DBRS Confirms Ratings to Class A1, A2 and A3 Notes Issued by Mespil 1 RMBS Limited

DBRS Ratings Limited (“DBRS”) has reviewed Mespil1 RMBS Limited (“the Issuer”) and confirms the rating to the following classes of Notes:

• Class A1 confirmed at AA (sf)
• Class A2 confirmed at AA (sf)
• Class A3 confirmed at AA (sf)

Mespil1 RMBS Limited is a securitisation of a portfolio of first ranking prime Irish residential mortgages funded by the issuance of four classes of mortgage-backed securities. The mortgages were originated and are serviced by EBS Limited and its wholly owned subsidiary Haven Mortgages Limited.

Confirmation of the ratings for the Notes is based upon the following analytical consideration:

• Updated Portfolio Default Rate, Loss Given Default and Expected Loss for the remaining collateral pool;
• Portfolio performance, in terms of defaults and level of delinquencies, as of the 23 September 2013 reporting date;
• Current available credit enhancement to each class of notes to cover the expected losses at the AA (sf) rating level.

Current 90+ delinquencies (excluding defaulted loans) as a percentage of the performing balance of the portfolio showed an increasing trend since rating, but not at a level to negatively impact the credit enhancement available to the Notes. Defaulted loans are within initial expectations. Cumulative recoveries to date are low, but in line with DBRS assumptions from its initial rating analysis.

Credit enhancement for Notes is provided by the subordination of Class Z Notes and a non-amortising Reserve Fund of €10 million, equal to 1% of the total initial issuance. Current credit enhancement as a percentage of the performing collateral balance is 30.45%. The Reserve Fund is at the same level as at transaction close.

Additionally, the transaction benefits from a provisioning mechanism where deemed losses will be debited to the principal deficiency ledger (PDL) for Class Z Notes and thereafter pro-rata to that for Class A1, A2 and A3 Notes. This positive feature allows excess spread to be diverted to clear the resultant PDL.

BNP Paribas, Dublin branch is the Account Bank for the transaction. The DBRS private rating of BNP Paribas, Dublin branch is above the Minimum Institution Rating given the highest rating assigned to the rated Notes, as described in the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in Euro unless otherwise noted.
The principal methodology applicable is the Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda.

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

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies

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 investor reports provided by EBS Limited and data from the European DataWarehouse. 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 transaction took place on 11 October 2012, when DBRS has confirmed the ratings of Class A1, Class A2 and Class A3 at AA (sf).

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

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):
• DBRS expected a lifetime base case Probability of Default (PD) and Loss Given Default (LGD) for the pool based on a review of historical data. 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 mortgages for the Issuer are 9.95% and 53.63%, respectively. At the AA (sf) rating level, the corresponding PD is 29.74% and the LGD is 72.70%.
• The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating of Class A3 Notes would be expected to decrease to BBB (High) (sf), assuming no change in the PD. If the PD increases by 50%, the rating for the Class A3 Notes would be expected to decrease to BBB (High) (sf), assuming no change in the LGD. Furthermore, if both PD and LGD increase by 50%, the rating would be expected to decrease to BB (High) (sf).

Class A1 and Class A2 Risk Sensitivity:
• 25% increase in LGD, expected rating of AA (sf)
• 50% increase in LGD, expected rating of AA (sf)
• 25% increase in PD, expected rating of AA (sf)
• 50% increase in PD, expected rating of AA (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of AA (sf)
• 25% increase in PD and 50% increase in LGD, expected rating of AA (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of AA (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of AA (sf)

Class A3 Risk Sensitivity:
• 25% increase in LGD, expected rating of A (High) (sf)
• 50% increase in LGD, expected rating of BBB (High) (sf)
• 25% increase in PD, expected rating of A (High) (sf)
• 50% increase in PD, expected rating of BBB (High) (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of BBB (High) (sf)
• 25% increase in PD and 50% increase in LGD, expected rating of BBB (Low) (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of BBB (Low) (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of BB (High) (sf)

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: Kali Sirugudi
Initial Rating Date: 22 February 2012
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: 11 October 2012

Lead Surveillance Analyst: Elisa Scalco
Rating Committee Chair: Claire Mezzanotte
DBRS Ratings Limited
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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

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