Morningstar DBRS Upgrades and Confirms Credit Ratings on Three Finance Ireland RMBS Transactions

DBRS Ratings GmbH (Morningstar DBRS) took the following credit rating actions on the notes issued by Finance Ireland RMBS No.4 DAC (Finance Ireland 4), Finance Ireland RMBS No. 5 DAC (Finance Ireland 5), and Finance Ireland RMBS No. 6 DAC (Finance Ireland 6):

Finance Ireland 4:
-- Class A confirmed at AAA (sf)
-- Class B confirmed at AA (high) (sf)
-- Class C confirmed at AA (high) (sf)
-- Class D upgraded to AA (high) (sf) from A (high) (sf)
-- Class E upgraded to A (high) (sf) from BBB (sf)
-- Class F upgraded to BBB (high) from BB (high) (sf)

The credit rating on the Class A notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date in December 2061. The credit ratings on the Class B, Class C, and Class D notes address the ultimate payment of interest and principal on or before the legal final maturity date while junior, and timely payment of interest while the senior-most class outstanding. The credit ratings on the Class E, and Class F notes address the ultimate payment of interest and principal on or before the legal final maturity date.

Finance Ireland 5:
-- Class A confirmed at AAA (sf)
-- Class B confirmed at AA (high) (sf)
-- Class C confirmed at A (high) (sf)
-- Class D confirmed at BBB (high) (sf)
-- Class E confirmed at BB (high) (sf)

The credit rating on the Class A notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date in September 2062. The credit ratings on the Class B and Class C notes address the ultimate payment of interest and principal on or before the legal final maturity date while junior, and timely payment of interest while the senior-most class outstanding. The credit ratings on the Class D and Class E notes address the ultimate payment of interest and principal on or before the legal final maturity date.

Finance Ireland 6:
-- Class A confirmed at AAA (sf)
-- Class B confirmed at AA (high) (sf)
-- Class C confirmed at AA (sf)
-- Class D confirmed at A (low) (sf)
-- Class E confirmed at BB (high) (sf)

The credit rating on the Class A notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date in September 2063. The credit ratings on the Class B and Class C notes address the ultimate payment of interest and principal on or before the legal final maturity date while junior, and timely payment of interest while the senior-most class outstanding. The credit ratings on the Class D and Class E notes address the ultimate payment of interest and principal on or before the legal final maturity date.

CREDIT RATING RATIONALE
The credit rating actions follows an annual review of the transactions 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 rating levels.

Finance Ireland 4 is a static securitisation of Irish first-lien residential mortgages originated primarily by Finance Ireland Credit Solutions DAC (Finance Ireland) as well as Pepper Finance Corporation (Ireland) DAC, which also acts as the servicer of the mortgage portfolio. The transaction closed in February 2022 with an initial portfolio balance of EUR 339.3 million, of which 98% were mortgages originated by Finance Ireland between May and December 2021.

Finance Ireland 5 is a static securitisation of Irish first-lien residential mortgages originated primarily by Finance Ireland Credit Solutions DAC (Finance Ireland) as well as Pepper Finance Corporation (Ireland) DAC, which also acts as the servicer of the mortgage portfolio. The transaction closed in October 2022 with an initial portfolio balance of EUR 413.0 million, of which 69.3% were mortgages originated by Finance Ireland in 2022.

Finance Ireland 6 is a static securitisation of Irish first-lien residential mortgages originated primarily by Finance Ireland Credit Solutions DAC (Finance Ireland) as well as Pepper Finance Corporation (Ireland) DAC, which also acts as the servicer of the mortgage portfolio. The transaction closed in September 2023 with an initial portfolio balance of EUR 240.8 million, of which 27.7% were mortgages originated by Finance Ireland in 2019.

PORTFOLIO PERFORMANCE
Finance Ireland 4:
As of the June 2024 payment date, loans one to two months and two to three months in arrears represented 1.4% and 0.0% of the outstanding portfolio balance, respectively, while loans more than three months in arrears amounted to 0.3%. There have not been any repossessions or cumulative losses reported to date.

Finance Ireland 5:
As of the June 2024 payment date, loans one to two months and two to three months in arrears represented 2.3% and 0.7% of the outstanding portfolio balance, respectively, while loans more than three months in arrears amounted to 0.2%. There have not been any repossessions or cumulative losses reported to date.

Finance Ireland 6:
As of the June 2024 payment date, loans one to two months and two to three months in arrears represented 1.9% and 0.8% of the outstanding portfolio balance, respectively, while loans more than three months in arrears amounted to 0.8%. There have not been any repossessions or cumulative 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 as follows:
Finance Ireland 4: The PD and LGD to 1.4% and 10.0%, respectively.
Finance Ireland 5: The PD and LGD to 1.8% and 10.1%, respectively.
Finance Ireland 6: The PD and LGD to 1.8% and 10.3%, respectively.

CREDIT ENHANCEMENT
Credit enhancement to the rated notes is provided by subordination of the respective junior classes and the general reserve fund.
For Finance Ireland 4, as of the June 2024 payment date, credit enhancement available to the Class A, Class B, Class C, Class D, Class E, and Class F notes was 20.8%, 13.2%, 9.3%, 5.7%, 3.5%, and 2.0%, respectively, up from 19.1%, 12.1%, 8.5%, 5.2%, 3.3%, 2.2%, and 0.0%, respectively, at the time of the last annual review in September 2023.

For Finance Ireland 5, as of the June 2024 payment date, credit enhancement available to the Class A, Class B, Class C, Class D, and Class E notes was 16.1%, 10.0%, 6.7%, 4.5%, and 2.7%, respectively, down from 16.2%, 10.7%, 7.6%, 5.7%, and 4.0%, respectively, at the time of the last annual review in September 2023. Morningstar DBRS understands that at the March 2024 payment date, the cash manager adjusted the redemption receipts by removing EUR 2.9 million which caused the transaction to become undercollateralised. We have been advised the adjustment was driven by a correction to a mismatch that occurred at closing. The transaction was dependent on future collections to compensate for the undercollateralisation. This was not reflected in the investor reports. Morningstar DBRS understand that the investor reports will be updated and that the undercollateralisation will be rectified in the upcoming payment dates. In addition, a technical error removed a further EUR 2.8 million from the redemption receipts, resulting in a total undercollateralisation of EUR 5.7 million as of the June 2024 payment date. The cash manager rectified the undercollateralisation caused by the technical error on the 5th of September 2024 by amortising the Class A Notes. Until confirmation that the EUR 2.9 million adjustment has been corrected, in its cash flow analysis, Morningstar DBRS assumed a loss of EUR 2.9 million. As part of its ongoing surveillance, Morningstar DBRS will continue to monitor the transaction to ensure that funds are allocated as per the transaction documents.

For Finance Ireland 6, as of the June 2024 payment date, credit enhancement available to the Class A, Class B, Class C, Class D, and Class E notes was 9.8%, 6.2%, 4.2%, 2.8%, and 1.7%, respectively, up from 8.7%, 5.5%, 3.7%, 2.5%, and 1.5%, respectively, at the time of Morningstar DBRS' initial credit rating in September 2023.

The transactions benefit from a liquidity reserve fund and a general reserve fund providing liquidity support and credit support to the structures, respectively.

The liquidity reserve fund is available to cover senior fees and interest on the Class A notes.
-- In Finance Ireland 4, it is currently at its target level of EUR 1.73 million as of the June 2024 payment date, equal to 0.75% of the outstanding principal balance of the Class A notes, subject to a floor of EUR 1.0 million.
-- In Finance Ireland 5, it is currently at its target of EUR 2.19 million as of the June 2024 payment date, equal to 0.75% of the outstanding principal balance of the Class A notes, subject to a floor of EUR 1.35 million.
-- In Finance Ireland 6, it is currently at its target of EUR 2.19 million as of the June 2024 payment date, equal to 0.75% of the outstanding principal balance of the Class A notes, subject to a floor of EUR 1.35 million.

The general reserve fund is available to cover senior fees, interest, and principal (via the principal deficiency ledgers) on the rated notes.
-- In Finance Ireland 4, the general reserve fund is currently at its target level of EUR 387,825 as of the June 2024 payment date, equal to 0.75% of the outstanding principal balance of the rated notes minus the liquidity reserve target amount.
-- In Finance Ireland 5, the general reserve fund is currently funded to EUR 243,491.5 as of the June 2024 payment date, below its target balance of EUR 340,500 (equal to 0.75% of the outstanding principal balance of the Class B to Class E notes) because of the high interest rates.
-- In Finance Ireland 6, the general reserve fund is currently at its target level of EUR 130,800 as of the June 2024 payment date, (equal to 0.75% of the outstanding principal balance of the Class B to Class E notes).

Elavon Financial Services DAC (Elavon) acts as the account bank for the transactions. Based on Morningstar DBRS' private credit rating on Elavon, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structures, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit ratings assigned to the respective notes, as described in Morningstar DBRS' "Legal Criteria for European Structured Finance Transactions" methodology.

BNP Paribas SA acts as the swap provider for Finance Ireland 4, while BofA Securities Europe SA (BofA Europe) acts as the swap provider for Finance Ireland 5 and Finance Ireland 6. Morningstar DBRS' public Long Term Critical Obligations Rating of AA (high) on BNP Paribas SA and the private credit rating assigned to BofA Europe are above the first rating threshold as described in Morningstar DBRS' "Derivative 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, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factor(s) 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 https://dbrs.morningstar.com/research/437781.

Morningstar DBRS analysed the transaction structures in Intex Dealmaker.

Notes:
All figures are in Euros unless otherwise noted.

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

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

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

A review of the transactions 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 U.S. Bank Global Corporate Trust Limited 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 this credit rating 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 actions on Finance Ireland 4 and Finance Ireland 5 took place on 7 September 2023, when Morningstar DBRS upgraded and confirmed the credit ratings on the two transactions as well as removing the Under Review with Positive implications on the Class C, D, E, F, and X notes of Finance Ireland 4 and the Class B, C, D, and E notes of Finance Ireland 5 following Morningstar DBRS' finalisation of the Methodology and the Model. For further details on the credit rating actions, see:
https://dbrs.morningstar.com/research/420266/dbrs-morningstar-upgrades-and-confirms-credit-ratings-on-two-finance-ireland-rmbs-transactions-following-release-of-european-rmbs-insight-irish-addendum

The last rating action on Finance Ireland 6 took place on 22 September 2023, when Morningstar DBRS finalised its provisional ratings on the Class A, Class B, Class C, and Class E notes at AAA (sf), AA (high) (sf), AA (sf), A (low) (sf), and BB (high) (sf), respectively.

The lead analyst responsibilities for Finance Ireland 4, Finance Ireland 5 and Finance Ireland 6 have been transferred to Preben Cornelius Overas.

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

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit rating, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit rating (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 are 1.4% and 10.0%, respectively.
-- The risk sensitivity overview below illustrates the credit ratings expected if the PD and LGD increase by a certain percentage over the Base Case assumption.

Finance Ireland 4 Class A Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

Finance Ireland 4 Class B Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD, expected credit rating of AA (high) (sf)
-- 50% increase in PD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)

Finance Ireland 4 Class C Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD, expected credit rating of AA (high) (sf)
-- 50% increase in PD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)

Finance Ireland 4 Class D Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in LGD, expected credit rating of AA (sf)
-- 25% increase in PD, expected credit rating of AA (sf)
-- 50% increase in PD, expected credit rating of AA (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A (high) (sf)

Finance Ireland 4 Class E Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of A (sf)
-- 50% increase in LGD, expected credit rating of A (low) (sf)
-- 25% increase in PD, expected credit rating of A (low) (sf)
-- 50% increase in PD, expected credit rating of BBB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of A (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BBB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BBB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BBB (high) (sf)

Finance Ireland 4 Class F Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of BBB (high) (sf)
-- 50% increase in LGD, expected credit rating of BBB (sf)
-- 25% increase in PD, expected credit rating of BBB (high) (sf)
-- 50% increase in PD, expected credit rating of BB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of BBB (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BB (high (sf)

Finance Ireland 5 Class A Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)

Finance Ireland 5 Class B Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in LGD, expected credit rating of AA (sf)
-- 25% increase in PD, expected credit rating of AA (sf)
-- 50% increase in PD, expected credit rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A (high) (sf)

Finance Ireland 5 Class C Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of A (sf)
-- 50% increase in LGD, expected credit rating of A (low) (sf)
-- 25% increase in PD, expected credit rating of A (low) (sf)
-- 50% increase in PD, expected credit rating of BBB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of A (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BBB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BBB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BBB (high) (sf)

Finance Ireland 5 Class D Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of BBB (high) (sf)
-- 50% increase in LGD, expected credit rating of BBB (high) (sf)
-- 25% increase in PD, expected credit rating of BBB (sf)
-- 50% increase in PD, expected credit rating of BBB (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of BBB (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BBB (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BB (high) (sf)

Finance Ireland 5 Class E Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of BB (high) (sf)
-- 50% increase in LGD, expected credit rating of BB (sf)
-- 25% increase in PD, expected credit rating of BB (sf)
-- 50% increase in PD, expected credit rating of BB (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of BB (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BB (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BB (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of B (high) (sf)

Finance Ireland 6 Class A Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)

Finance Ireland 6 Class B Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in LGD, expected credit rating of AA (sf)
-- 25% increase in PD, expected credit rating of AA (low) (sf)
-- 50% increase in PD, expected credit rating of A (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of A (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A low) (sf)

Finance Ireland 6 Class C Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in LGD, expected credit rating of A (sf)
-- 25% increase in PD, expected credit rating of A (sf)
-- 50% increase in PD, expected credit rating of A (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of A (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of A (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BBB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BBB (high) (sf)

Finance Ireland 6 Class D Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of BBB (high) (sf)
-- 50% increase in LGD, expected credit rating of BBB (high) (sf)
-- 25% increase in PD, expected credit rating of BBB (high) (sf)
-- 50% increase in PD, expected credit rating of BBB (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of BBB (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BBB (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BBB (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BB (high) (sf)

Finance Ireland 6 Class E Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of BB (high) (sf)
-- 50% increase in LGD, expected credit rating of BB (sf)
-- 25% increase in PD, expected credit rating of BB (sf)
-- 50% increase in PD, expected credit rating of BB (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of BB (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BB (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BB (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of B (high) (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: Preben Cornelius Overas, Assistant Vice President,
Rating Committee Chair: Rehanna Sameja, Senior Vice President
Initial Rating Date: 13 January 2022 (Finance Ireland 4); 6 October 2022 (Finance Ireland 5), 8 September 2023 (Finance Ireland 6)

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

-- Legal Criteria for European Structured Finance Transactions (28 June 2024), https://dbrs.morningstar.com/research/435165
-- Master European Structured Finance Surveillance Methodology (6 August 2024),
https://dbrs.morningstar.com/research/437540
-- 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
-- Derivative Criteria for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435260
-- European RMBS Insight Methodology (25 March 2024) and European RMBS Insight Model version 9.0.0.0, https://dbrs.morningstar.com/research/430103
-- European RMBS Insight: Irish Addendum (22 April 2024),
https://dbrs.morningstar.com/research/431544
-- 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.