DBRS Morningstar Confirms Ratings on Dublin Bay Securities 2018-MA1 DAC

DBRS Ratings GmbH (DBRS Morningstar) confirmed its ratings on the bonds issued by Dublin Bay Securities 2018-MA1 DAC (the Issuer) as follows:

-- Class A1 notes rated AAA (sf)
-- Class A2A notes rated AAA (sf)
-- Class A2B notes rated AAA (sf)
-- Class S notes rated AAA (sf)
-- Class B notes rated AA (sf)
-- Class C notes rated A (high) (sf)
-- Class D notes rated A (sf)
-- Class E notes rated BBB (sf)
-- Class F notes rated B (high) (sf)
-- Class Z1 notes rated B (low) (sf)

DBRS Morningstar does not rate the Class Z2 and Class R notes.

The ratings assigned to the Class A1, Class A2A, Class A2B and Class S notes address the timely payment of interest and ultimate payment of principal by the legal final maturity date. The ratings of the Class B to Class Z1 notes address the ultimate payment of interest and principal by the legal final maturity date.

The confirmations follow an annual review of the transaction and are based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies, defaults and losses.
-- Probability of default (PD), loss given default (LGD) and expected loss assumptions on the remaining receivables.
-- Current available credit enhancement to the notes to cover the expected losses at their respective rating levels.

The Issuer is a bankruptcy-remote special-purpose vehicle (SPV) incorporated in the Republic of Ireland (Ireland). The issued notes were used to fund the purchase of Irish residential mortgage loans originated by Bank of Scotland plc and secured over properties located in Ireland. In September 2018, Bank of Scotland sold the portfolio mortgages to Erimon Home Loans Ireland limited, a bankruptcy-remote SPV wholly owned by Barclays Bank plc. Pepper Finance Corporation (Pepper) acts as servicer of the mortgage portfolio during the life of the transaction while CSC Capital Markets (Ireland) Limited acts as the replacement servicer facilitator.

On 22 October 2019, DBRS Morningstar transferred the ongoing coverage of the ratings assigned to the Issuer to DBRS Ratings GmbH from DBRS Ratings Limited. The lead analyst responsibilities for this transaction have been transferred to Shalva Beshia.

Both DBRS Ratings Limited and DBRS Ratings GmbH are registered with the European Securities and Markets Authority (ESMA) under Regulation (EC) No. 1060/2009 on Credit Rating Agencies, as amended, and are registered Nationally Recognized Statistical Rating Organization (NRSRO) affiliates in the United States and Designated Rating Organization (DRO) affiliates in Canada.

PORTFOLIO PERFORMANCE
As of September 2019, loans with two to three month arrears represented 0.4% of the outstanding portfolio balance, up from 0.0% in October 2018. As of September 2019, the 90+ delinquency ratio was 2.1%, increasing rapidly from 0.0%, 11 months since closing. As of September 2019, there were no cumulative defaults reported. DBRS Morningstar continues to monitor the transaction performance closely.

PORTFOLIO ASSUMPTIONS
DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and has updated its base case PD and LGD assumptions to 3.2% and 20.1%, respectively.

CREDIT ENHANCEMENT
Credit enhancement for the Class A1, Class A2A and Class A2B notes is 21.0%, down from 23.0% at closing. Credit enhancement for the Class B notes is 16.7%, down from 18.8% at closing. Credit enhancement for the Class C notes is 13.9%, down from 16.0% at closing. Credit enhancement for the Class D notes is 10.7%, down from 12.8% at closing. Credit enhancement for the Class E notes is 8.4%, down from 10.5% at closing. Credit enhancement for the Class F notes is 6.2%, down from 8.3% at closing. Credit enhancement for the Class Z1 notes is 3.9%, down from 5.5% at closing. The decrease of the credit enhancements is driven by the build-up of the Protected Amortisation Reserve Fund. The Class S notes are an excess spread notes, i.e. they are not collateralised and do not have any credit enhancement. Class S notes are redeemed under the pre-enforcement revenue priority of payments, but principal receipts can be used to cure shortfalls in the required payments for Class S notes.

The transaction benefits from the Protected Amortisation Reserve Fund of EUR 8.0 million, which provides credit and liquidity support to the Class A2 notes to ensure that the scheduled payments are met. The reserve fund was unfunded at transaction closing. It reached its target level of 2% of the original balance of collateralised notes according to the September 2019 interest payment date.

The transaction also benefits from a liquidity reserve fund of EUR 3.8 million which is available to provide liquidity support to the senior fee and interest payments on the Class A and S notes.

The Issuer Account Bank, Paying Agent and Cash Manager is Citibank, N.A., London Branch (Citibank). Based on the DBRS Morningstar private rating of the Issuer Account Bank, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS Morningstar considers the risk arising from the exposure to Citibank to be consistent with the rating assigned to the notes, as described in DBRS Morningstar 's "Legal Criteria for European Structured Finance Transactions" methodology.

The transaction structure was analysed in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is the “Master European Structured Finance Surveillance Methodology”. DBRS Morningstar has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent rating action.

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrs.com/research/350410/global-methodology-for-rating-sovereign-governments.

The sources of data and information used for these ratings include investor reports provided by Citibank N.A. and loan-level data provided by the European DataWarehouse GmbH.

DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial rating, DBRS Morningstar was supplied with third-party assessments. However, this did not impact the rating analysis.

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

DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on this transaction took place on 30 October 2018, when DBRS Morningstar finalised its provisional ratings. The lead analyst responsibilities for this transaction have been transferred to Shalva Beshia.

Information regarding DBRS Morningstar ratings, including definitions, policies and methodologies is available at www.dbrs.com.

To assess the impact of changing the transaction parameters on the rating, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the rating (the Base Case):

-- DBRS Morningstar 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 the Issuer are 3.2% and 20.1%, respectively.
-- 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 the Class A1 notes would be expected to fall to AA (low) (sf), assuming no change in the PD. If the PD increases by 50%, the rating of the Class A1 notes would be expected to fall to AA (low) (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A1 notes would be expected to fall to BBB (sf).

Class A1 notes risk sensitivity:
-- 25% increase of the PD, ceteris paribus would lead to a downgrade to AA (sf)
-- 50% increase of the PD, ceteris paribus would lead to a downgrade to AA (low) (sf)
-- 25% increase of the LGD, ceteris paribus would lead to a downgrade to AA (sf)
-- 50% increase of the LGD, ceteris paribus would lead to a downgrade to AA (low) (sf)
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus would lead to a downgrade to AA (low) (sf)
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus would lead to a downgrade to A (sf)
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus would lead to a downgrade to A (sf)
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus would lead to a downgrade to BBB (sf)

Class A2 notes risk sensitivity:
-- 25% increase of the PD, ceteris paribus would lead to a downgrade to AA (sf)
-- 50% increase of the PD, ceteris paribus would lead to a downgrade to AA (low) (sf)
-- 25% increase of the LGD, ceteris paribus would lead to a downgrade to AA (sf)
-- 50% increase of the LGD, ceteris paribus would lead to a downgrade to AA (low) (sf)
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus would lead to a downgrade to AA (low) (sf)
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus would lead to a downgrade to A (sf)
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus would lead to a downgrade to A (sf)
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus would lead to a downgrade to BBB (sf)

Class S notes risk sensitivity:
-- 25% increase of the PD, ceteris paribus would lead to a downgrade to AA (sf)
-- 50% increase of the PD, ceteris paribus would lead to a downgrade to AA (low) (sf)
-- 25% increase of the LGD, ceteris paribus would lead to a downgrade to AA (sf)
-- 50% increase of the LGD, ceteris paribus would lead to a downgrade to AA (low) (sf)
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus would lead to a downgrade to AA (low) (sf)
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus would lead to a downgrade to A (sf)
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus would lead to a downgrade to A (sf)
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus would lead to a downgrade to BBB (sf)

Class B notes risk sensitivity:
-- 25% increase of the PD, ceteris paribus would lead to a downgrade to AA (low) (sf)
-- 50% increase of the PD, ceteris paribus would lead to a downgrade to A (sf)
-- 25% increase of the LGD, ceteris paribus would lead to a downgrade to AA (low) (sf)
-- 50% increase of the LGD, ceteris paribus would lead to a downgrade to A (sf)
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus would lead to a downgrade to A (low) (sf)
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus would lead to a downgrade to BBB (sf)
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus would lead to a downgrade to BBB (sf)
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus would lead to a downgrade to BBB (low) (sf)

Class C notes risk sensitivity:
-- 25% increase of the PD, ceteris paribus would lead to a downgrade to A (sf)
-- 50% increase of the PD, ceteris paribus would lead to a downgrade to BBB (high) (sf)
-- 25% increase of the LGD, ceteris paribus would lead to a downgrade to A (sf)
-- 50% increase of the LGD, ceteris paribus would lead to a downgrade to BBB (high) (sf)
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus would lead to a downgrade to BBB (sf)
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus would lead to a downgrade to BBB (low) (sf)
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus would lead to a downgrade to BBB (low) (sf)
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus would lead to a downgrade to BB (high) (sf)

Class D notes risk sensitivity:
-- 25% increase of the PD, ceteris paribus would lead to a downgrade to BBB (sf)
-- 50% increase of the PD, ceteris paribus would lead to a downgrade to BBB (low) (sf)
-- 25% increase of the LGD, ceteris paribus would lead to a downgrade to BBB (sf)
-- 50% increase of the LGD, ceteris paribus would lead to a downgrade to BBB (low) (sf)
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus would lead to a downgrade to BB (high) (sf)
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus would lead to a downgrade to BB (high) (sf)
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus would lead to a downgrade to BB (high) (sf)
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus would lead to a downgrade to BB (high) (sf)

Class E notes risk sensitivity:
-- 25% increase of the PD, ceteris paribus would lead to a downgrade to BB (high) (sf)
-- 50% increase of the PD, ceteris paribus would lead to a downgrade to BB (high) (sf)
-- 25% increase of the LGD, ceteris paribus would lead to a downgrade to BB (high) (sf)
-- 50% increase of the LGD, ceteris paribus would lead to a downgrade to BB (high) (sf)
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus would lead to a downgrade to BB (high) (sf)
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus would lead to a downgrade to BB (sf)
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus would lead to a downgrade to BB (sf)
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus would lead to a downgrade to BB (low) (sf)

Class F notes risk sensitivity:
-- 25% increase of the PD, ceteris paribus would lead to a downgrade to B (high) (sf)
-- 50% increase of the PD, ceteris paribus would lead to a downgrade to B (high) (sf)
-- 25% increase of the LGD, ceteris paribus would lead to a downgrade to B (high) (sf)
-- 50% increase of the LGD, ceteris paribus would lead to a downgrade to B (high) (sf)
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus would lead to a downgrade to B (high) (sf)
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus would lead to a downgrade to B (high) (sf)
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus would lead to a downgrade to B (high) (sf)
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus would lead to a downgrade to B (sf)

Class Z1 notes risk sensitivity:
-- 25% increase of the PD, ceteris paribus would lead to a downgrade below B (low) (sf)
-- 50% increase of the PD, ceteris paribus would lead to a downgrade below B (low) (sf)
-- 25% increase of the LGD, ceteris paribus would lead to a downgrade below B (low) (sf)
-- 50% increase of the LGD, ceteris paribus would lead to a downgrade below B (low) (sf)
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus would lead to a downgrade below B (low) (sf)
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus would lead to a downgrade below B (low) (sf)
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus would lead to a downgrade below B (low) (sf)
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus would lead to a downgrade below B (low) (sf)

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings GmbH are subject to EU and US regulations only.

Lead Analyst: Shalva Beshia, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 22 October 2018

DBRS Ratings GmbH
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Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

Ratings issued and monitored by DBRS Ratings GmbH are noted as such on the DBRS website; however, the language and related statements in previously published press releases in respect of the relevant ratings will not be changed retroactively and will remain as part of DBRS’s historical record. The ratings issued and monitored in the European Union are marked as such in their respective rating tables. As part of this transfer, these markings will remain unchanged on all active ratings related to the Issuer.

The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.

-- Legal 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
-- Interest Rate Stresses for European Structured Finance Transactions

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.