DBRS Confirms AAA (sf) Rating to the Class A Notes of Melepard CDO 1 Limited

DBRS has today confirmed the 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 principal payable to the Class A Notes. The €461,900,000 Class A Notes is 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 and was rated by DBRS on 24 February 2011. 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 January 2012. The Governor and Company of the Bank of Ireland (the “Bank of Ireland”) acts as the servicer of the portfolio.

The confirmation follows the request by the Citicorp Trustee Company Limited to confirm the ratings of Melepard CDO 1 Limited given the waiver of the requirements of paragraphs (e) and (f) of the Reinvestment Criteria in respect to the Requested Substitute Loans. Subsequently, the Issuer plans to reinvest an additional €87,196,766 of cash that accrued from the high levels of repayments on the underlying loans in the portfolio.

The AAA (sf) rating of Class A Notes is based on the assessment of the credit quality of the investments permitted under the terms of transaction documents including changes made to the transaction pursuant to the Amendment Deed and amended documents dated as of 17 February 2011. DBRS conducted a rating mapping of the 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 principal methodology applicable is Rating Global High-Yield Loan Securitizations, Structured Loans and Tranched Credit Derivatives, which can be found on our website under Methodologies.

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

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

Lead Analyst: Orest Gavrylak
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 24 February 2011

Note:
All figures are in Euros unless otherwise noted.