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      FRIDAY, 17/01/2025 - Scope Ratings GmbH
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      Scope has completed a periodic review for Warrington Residential 2022-1 DAC - Irish NPL ABS

      No action has been taken on the notes issued by Warrington Residential 2022-1 DAC following the periodic review.

      Scope Ratings GmbH (Scope) monitors and reviews its credit ratings on an ongoing basis and at least annually, or every six months in the case of sovereigns, sub-sovereigns and supranational organisations.

      Scope performs periodic reviews to determine whether material changes and/or changes in macroeconomic or financial market conditions could have an impact on the credit ratings. Scope considers all available and relevant information when undertaking the periodic review.

      Periodic reviews are conducted by performing a peer comparison, benchmarking against the rating-change drivers, and/or reviewing the credit ratings’ performance over time, as deemed appropriate by the Lead Analyst or Analytical Team Head, in addition to an assessment of all aspects of the relevant methodology/ies, including key rating assumptions and model(s). Scope publicly announces the completion of each periodic review on its website.

      Scope completed the periodic review for Warrington Residential 2022-1 DAC on 15 January 2025. The credit ratings remain as follows:

      Class A1 (ISIN: XS2439881108), EUR 93.4m outstanding amount: A+SF

      Class A2 (ISIN: XS2439881280), EUR 22.8m outstanding amount: BBB+SF

      Class B (ISIN: XS2439881447), EUR 10.0m outstanding amount: BB+SF

      Class C (ISIN: XS2439881520), EUR 8.7m outstanding amount: B+SF

      Class Z1 (ISIN: XS2439881876): not rated

      Class Z2 (ISIN: XS2439882171): not rated

      Class X: not rated


      The review was conducted considering available servicer, payment and investor reporting up to October 2024.

      This monitoring note does not constitute a credit rating action, nor does it indicate the likelihood that Scope will conduct a credit rating action in the short term. Information about the latest credit rating action connected with this monitoring note along with the associated rating history can be found on www.scoperatings.com.

      Key rating factors

      Rating factors assessed during the periodic review include realised profitability on closed positions, timing of cumulative gross proceeds and performance on asset disposal with related recovery expenses, against Scope’s expectations. The rating also considered Ireland’s macro-economic outlook, the issuers’ exposure to key counterparties, the legal and structural protection provided to the notes, the liquidity protection, and the interest rate hedging agreement.

      The Class A1 notes have significantly deleveraged since closing, with an amortisation of 50.8% of their initial notional value. Notes junior to the Class A1 notes have also amortised since the last assessment, driven by additional portfolio sales reported in September 2024.

      The liquidity position of the Class A notes remains stable, with the liquidity reserve on target. A small portion of the current portfolio (4.7% of current gross book value) consists of reperforming loans, which enhances the liquidity of the transaction.

      Collections have underperformed both the business plan and Scope’s initial expectations, particularly in terms of timing. The cumulative collection ratios stand at 74.4% and 79.0%, respectively. While reported property sale proceeds currently exceed the closing valuations, this is based on a limited number of properties sold. Scope will continue to closely monitor the performance of asset disposals.

      The methodologies applicable for the reviewed ratings (General Structured Finance Rating Methodology, 6 March 2024; Non-Performing Loan ABS Methodology, 2 August 2024; Counterparty Risk Methodology, 10 July 2024) are available on https://scoperatings.com/governance-and-policies/rating-governance/methodologies.
      This monitoring note is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.
      Lead analyst Elom Kwamin, Analyst

      © 2025 Scope SE & Co. KGaA and all its subsidiaries including Scope Ratings GmbH, Scope Ratings UK Limited, Scope Fund Analysis GmbH, Scope Innovation Lab GmbH and Scope ESG Analysis GmbH (collectively, Scope). All rights reserved. The information and data supporting Scope’s ratings, rating reports, rating opinions and related research and credit opinions originate from sources Scope considers to be reliable and accurate. Scope does not, however, independently verify the reliability and accuracy of the information and data. Scope’s ratings, rating reports, rating opinions, or related research and credit opinions are provided ‘as is’ without any representation or warranty of any kind. In no circumstance shall Scope or its directors, officers, employees and other representatives be liable to any party for any direct, indirect, incidental or other damages, expenses of any kind, or losses arising from any use of Scope’s ratings, rating reports, rating opinions, related research or credit opinions. Ratings and other related credit opinions issued by Scope are, and have to be viewed by any party as, opinions on relative credit risk and not a statement of fact or recommendation to purchase, hold or sell securities. Past performance does not necessarily predict future results. Any report issued by Scope is not a prospectus or similar document related to a debt security or issuing entity. Scope issues credit ratings and related research and opinions with the understanding and expectation that parties using them will assess independently the suitability of each security for investment or transaction purposes. Scope’s credit ratings address relative credit risk, they do not address other risks such as market, liquidity, legal, or volatility. The information and data included herein is protected by copyright and other laws. To reproduce, transmit, transfer, disseminate, translate, resell, or store for subsequent use for any such purpose the information and data contained herein, contact Scope Ratings GmbH at Lennéstraße 5, D-10785 Berlin.

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