Morningstar DBRS Confirms Credit Ratings on Dublin Bay Securities 2018-MA1 DAC

DBRS Ratings GmbH (Morningstar DBRS) confirmed its credit ratings on the bonds issued by Dublin Bay Securities 2018-MA1 DAC (the Issuer) as follows:

-- Class A1 at AAA (sf)
-- Class A2A at AAA (sf)
-- Class A2B at AAA (sf)
-- Class S at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (high) (sf)
-- Class D at A (sf)
-- Class E at BBB (high) (sf)
-- Class F at BB (high) (sf)
-- Class Z1 at BB (low) (sf)

The credit ratings for Classes A1 through S address the timely payment of interest and ultimate payment of principal by the final legal maturity date in September 2053. The credit ratings for the other classes of notes address the ultimate payment of interest and principal by the final legal maturity date. The Class B notes were tested for timely payment of interest once it becomes the most senior class of notes in this transaction.

The confirmations follow an annual review of the transaction and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the June 2024 payment date;
-- Probability of default (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables; and
-- Current available credit enhancement to the notes to cover the expected losses at their respective credit rating levels.

The Issuer is a bankruptcy-remote special-purpose vehicle (SPV) incorporated in the Republic of Ireland (Ireland). The Issuer used the proceeds of the notes to fund the purchase of Irish residential mortgage loans originated by Bank of Scotland plc (Bank of Scotland) and secured by properties in Ireland. In September 2018, the Bank of Scotland sold the mortgage portfolio to Erimon Home Loans Ireland Limited, a bankruptcy-remote SPV wholly owned by Barclays Bank PLC. Pepper Finance Corporation acts as the servicer of the mortgage portfolio during the life of the transaction, while CSC Capital Markets (Ireland) Limited acts as the replacement servicer facilitator.

PORTFOLIO PERFORMANCE
As of the June 2024 payment date, loans that were 30 to 60 days delinquent and 60 to 90 days delinquent represented 3.3% and 1.3% of the outstanding portfolio balance, respectively, while loans more than 90 days delinquent amounted to 11.6%, representing a significant increase compared to 6.8% twelve months prior. There have not been any realised losses reported to date.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions to 13.9% and 15.0%, respectively.

CREDIT ENHANCEMENT
As of the June 2024 payment date, credit enhancement for the Class A1, Class A2A, and Class A2B notes was 33.4%, up from 26.9% in June 2023. In the same period, the credit enhancements for the Class B, Class C, Class D, Class E, Class F, and Class Z1 notes were 27.7%, 24.0%, 19.6%, 16.6%, 13.6%, and 12.6%, respectively, up from 22.2%, 19.1%, 15.4%, 12.9%, 10.4%, and 9.6%, respectively. The considerable increases in credit enhancement as compared to twelve months prior are driven by the switch from pro rata to sequential amortisation of the notes, since the occurrence and continuation of the sequential amortisation trigger event starting from the December 2022 payment date.

The Class S notes are excess spread notes (i.e., they are not collateralised and do not have any credit enhancement). The Class S notes are redeemed through the pre-enforcement revenue priority of payments, though principal receipts can also be used to cure shortfalls in the required payments for the Class S notes.

The protected amortisation reserve fund in the amount of EUR 8.0 million initially provided credit and liquidity support to the Class A2A and Class A2B notes during the pro rata amortisation period. This reserve was fully released after the occurrence of the sequential amortisation trigger event.

The transaction benefits from a liquidity reserve fund currently equal to EUR 1.85 million, which is available to provide liquidity support to the senior fee and interest payments on the Class A and Class S notes.

Citibank, N.A., London Branch (Citibank) is the Issuer Account Bank, Paying Agent, and Cash Manager. Based on Morningstar DBRS' private rating on Citibank, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to Citibank to be consistent with the credit ratings assigned to the notes, as described in Morningstar DBRS' "Legal Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings at https://dbrs.morningstar.com/research/437781.

Morningstar DBRS analysed the transaction structure in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is: Master European Structured Finance Surveillance Methodology (6 August 2024), https://dbrs.morningstar.com/research/437540.

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

The A (high) (sf) credit rating on the Class C notes materially deviates from the higher credit rating implied by the quantitative model. Morningstar DBRS considers a material deviation to be a credit rating differential of three or more notches between the assigned credit rating and the credit rating implied by a quantitative model that is a substantial component of a credit rating methodology; in this case, the credit rating addresses the ultimate payment of interest and principal on or before the final maturity date as defined in the transaction legal documents. Morningstar DBRS typically expects bonds rated in the AA category in the respective credit rating scenario to be able to pay interest on a timely basis once they are the most senior bond in the transaction.

Morningstar DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent credit rating action.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Credit Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/436000.

The sources of data and information used for these credit ratings include investor reports provided by Citibank and loan-level data provided by the European DataWarehouse GmbH.

Morningstar DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial credit ratings, Morningstar DBRS was supplied with third-party assessments. However, this did not impact the credit rating analysis.

Morningstar DBRS considers the data and information available to it for the purposes of providing these credit ratings to be of satisfactory quality.

Morningstar DBRS does not audit or independently verify the data or information it receives in connection with the credit rating process.

The last credit rating action on this transaction took place on 8 September 2023, when Morningstar DBRS confirmed its credit ratings on the Class A1, Class A2A, Class A2B, Class S, Class B, Class C, Class D, Class E, Class F, and Class Z1 notes at AAA (sf), AAA (sf), AAA (sf), AAA (sf), AA (sf), A (high) (sf), A (sf), BBB (high) (sf), BB (high) (sf), and BB (low) (sf), respectively, and removed the credit ratings from Under Review with Negative Implications (UR-Neg.).

The lead analyst responsibilities for this transaction have been transferred to Daniel Rakhamimov.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available at dbrs.morningstar.com.

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit ratings, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit ratings (the base case):

-- Morningstar DBRS expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- The base case PD and LGD of the current pool of loans for the Issuer are 13.9% and 15.0%, respectively.

Class A1 Risk Sensitivity:
-- 25% increase of the LGD, expected credit rating of AAA (sf)
-- 50% increase of the LGD, expected credit rating of AAA (sf)
-- 25% increase of the PD, expected credit rating of A (high) (sf)
-- 50% increase of the PD, expected credit rating of A (low) (sf)
-- 25% increase of the PD and 25% increase of the LGD, expected credit rating of A (high) (sf)
-- 50% increase of the PD and 25% increase of the LGD, expected credit rating of A (high) (sf)
-- 25% increase of the PD and 50% increase of the LGD, expected credit rating of A (low) (sf)
-- 50% increase of the PD and 50% increase of the LGD, expected credit rating of A (low) (sf)

Class A2 Risk Sensitivity:
-- 25% increase of the LGD, expected credit rating of AAA (sf)
-- 50% increase of the LGD, expected credit rating of AAA (sf)
-- 25% increase of the PD, expected credit rating of A (high) (sf)
-- 50% increase of the PD, expected credit rating of A (low) (sf)
-- 25% increase of the PD and 25% increase of the LGD, expected credit rating of A (high) (sf)
-- 50% increase of the PD and 25% increase of the LGD, expected credit rating of A (high) (sf)
-- 25% increase of the PD and 50% increase of the LGD, expected credit rating of A (low) (sf)
-- 50% increase of the PD and 50% increase of the LGD, expected credit rating of A (low) (sf)

Class S Risk Sensitivity:
-- 25% increase of the LGD, expected credit rating of AAA (sf)
-- 50% increase of the LGD, expected credit rating of AAA (sf)
-- 25% increase of the PD, expected credit rating of A (high) (sf)
-- 50% increase of the PD, expected credit rating of A (low) (sf)
-- 25% increase of the PD and 25% increase of the LGD, expected credit rating of A (high) (sf)
-- 50% increase of the PD and 25% increase of the LGD, expected credit rating of A (high) (sf)
-- 25% increase of the PD and 50% increase of the LGD, expected credit rating of A (low) (sf)
-- 50% increase of the PD and 50% increase of the LGD, expected credit rating of A (low) (sf)

Class B Risk Sensitivity:
-- 25% increase of the LGD, expected credit rating of A (high) (sf)
-- 50% increase of the LGD, expected credit rating of A (high) (sf)
-- 25% increase of the PD, expected credit rating of BBB (high) (sf)
-- 50% increase of the PD, expected credit rating of BBB (sf)
-- 25% increase of the PD and 25% increase of the LGD, expected credit rating of BBB (high) (sf)
-- 50% increase of the PD and 25% increase of the LGD, expected credit rating of BBB (high) (sf)
-- 25% increase of the PD and 50% increase of the LGD, expected credit rating of BB (high) (sf)
-- 50% increase of the PD and 50% increase of the LGD, expected credit rating of BB (high) (sf)

Class C Risk Sensitivity:
-- 25% increase of the LGD, expected credit rating of A (high) (sf)
-- 50% increase of the LGD, expected credit rating of A (high) (sf)
-- 25% increase of the PD, expected credit rating of A (high) (sf)
-- 50% increase of the PD, expected credit rating of A (low) (sf)
-- 25% increase of the PD and 25% increase of the LGD, expected credit rating of A (high) (sf)
-- 50% increase of the PD and 25% increase of the LGD, expected credit rating of A (low) (sf)
-- 25% increase of the PD and 50% increase of the LGD, expected credit rating of BBB (high) (sf)
-- 50% increase of the PD and 50% increase of the LGD, expected credit rating of BBB (high) (sf)

Class D Risk Sensitivity:
-- 25% increase of the LGD, expected credit rating of A (low) (sf)
-- 50% increase of the LGD, expected credit rating of A (low) (sf)
-- 25% increase of the PD, expected credit rating of BBB (high) (sf)
-- 50% increase of the PD, expected credit rating of BBB (high) (sf)
-- 25% increase of the PD and 25% increase of the LGD, expected credit rating of BBB (high) (sf)
-- 50% increase of the PD and 25% increase of the LGD, expected credit rating of BBB (high) (sf)
-- 25% increase of the PD and 50% increase of the LGD, expected credit rating of BBB (low) (sf)
-- 50% increase of the PD and 50% increase of the LGD, expected credit rating of BB (high) (sf)

Class E Risk Sensitivity:
-- 25% increase of the LGD, expected credit rating of BBB (high) (sf)
-- 50% increase of the LGD, expected credit rating of BBB (low) (sf)
-- 25% increase of the PD, expected credit rating of BBB (low) (sf)
-- 50% increase of the PD, expected credit rating of BB (high) (sf)
-- 25% increase of the PD and 25% increase of the LGD, expected credit rating of BB (high) (sf)
-- 50% increase of the PD and 25% increase of the LGD, expected credit rating of BB (high) (sf)
-- 25% increase of the PD and 50% increase of the LGD, expected credit rating of BB (high) (sf)
-- 50% increase of the PD and 50% increase of the LGD, expected credit rating of BB (sf)

Class F Risk Sensitivity:
-- 25% increase of the LGD, expected credit rating of BB (high) (sf)
-- 50% increase of the LGD, expected credit rating of BB (sf)
-- 25% increase of the PD, expected credit rating of BB (low) (sf)
-- 50% increase of the PD, expected credit rating of B (high) (sf)
-- 25% increase of the PD and 25% increase of the LGD, expected credit rating of BB (low) (sf)
-- 50% increase of the PD and 25% increase of the LGD, expected credit rating of B (high) (sf)
-- 25% increase of the PD and 50% increase of the LGD, expected credit rating of B (high) (sf)
-- 50% increase of the PD and 50% increase of the LGD, expected credit rating of B (sf)

Class Z1 Risk Sensitivity:
-- 25% increase of the LGD, expected credit rating of BB (low) (sf)
-- 50% increase of the LGD, expected credit rating of B (high) (sf)
-- 25% increase of the PD, expected credit rating of B (high) (sf)
-- 50% increase of the PD, expected credit rating of B (sf)
-- 25% increase of the PD and 25% increase of the LGD, expected credit rating of B (high) (sf)
-- 50% increase of the PD and 25% increase of the LGD, expected credit rating of B (sf)
-- 25% increase of the PD and 50% increase of the LGD, expected credit rating of B (low) (sf)
-- 50% increase of the PD and 50% increase of the LGD, expected credit rating of B (low) (sf)

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

These credit ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Daniel Rakhamimov, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Date: 22 October 2018

DBRS Ratings GmbH
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60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Master European Structured Finance Surveillance Methodology (6 August 2024),  
https://dbrs.morningstar.com/research/437540.  
-- European RMBS Insight Methodology (25 March 2024) and European RMBS Insight Model v9.0.0.0, 
https://dbrs.morningstar.com/research/430103.  
-- European RMBS Insight: Irish Addendum (22 April 2024), 
https://dbrs.morningstar.com/research/431544. 
-- Legal Criteria for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435165.
-- Operational Risk Assessment for European Structured Finance Servicers (6 August 2024), 
https://dbrs.morningstar.com/research/437543.  
-- Interest Rate Stresses for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435278.
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024), https://dbrs.morningstar.com/research/437781.

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/278375.

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.