DBRS Assigns Ratings to Bank of Ireland Mortgage Bank Mortgage Covered Securities Programme, Series 46

DBRS Rating Limited (DBRS) has today assigned a rating of ‘A’ (low) to the Series 46 Mortgage Covered Securities issued under the Bank of Ireland Mortgage Bank €15,000,000,000 Mortgage Covered Securities Programme (the “Programme”). The Series 46 is a €750 million fixed rate security maturing in March 2019. At the same time, DBRS has confirmed the ‘A’ (low) rating on all outstanding Securities issued under the Programme.

The ratings are based on the following analytical considerations:
• The Mortgage Covered Securities are direct, unconditional and senior obligations of Bank of Ireland Mortgage Bank, a wholly owned subsidiary of The Governor and Company of the Bank of Ireland, which is rated BBB (high) with a Negative trend by DBRS, confirmed on 13 May 2013.
• DBRS Legal and Structuring Framework Assessment of “Strong”.
• Cover pool credit assessment of “BB”.
• Bank of Ireland Mortgage Bank’s capabilities with respect to origination of cover pool assets and servicing of the cover pool.

Following the issuance of the Series 46, the total outstanding amount of Securities under the Programme is €10.402 bln.

As of December 2013 the aggregate balance of mortgages in the cover pool was €13.288 billion. The weighted average current loan-to-value of the mortgages was 61.13%, whilst the weighted average indexed loan-to-value was 96.08%. Buy-to-let mortgages represented 20.02% of the cover pool.

Qualified Substitution Assets amount to €1.424 billion. Substitution Assets are comprised of deposits which are held with The Governor and Company of the Bank of Ireland.

Notes:
All figures are in Euro unless otherwise noted.

The principal methodology applicable is Rating European Covered Bonds.
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 historical default performance data relating to the mortgages provided by Bank of Ireland Mortgage Bank, spanning from 2003 to 2012. Data was also provided with a loan level collateral file and portfolio stratification tables 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.

The last rating action on this Programme took place on 6 February 2014, when DBRS assigned rating to Series 45 and confirmed the rating all outstanding Series.

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

All else equal, a downgrade of the Issuer rating by one notch would lead to a downgrade of the Covered Securities by one notch.

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: February 6, 2014

Lead Surveillance Analyst: Valentina Cicerone
Rating Committee Chair: Claire Mezzanotte

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 & Banking Organisations
• Legal Criteria for European Structured Finance Transactions
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Master European Structured Finance Surveillance Methodology
• Operational Risk Assessment for European Structured Finance Servicers
• Unified Interest Rate Model Methodology for European Securitisations