General: Criteria Methodology Applied To Fees, Expenses, AndIndemnifications, July 12, 2012

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



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- General Criteria: Methodology: Credit Stability Criteria, May 3, 2010

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

Related Research

- U.K. RMBS Index Report Q1 2020, May 29, 2020

- Government Job Support Will Stem European Housing Market Price Falls, May 15, 2020

- Economic Research: Europe Braces For A Deeper Recession In 2020, April 20, 2020

- Link Mortgage Services Ltd., Dec. 11, 2019

- SONIA As An Alternative To LIBOR In U.K. Structured Finance Transactions, Feb. 6, 2019

- How Much Is Enough? Information Quality Standards For The EMEA RMBS And ABS RatingProcess, Jan. 8, 2019

- 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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Tudor Rose Mortgages 2020-1 PLC

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