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Preliminary Ratings Assigned To U.K. RMBS Transaction Durham Mortgages A PLC

          LONDON (S&P Global Ratings) May 18, 2018--S&P Global Ratings has assigned preliminary credit ratings to Durham Mortgages A PLC's class A to F notes. At closing, the issuer will also issue unrated class Z1, Z2, X, R notes, X certificates, and Y certificates. We have based our credit analysis on the preliminary pool, which totals GBP2.75 billion. The pool comprises first-lien U.K. residential mortgage loans that Bradford & Bingley PLC and Mortgage Express PLC originated.
          The loans are secured on properties in England, Wales, Scotland, and Northern Ireland, and were originated between 1994 and 2009. On the closing date, the issuer will purchase the beneficial interest in the portfolio from the seller (Dorset Home Loans Ltd.), using the notes' issuance proceeds. 
          The legal title of each loan will remain with Bradford & Bingley and Mortgage Express and will move Topaz Finance (or, as the case may be, one or more wholly owned subsidiaries of Topaz Finance) on the transfer date, which will be nine months after closing (or earlier if a perfection trigger occurs). Bradford & Bingley will be the interim servicer of the loans in the pool with a delegation to Computershare Mortgage Services Ltd. and Homeloan Management Ltd. until the transfer date.
          After that, Topaz Finance will become the long-term servicer for the assets. Topaz is a subsidiary of Computershare Mortgage Services. We reviewed Computershare Mortgage Services' servicing and default management processes and are satisfied that it is capable of performing its functions in the transaction. In our cash flow modeling, we stressed a 0.5% servicing fee on day one because, in our opinion, this reflects the likely cost of replacing the servicer. Our preliminary ratings address the timely receipt of interest and ultimate repayment of principal to the class A notes. While not the most senior class, the preliminary ratings on the class B to F notes are interest-deferred ratings and address the ultimate repayment of principal and interest.
          When these notes become the most senior class, our ratings will address the ultimate repayment of principal and timely payment of interest. For the most senior class of notes, a deferral of interest would constitute an event of default under the terms and conditions of the notes. Our preliminary ratings reflect our assessment of the transaction's payment structure, cash flow mechanics, and the results of our cash flow analysis to assess whether the notes would be repaid under stress test scenarios. Subordination, the general reserve, and excess spread will provide credit enhancement to the rated notes. Taking these factors into account, we consider that the available credit enhancement for the rated notes is commensurate with the preliminary ratings assigned.