DBRS Assigns Rating to Bank of Ireland Mortgage Bank Mortgage Covered Securities Programme Series 47

DBRS Ratings Limited (DBRS) has today assigned a rating of “A” to the Series 47 Mortgage Covered Securities issued under the Bank of Ireland Mortgage Bank (BOIMB or the Issuer) €15,000,000,000 Mortgage Covered Securities Programme (the Programme). Series 47 is a €750 million fixed rate security maturing in January 2020. At the same time, DBRS has confirmed the “A” ratings on all outstanding Securities issued under the Programme.

The ratings are based on the following analytical considerations:
-- A Covered Bonds Attachment Point (CBAP) of BBB (high), being the rating of The Governor and Company of the Bank of Ireland which is the Reference Entity. The Issuer is a fully owned subsidiary of the Reference Entity
-- A Legal and Structuring Framework (LSF) Assessment of “Adequate” assigned to the Programme
-- A Cover Pool Credit Assessment (CPCA) of BB (high), being the lowest CPCA in line with the covered bonds rating
-- An LSF-Implied Likelihood (LSF-L) of A (low)
-- One notch uplift for high recovery prospects
-- A level of nominal overcollateralization (OC) which DBRS gives credit to of 26.2% in accordance with its Methodology

The transaction was modelled with the DBRS European Covered Bond Cash Flow Model. The main assumptions focused on the timing of defaults and recoveries of the assets, interest rate stresses and market value spreads to calculate liquidation values on the cover pool.

Everything else being equal, a downgrade of the Reference Entity rating by one notch would lead to a downgrade of the LSF-L by one notch, resulting in a downgrade of the Mortgage Covered Securities rating by one notch.

In addition, everything else equal, the ratings of the Mortgage Covered Securities would be downgraded if any of the following occurs: (1) the CPCA were downgraded below BB (high); (2) the sovereign rating of the Republic of Ireland was downgraded below A (low); (3) the LSF Assessment associated with the programme were downgraded; (4) the quality and consistency of the cover pool were no longer sufficient to support one notch uplift for high recovery prospects; or (5) volatility in the financial markets caused the currently estimated market value spreads to be increased.

Following the issuance of Series 47, the total outstanding amount of Securities under the Programme is €9,708,450,000. As of 30 December 2014, the cover pool included EUR 12.29 billion of residential mortgage loans and EUR 1.48 billion of substitution assets.

As of December 2014, the weighted-average current loan-to-value of the mortgages was 59.40%, whilst the weighted-average indexed loan-to-value was 82.02%. Buy-to-let mortgages represented 19.43% of the cover pool. Fixed-rate mortgages in the CP accounted for 7.56% of notional, whilst tracker and variable mortgages represented respectively 60.97% and 31.19% of CP balance. 68.98% 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.

DBRS has assessed the LSF related to BOIMB Programme as “Adequate” according to its rating methodology. For more information, please refer to DBRS commentaries “DBRS Assigns Legal and Structuring Framework Assessment to Irish Covered Bonds Programmes” and “Irish Covered Bonds Legal and Structuring Framework”, both available at www.dbrs.com.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is: “Rating European Covered Bonds” (December 2014). 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.

This rating concerns a newly issued financial instrument issued under an existing programme rated by DBRS.

The last rating action on this Programme took place on 17 December 2014, when DBRS upgraded the rating to “A” from A (low) following the implementation of DBRS’s “Rating European Covered Bonds” methodology published on 17 December 2014.

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: 17 December 2014

Lead Analyst: Valentina Cicerone
Rating Committee Chair: Quincy Tang

DBRS Ratings Limited
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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 and Banking Organisations
Legal Criteria for European Structured Finance Transactions
Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
Master European Structured Finance Surveillance Methodology
Operational Risk Assessment for European Structured Finance Servicers
Unified Interest Rate Model for European Securitisations