DBRS Morningstar Places Ratings on Six Irish RMBS Transactions Under Review with Positive Implications Following Upgrade on Republic of Ireland

DBRS Ratings GmbH (DBRS Morningstar) placed the following ratings on six Irish residential mortgage-backed security (RMBS) transactions Under Review with Positive Implications:

Dilosk RMBS No. 4 DAC
-- Class B Notes rated AA (high) (sf)
-- Class C Notes rated AA (low) (sf)
-- Class D Notes rated BBB (high) (sf)
-- Class E Notes rated BBB (low) (sf)

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 in February 2060.

Finance Ireland RMBS No. 1 DAC
-- Class B rated AA (high) (sf)
-- Class C rated AA (sf)
-- Class D rated A (high) (sf)
-- Class E rated BBB (sf)

The ratings on the Class B, Class C, Class D, and Class E notes address the ultimate payment of interest and principal on or before the legal final maturity date in June 2058.

Finance Ireland RMBS No. 2 DAC
-- Class B rated AA (high) (sf)
-- Class C rated AA (low) (sf)
-- Class D rated A (sf)
-- Class E rated BBB (low) (sf)
-- Class F rated BB (high) (sf)

The ratings on the Class B, Class C, and Class D notes address the timely payment of interest once most senior and the ultimate repayment of principal by the legal final maturity date in September 2060. The ratings on the Class E and Class F notes address the ultimate payment of interest and principal by the legal final maturity date.

Finance Ireland RMBS No. 3 DAC
-- Class B rated AA (sf)
-- Class C rated A (sf)
-- Class D rated BBB (sf)
-- Class E rated BB (high) (sf)
-- Class F rated B (high) (sf)
-- Class X rated BB (low) (sf)

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 final maturity date in June 2061. The ratings on the Class X and Class F notes address the ultimate payment of interest and principal on or before the final maturity date.

Glenbeigh 2 Issuer Designated Activity Company
-- Class B notes rated AA (low) (sf)
-- Class C notes rated A (high) (sf)
-- Class D notes rated BBB (high) (sf)
-- Class E notes rated BB (high) (sf)
-- Class F notes rated BB (low) (sf)

The rating on the Class B notes addresses the timely payment of interest once most senior and the ultimate repayment of principal on or before the final maturity date in March 2046. The ratings on the Class C, Class D, Class E, and Class F notes address the ultimate payment of interest and repayment of principal by the final maturity date.

Glenbeigh 2 Issuer 2021-2 Designated Activity Company
-- Class B Notes rated AA (sf)
-- Class C Notes rated A (sf)
-- Class D Notes rated BBB (sf)
-- Class E Notes rated BB (high) (sf)
-- Class F Notes rated BB (low) (sf)

The final rating on the Class B Notes addresses the timely payment of interest once most senior and the ultimate repayment of principal on or before the final maturity date in June 2050. The final ratings on the Class C, Class D, Class E, and Class F Notes address the ultimate payment of interest and repayment of principal by the final maturity date.

DBRS Morningstar also rates the Class A notes issued in each transaction at AAA (sf), but did not place these classes Under Review with Positive Implications.

KEY RATING DRIVERS AND CONSIDERATIONS
On 14 January 2022, DBRS Morningstar upgraded the Republic of Ireland’s Long-Term Foreign and Local Currency – Issuer Ratings to AA (low) from A (high) and changed the trends to Stable from Positive. Please refer to https://www.dbrsmorningstar.com/research/390794/dbrs-morningstar-upgraded-ireland-to-aa-low-trend-changed-to-stable for more information.

DBRS Morningstar’s credit ratings on structured finance transactions consider sovereign, macroeconomic, and sovereign risk of the country (or countries) in which transaction parties in a securitisation are domiciled. For more details, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrsmorningstar.com/research/381451/global-methodology-for-rating-sovereign-governments.

As a consequence, DBRS Morningstar placed the aforementioned tranches Under Review with Positive Implications as DBRS Morningstar considers these classes to be more affected by the upgrade of Ireland’s rating.

These ratings are Under Review. Generally, the conditions that lead to the assignment of ratings Under Review are resolved within a 90-day period. Further information on potential rating sensitivity as a result of this sovereign upgrade will be available when DBRS Morningstar resolves the Under Review status on the affected classes.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. These scenarios were last updated on 9 December 2021. For details, see the following commentaries: https://www.dbrsmorningstar.com/research/389454/baseline-macroeconomic-scenarios-for-rated-sovereigns-december-2021-update and
https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

On 14 June 2021, DBRS Morningstar updated its 5 May 2020 commentary outlining the impact of the coronavirus crisis on performance of DBRS Morningstar-rated RMBS transactions in Europe one year on. For more details, please see: https://www.dbrsmorningstar.com/research/380094/the-impact-of-covid-19-on-european-mortgage-performance-one-year-on and https://www.dbrsmorningstar.com/research/360599/european-rmbs-transactions-risk-exposure-to-coronavirus-covid-19-effect.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at: https://www.dbrsmorningstar.com/research/373262.

Notes:
All figures are in euros unless otherwise noted.

The principal methodologies applicable to the ratings is the “Master European Structured Finance Surveillance Methodology” (8 February 2021).

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

This rating action is driven by a rating action on a credit to which the ratings of these transactions are sensitive to. In DBRS Morningstar’s opinion, the analysis does not warrant the application of the entire principal methodology and the analysis focused on the impact that the sovereign-related rating action could have on the ratings of these transactions.

DBRS Morningstar is undertaking a review and will remove the ratings from this status as soon as it is appropriate.

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 Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrsmorningstar.com/research/381451/global-methodology-for-rating-sovereign-governments.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The sources of data and information used for these ratings include investor reports and loan-level data provided by the cash manager, trustee, and/or servicer in each transaction.

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

At the time of the initial ratings, 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.

Dilosk RMBS No. 4 DAC:
The last rating action on this transaction took place on 10 February 2021, when DBRS Morningstar finalised its provisional ratings on the Classes A to E Notes.

The lead analyst responsibilities for this transaction have been transferred to Daniel Rakhamimov.

Finance Ireland RMBS No. 1 DAC:
The last rating action on this transaction took place on 23 July 2021, when DBRS Morningstar confirmed the ratings on the Class A and B notes at their current rating levels and upgraded the ratings on the Class C, Class D, and Class E notes.

Finance Ireland RMBS No. 2 DAC:
The last rating action on this transaction took place on 24 September 2021, when DBRS Morningstar confirmed the ratings on the Class A and B notes at their current rating levels and upgraded the ratings on the Class C, Class D, Class E, and Class F notes.

Finance Ireland RMBS No. 3 DAC:
The last rating action on this transaction took place on 24 June 2021, when DBRS Morningstar finalised its provisional ratings on the Classes A to Class X notes.

The lead analyst responsibilities for this transaction have been transferred to Daniel Rakhamimov.

Glenbeigh 2 Issuer Designated Activity Company:
The last rating action on this transaction took place on 23 March 2021, when DBRS Morningstar finalised its provisional ratings on the Class A to Class F notes.

The lead analyst responsibilities for this transaction have been transferred to Daniel Rakhamimov.

Glenbeigh 2 Issuer 2021-2 Designated Activity Company:
The last rating action on this transaction took place on 30 September 2021, when DBRS Morningstar finalised its provisional ratings on the Class A to Class F notes.

The lead analyst responsibilities for this transaction have been transferred to Daniel Rakhamimov.

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

These ratings are Under Review with Positive Implications. Generally, the conditions that lead to the assignment of reviews are resolved within a 90-day period. Sensitivity analysis is not applicable.

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. DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage: https://www.fca.org.uk/firms/credit-rating-agencies.

These ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Daniel Rakhamimov, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President

Initial Rating Dates:
Dilosk RMBS No. 4 DAC: 25 January 2021
Finance Ireland RMBS No. 1 DAC: 5 July 2019
Finance Ireland RMBS No. 2 DAC: 10 September 2020
Finance Ireland RMBS No. 3 DAC: 9 June 2021
Glenbeigh 2 Issuer Designated Activity Company: 3 March 2021
Glenbeigh 2 Issuer 2021-2 Designated Activity Company: 16 September 2021

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

The rating methodologies used in the analysis of these transactions can be found at: http://www.dbrsmorningstar.com/about/methodologies.

-- Legal Criteria for European Structured Finance Transactions (29 July 2021), https://www.dbrsmorningstar.com/research/382171/legal-criteria-for-european-structured-finance-transactions.
-- Master European Structured Finance Surveillance Methodology (8 February 2021), https://www.dbrsmorningstar.com/research/373435/master-european-structured-finance-surveillance-methodology.
-- Operational Risk Assessment for European Structured Finance Servicers (16 September 2021), https://www.dbrsmorningstar.com/research/384513/operational-risk-assessment-for-european-structured-finance-servicers.
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda (29 November 2021) and European RMBS Credit Model v 1.0.0.0, https://www.dbrsmorningstar.com/research/388848/master-european-residential-mortgage-backed-securities-rating-methodology-and-jurisdictional-addenda.
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2021), https://www.dbrsmorningstar.com/research/384920/interest-rate-stresses-for-european-structured-finance-transactions.
-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (3 February 2021), https://www.dbrsmorningstar.com/research/373262/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.
-- Derivative Criteria for European Structured Finance Transactions (20 September 2021), https://www.dbrsmorningstar.com/research/384624/derivative-criteria-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 https://www.dbrsmorningstar.com/research/278375.

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