���������ֳ�

���������ֳ� - Milan - 11 Apr 2025: ���������ֳ� has downgraded Lansdowne Mortgage Securities No. 1 Plc's (LMS1) class M1 note and has affirmed the other notes' ratings. ���������ֳ� has also affirmed Lansdowne Mortgage Securities No. 2 Plc's (LMS2) notes, as detailed below.

���������ֳ� has removed all notes from Under Criteria Observation. A full list of rating actions is below.

The rating actions follow the implementation of the revised ���������ֳ�'s European RMBS Rating Criteria and reflect performance trends.

Transaction Summary

The transactions are securitisations of Irish non-conforming residential mortgage loans originated by Start Mortgages Ltd and serviced by Mars Capital Finance Ireland DAC.

KEY RATING DRIVERS

European RMBS Rating Criteria Updated: The rating actions take into account the update of ���������ֳ�'s European RMBS Rating Criteria on 30 October 2024. The updated criteria adopted a non-indexed current loan-to-value (LTV) approach to derive the base foreclosure frequency (FF) on portfolios, instead of the original LTV approach applied previously. We have also revised down our loan-level recovery rate cap to 85% from 100%.

���������ֳ� has applied a 2.5x transaction adjustment (TA) to the transactions' FF. The 2.5x TA accounts for the difference between FF performance in the portfolio compared with the criteria-derived, transaction-specific weighted average (WA) FF, resulting in an increase in Lansdowne's WAFF.

High Arrears, Delayed Foreclosure: In LMS1, 29.5% of the portfolio is in arrears over 90 days, while in LMS2 the figure was 30.1% as of the December 2024 payment date, after 29.6% and 28.2%, respectively, at the beginning of that year. Most borrowers in arrears have been subject to restructuring measures, including margin reductions and term extension. Margin reductions have reduced the WA margin of the portfolio since the last review; term extensions have led to an increase of the portfolio share maturing beyond the final legal maturity of the notes. The transaction therefore has some undercollateralisation.

The provisioning mechanism is defined on losses rather than defaults. As foreclosure timing in Ireland is often long and restructurings continue to increase, crystallisation of losses and subsequent provisioning in the revenue waterfall is being delayed. This leads to the transactions having high sensitivity to longer foreclosure timing and is particularly relevant for the ratings of LMS1 and LMS2.

Zero Excess Spread Leads to Reserve Drawings: The significant portion of restructured loans, coupled with high arrears, has resulted in a decreased WA margin for the portfolios, reducing the excess spread to zero. At December 2024, the reserves had been further depleted since the review at the start of the year and were about 50% of their target. In its stressed rating scenarios ���������ֳ� expects the reserves to be further drawn if arrears remain at current levels or continue to increase.

Payment Interruption Risk Constrains Ratings: The transactions' reserve funds may be drawn to cover losses. If the high arrears translate into foreclosures and then losses within a short period, reserves could be depleted rapidly. Therefore, in ���������ֳ�'s view, payment interruption risk is not adequately addressed and the non-dedicated nature of the reserve limits upgrades of the notes, driving our affirmations. We expect some of the subordinated notes in both transactions to experience interest deferral in an expected case scenario. We consider this is adequately reflected in the notes' 'CCsf' ratings.

Lansdowne Mortgage Securities No.1 and No.2 Plc have ESG Relevance Scores of 5 for Governance (Rule of Law, Institutional and Regulatory Quality) due to exposure to jurisdictional legal risks; regulatory effectiveness; supervisory oversight; foreclosure laws; government support and intervention, which has a negative impact on the credit profile, and is highly relevant to the rating, resulting in a change to the rating.

RATING SENSITIVITIES

Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade

Most loans in the portfolios have been subject to restructuring rather than being foreclosed. An increasing number of defaulted loans and lower recovery proceeds combined with longer foreclosure timing may result in downgrades.

Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade

If the transactions continue to make timely payments while withstanding negative carry and losses from delinquencies and foreclosures, leading to a decrease in late-stage arrears, ���������ֳ� may revise its foreclosure frequency assumptions down. This could result in upgrades.

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Form ABS Due Diligence-15E was not provided to, or reviewed by, ���������ֳ� in relation to this rating action.

DATA ADEQUACY

Lansdowne Mortgage Securities No. 1 Plc, Lansdowne Mortgage Securities No. 2 Plc

���������ֳ� has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. ���������ֳ� has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

���������ֳ� did not undertake a review of the information provided about the underlying asset pool[s] ahead of the transactions' initial closing. The subsequent performance of the transaction[s] over the years is consistent with the agency's expectations given the operating environment and ���������ֳ� is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

Overall, and together with any assumptions referred to above, ���������ֳ�'s assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING

The principal sources of information used in the analysis are described in the Applicable Criteria.

ESG Considerations

Lansdowne Mortgage Securities No. 1 Plc and Lansdowne Mortgage Securities No. 2 Plc has an ESG Relevance Score of '5' for Rule of Law, Institutional and Regulatory Quality due to exposure to jurisdictional legal risks; regulatory effectiveness; supervisory oversight; foreclosure laws; government support and intervention, which has a negative impact on the credit profile, and is highly relevant to the rating, resulting in a change to the rating.

The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. ���������ֳ�'s ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. For more information on ���������ֳ�'s ESG Relevance Scores, visit /topics/esg/products#esg-relevance-scores.

Additional information is available on

APPLICABLE MODELS

Numbers in parentheses accompanying applicable model(s) contain hyperlinks to criteria providing description of model(s).

• Multi-Asset Cash Flow Model, v3.5.0 (1)
• ResiGlobal Model: Europe, v1.11.0 (1)

ADDITIONAL DISCLOSURES

• Dodd-Frank Rating Information Disclosure Form
• Solicitation Status
• Endorsement Policy

ENDORSEMENT STATUS