DBRS Assigns AAA (sf) Rating to the Class A Notes for Melepard CDO 1 Limited

DBRS has today assigned a rating of AAA (sf) to the Class A Asset Backed Floating Rate Notes (the “Class A Notes”) for Melepard CDO 1 Limited (the “Issuer”). The rating addresses the timely payment of interest and ultimate payment of principal payable to the Class A Notes on or before the Final Maturity Date of January 2023. The €736,900,000 Class A Notes will be supported by €471,200,000 Class B Notes and a Reserve Account. DBRS does not rate the Class B Notes.

The Issuer is a private limited company incorporated under the laws of Ireland. The transaction is a collateralized loan obligation (CLO) which closed in January 2009. The transaction is collateralized by a portfolio of secured and unsecured leveraged loans and other corporate debt obligations extended primarily to European and U.S. borrowers. Reinvestment of certain principal proceeds is permitted until the reinvestment period ends in July 2012. The Governor and Company of the Bank of Ireland (the “Bank of Ireland”) acts as the servicer of the portfolio.

The AAA (sf) rating of Class A Notes based on its assessment of the credit quality of the investments permitted under the terms of transaction documents and changes made to the transaction pursuant to the Amendment Deed and amended documents dated as of 17 February 2011. The amendment reflects changes made by the Issuer to comply with DBRS rating criteria. DBRS conducted a rating mapping of Bank of Ireland’s internal ratings to DBRS ratings in order to ascertain the credit quality for investments permitted by the Issuer. The rating reflects a review of the legal structure, operational capabilities of key transaction participants, eligibility criteria, reinvestment criteria and credit enhancements to withstand projected collateral loss rates under various cash flow stress scenarios.

The review of this transaction is based on information provided by the amended documents dated as of 17 February 2011. The rating was disclosed to the Issuer and no amendments were made following the disclosure.

The primary public methodologies are Rating Global High-Yield Loan Securitizations, Structured Loans and Tranched Credit Derivatives and Mapping Financial Institution Internal Ratings to DBRS Ratings for Structured Credit Transactions, which can be found on www.dbrs.com under Methodologies.

This is the first DBRS rating on this financial instrument. This rating concerns an existing financial instrument; the Class A Notes were originally issued in January 2009.

The sources of information used for this rating include the parties involved in the rating including but not limited to Bank of Ireland. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

Further information on DBRS’s analysis of this transaction will be available in a rating report on http://www.dbrs.com, or by contacting us at info@dbrs.com.

For additional information on DBRS European CLO and Tranched Credit Derivatives, please see European Disclosure Requirements, located at http://www.dbrs.com/research/237794.

Note:
All figures are in Euros unless otherwise noted.