Morningstar DBRS Confirms Credit Ratings on Two Burlington Mortgages Transactions

DBRS Ratings GmbH (Morningstar DBRS) confirmed the following credit ratings on the bonds issued by two Burlington Mortgages transactions (the Issuers):

Burlington Mortgages No.1 DAC (Burlington 1)
-- Class A2 Notes confirmed at AAA (sf)
-- Class B Notes confirmed at AA (high) (sf)
-- Class C Notes confirmed at AA (high) (sf)
-- Class D Notes confirmed at AA (sf)
-- Class E Notes confirmed at A (high) (sf)

Burlington Mortgages No.2 DAC (Burlington 2)
-- Class A1 Notes confirmed at AAA (sf)
-- Class A2 Notes confirmed at AAA (sf)

For Burlington 1, the rating on the Class A2 Notes address the timely payment of interest and ultimate repayment of principal on or before the legal final maturity date in November 2058. The ratings on the Class B, Class C, Class D, and Class E Notes address the timely payment of interest once most senior, and the ultimate repayment of principal on or before the legal final maturity date.

For Burlington 2, the ratings on the Class A1 and Class A2 Notes address the timely payment of interest and ultimate repayment of principal on or before the legal final maturity date in November 2058.

CREDIT RATING RATIONALE
The credit rating confirmations follow 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 January 2025 and December 2024 payment date for the Burlington 1 and Burlington 2, respectively;
-- Probability of default (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables;
-- Current available credit enhancement to the rated notes to cover the expected losses at their respective rating levels; and
-- For Burlington 2, no revolving termination events have occurred.

The transactions are securitisations of portfolios related to prime Irish residential mortgage loans granted by EBS d.a.c. (EBS) and its fully owned subsidiary, Haven Mortgages Limited (Haven). The originators, which are part of the Allied Irish Banks banking group, also service their respective portfolios. Burlington 1 is a static transaction which closed in March 2020 with an initial portfolio balance of EUR 4,026.5 million, consisting exclusively of owner-occupied mortgages, 65.1% of which were originated by EBS and the remaining 34.9% by Haven, while Burlington 2 closed in April 2023 with an initial portfolio balance of EUR 5,079.4 million and a 24-month revolving period scheduled to end in March 2025.

PORTFOLIO PERFORMANCE
-- For Burlington 1, as of the January 2025 payment date, loans that were one month and two months in arrears represented 0.5% and 0.1% of the outstanding portfolio balance, respectively, while loans three to 12 months or more in arrears represented 0.4%. There have not been any repossessions to date.

-- For Burlington 2, as of the December 2024 payment date, loans that were one month and two months in arrears represented 0.5% and 0.2% of the outstanding portfolio balance, respectively, while loans three to 12 months or more in arrears represented 0.3%. There have not been any repossessions to date.

PORTFOLIO ASSUMPTIONS AND KEY RATING DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions for both transactions:
-- For Burlington 1: The PD and LGD assumption were updated to 1.6% and 10.1%, respectively.
-- For Burlington 2: The PD and LGD assumption were updated to 1.9% and 10.3%, respectively.

CREDIT ENHANCEMENT
The subordination of the respective junior obligations provides credit enhancement to the rated notes.
-- For Burlington 1, as of the January 2025 payment date, credit enhancement to the Class A2 Notes increased to 26.1% from 23.4% at the time of the last annual review; credit enhancement to the Class B Notes increased to 17.0% from 15.2%; credit enhancement to the Class C Notes increased to 12.0% from 10.7%; credit enhancement to the Class D Notes increased to 7.0% from 6.2%; and credit enhancement to the Class E Notes increased to 3.4% from 2.9%.
-- For Burlington 2, as of the December 2024 payment date, credit enhancement to notes remained unchanged from the initial credit rating date because of the revolving period, with credit enhancement of 80.5% for the Class A1 Notes and 13.5% for the Class A2 Notes.

Burlington 1 benefits from liquidity support in the form of a general reserve fund (GRF) and a Class A liquidity reserve fund (ALRF), funded at closing to EUR 3.8 million and EUR 26.0 million, respectively, through subordinated loans granted by the sellers. The ALRF, which has a target balance equal to 0.75% of the outstanding Class A Notes balance, is available to cover senior expenses and interest payments on the Class A Notes. The GRF, which has a target balance equal to 0.75% of the outstanding rated notes balance minus the ALRF balance, is available to cover senior expenses and interest payments on the senior-most outstanding class of notes as well as interest payments on subordinated notes subject to certain provisions. As of the January 2025 payment date, the GRF and ALRF were at their target balances of EUR 3.8 million and EUR 12.3 million, respectively.

Burlington 2 benefits from liquidity support through a liquidity reserve fund (LRF), funded at closing to EUR 32.95 million through subordinated loans granted by the sellers. The LRF, which has a target balance equal to 0.75% of the outstanding Class A Notes' balance, is available to cover senior expenses and interest payments on the Class A1 and A2 Notes. As of the December 2024 payment date, the liquidity reserve was at its target balance of EUR 32.95 million.

Allied Irish Banks, p.l.c. (AIB) acts as the account bank for both transactions. Based on the reference rating of `A' on AIB, one notch below the Morningstar DBRS Long-Term Critical Obligations Rating of A (high), the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the ratings assigned to the notes, as described in Morningstar DBRS' "Legal and 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 factors 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 ratings is the Master European Structured Finance Surveillance Methodology (4 February 2025) https://dbrs.morningstar.com/research/447080.

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.

An asset and a cash flow analysis were both conducted. Due to the inclusion of a revolving period in Burlington 2, the analysis continues to consider potential portfolio migration based on replenishment criteria set forth in the transaction legal documents.

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 AIB 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 affect the credit rating analysis.

Morningstar DBRS considers the data and information available to it for the purposes of providing these credit ratings 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.

For Burlington 1, the last credit rating action on this issuer took place on 25 September 2024 when Morningstar DBRS discontinued the Class A1 Notes following its full repayment. Prior to that, the last credit rating action took place on 15 March 2024, when Morningstar DBRS confirmed the ratings on the Class A1, Class A2, Class B and Class C Notes at AAA (sf), AAA (sf), AA (high) (sf) and AA (high) (sf), respectively, and upgraded the ratings on the Class D and Class E Notes to AA (sf) and A (high) (sf), respectively.

For Burlington 2, the last credit rating action on this issuer took place on 17 April 2024 when Morningstar DBRS confirmed both the Class A1 and Class A2 Notes at AAA (sf).

The lead analyst responsibilities for these transactions 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 ratings, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the ratings (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 for Burlington 1 are 1.6% and 10.1%, respectively.
-- The base-case PD and LGD of the current pool of loans for Burlington 2 are 1.9% and 10.3%, respectively.

Burlington 1:
Class A2 Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AAA (sf)

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

Class C Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD, expected rating of AA (high) (sf)
-- 50% increase in PD, expected rating of AA (low) (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 (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)

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

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

For Burlington 2:
Class A1 Notes 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)

Class A2 Notes 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)

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: Alfonso Candelas, Associate Managing Director
Burlington 1 Initial Rating Date: 16 March 2020
Burlington 2 Initial Rating Date: 17 April 2023

DBRS Ratings GmbH
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The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Master European Structured Finance Surveillance Methodology (4 February 2025),
https://dbrs.morningstar.com/research/447080
-- European RMBS Insight Methodology (19 February 2025) and European RMBS Insight Model v10.1.0.0, 
https://dbrs.morningstar.com/research/448235
-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024),
https://dbrs.morningstar.com/research/443196
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024), https://dbrs.morningstar.com/research/439571
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024), https://dbrs.morningstar.com/research/439913
-- 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/439604.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.