DBRS Assigns Ratings to Bank of Ireland Mortgage Bank Mortgage Covered Securities Programme, Series 40

DBRS Rating Limited (DBRS) has today assigned a rating of A (low) to the Series 40 Mortgage Covered Securities issued under the Bank of Ireland Mortgage Bank €15,000,000,000 Covered Securities Programme (the “Programme”). The Series 40 is a €500 million fixed rate security with a 3.625% coupon maturing in October 2020. At the same time, DBRS has confirmed the A (low) rating on the €9 billion outstanding under the Programme upon a full review of the rating.

DBRS discontinues the ratings on the Series 6 security which matured and was paid in full on 5 July 2013 and the ratings on the Series 37 security which matured and was paid in full on 9 April 2013.

The ratings are based on the following analytical considerations:
• The Mortgage Covered Securities are direct, unconditional and senior obligations of Bank of Ireland Mortgage Bank, a wholly owned subsidiary of The Governor and Company of the Bank of Ireland, which is rated BBB (high) with a Negative trend by DBRS, confirmed on 13 May 2013.
• DBRS Legal and Structuring Framework Assessment of “Strong”.
• Cover pool credit assessment of BB.
• Bank of Ireland Mortgage Bank’s capabilities with respect to origination of cover pool assets and servicing of the cover pool.

All else equal, a downgrade of the Issuer rating by one notch would lead to a downgrade of the Covered Securities by one notch.

Following the issuance of the Series 40 and repayment of the Series 6 and Series 37, the total outstanding amount of securities under the Programme is €9.002 billion. As of June 2013, the aggregate balance of mortgages in the cover pool was €13.788 billion and the total amount of Substitution Assets was €1.152 billion which have been used for reimbursement of the repaid Series. Substitution Assets can be also be comprised of deposits which are held with The Governor and Company of the Bank of Ireland and no longer benefit from the guarantee under the Eligible Liabilities Scheme of 2009 which expired on 28 March 2013.

As of June 2013, the weighted average current loan-to-value of the mortgages was 61.8% whilst the weighted average indexed loan-to-value was 103.8%. Buy-to-let mortgages represented 21% of the cover pool.

For additional information on this rating, please see the related linking document.

Notes:
All figures are in Euros unless otherwise noted.
The principal methodologies applicable are:
• Rating European Covered Bonds
• Global Methodology for Rating Banks & Banking Organisations
• Legal Criteria for European Structured Finance Transactions
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Master European Structured Finance Surveillance Methodology
• Operational Risk Assessment for European Structured Finance Servicers
• Unified Interest Rate Model Methodology for European Securitisations

These can be found on dbrs.com under Methodologies. For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”.

The sources of information used for this rating include a loan level collateral file of the cover pool, historical arrears and default data, all provided by the Issuer. In addition, DBRS anlaysed the Residential Property Price Index published by the Central Statistics Office (CSO). DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

For further information on DBRS’s historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Lead Analyst: Valentina Cicerone
Rating Committee Chair: Quincy Tang
Initial Rating Date: 18 April 2012
Most Recent Rating Update: 22 March 2013

The lead and back-up responsibilities for this transaction have been transferred to Valentina Cicerone and Vito Natale, respectively.