DBRS Confirms Ratings on Bank of Ireland Mortgage Bank Mortgage Covered Securities Programme

DBRS Rating Limited (DBRS) has today confirmed the rating of ‘A’ (low) on all outstanding Mortgage Covered Securities issued under the Bank of Ireland Mortgage Bank €15,000,000,000 Covered Securities Programme (the “Programme”). The confirmation follows the completion of the annual review process. There are EUR9.013 bn Covered Securities outstanding under the Programme.

The rating action reflects the following analytical considerations:

• The Mortgage Covered Securities are direct, unconditional and senior obligations of Bank of Ireland Mortgage Bank (the Issuer), 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 22 August 2014.
• DBRS Legal and Structuring Framework Assessment of “Strong” associated with the Programme.
• Cover pool credit assessment of BB.
• The Issuer’s capabilities with respect to origination of the cover pool (CP) and servicing of the CP.

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 repayment of Series 17 on 16 September 2014, the total outstanding amount of securities under the Programme is €9.013 billion. As of June 2014, the aggregate balance of mortgages in the CP was €12.829 billion and the total amount of Substitution Assets was €1.565 billion which have been used for reimbursement of the repaid Series.

As of June 2014, the weighted average current loan-to-value of the mortgages was 60.29% whilst the weighted average indexed loan-to-value was 93.10%. Buy-to-let mortgages represented 19.8% of the CP.

Fixed rate mortgages in the CP accounted for 7.97% of notional, whilst tracker and variable mortgages represented respectively 61.3% and 30.46% of CP balance. 66.04% of Covered Securities outstanding pay a fixed coupon. The interest rate mismatch in the Programme is hedged with The Governor and Company of the Bank of Ireland, which is rated BBB (high) with a Negative trend by DBRS. All CP assets are denominated in Euros, as well as all Covered Securities. As such, investors are not currently exposed to any foreign exchange risk.

Notes:
All figures are in Euros unless otherwise noted.

The principal methodology applicable is: “Rating European Covered Bonds”. This can be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.

Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

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” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include historical default performance data and loan by loan level information on the cover pool provided by the issuer that allowed DBRS to further assess the portfolio. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this Programme took place on 19 March 2014, when DBRS assigned rating to Series 46 and confirmed the rating of all outstanding Series.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com

For further information on DBRS 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.

Initial Lead Analyst: Keith Gorman
Initial Rating Date: 18 April 2012
Initial Rating Committee Chair: Erin Stafford

Last Rating Date: 19 March 2014

Lead Analyst: Valentina Cicerone
Rating Committee Chair: Quincy Tang

DBRS Ratings Limited
1 Minster Court, 10th Floor
Mincing Lane
London
EC3R 7AA
United Kingdom

Registered in England and Wales: No. 7139960

The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

• 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