DBRS Confirms Ratings on Dilosk RMBS No. 1 Limited
DBRS Ratings Limited (DBRS) has today confirmed the ratings on the notes issued by Dilosk RMBS No.1 Limited (Dilosk 1) as follows:
— Class A notes confirmed at AAA (sf)
— Class B notes confirmed at AA (sf)
— Class C notes confirmed at A (sf)
— Class D notes confirmed at BBB (sf)
The rating confirmations are based on the following analytical considerations:
— Portfolio performance, in terms of delinquencies and losses.
— Portfolio probability of default rate (PD), loss given default (LGD) and expected loss assumptions for the remaining collateral pool.
— Current credit enhancement (CE) available to the notes to cover the expected losses at the respective rating levels.
Dilosk 1 closed in May 2015 and is a securitisation of the first-ranking Irish residential mortgages originated by ICS Building Society, which was previously part of the Bank of Ireland Group. Dilosk Limited acquired the mortgage portfolio, the ICS brand and the mortgage distribution platform from the Bank of Ireland in September 2014. The servicing of the portfolio is delegated to Capita Asset Services and Homeloan Management Limited is the backup servicer on the transaction.
The performance of the transaction is within DBRS’s expectations. Since the transaction closing, there has been no loss realized and no loan has been more than 3 full monthly repayments in arrears.
PD and LGD Assumptions
House prices in Ireland continued to improve since the transaction closing. As of March 2016, house prices have increased by 3.88% in Dublin and by 10.49% outside Dublin year over year. DBRS has updated the base-case PD to 1.12% and LGD to 2.36% for the remaining collateral pool in this rating review.
Credit Enhancement Available
The CE available to the notes has increased slightly as the transaction has deleveraged. As of 20 May 2016, the available CE increased to 26.14% for the Class A notes, to 12.22% for the Class B notes, to 8.73% for the Class C notes and to 6.42% for the Class D notes. The CE is provided through the subordinated notes and the General Reserve Fund, which is currently at its target level.
BNP Paribas, Dublin Branch is the Account Bank in this transaction. DBRS’s private rating on the Account Bank meets the Minimum Institution Rating criteria given the AAA (sf) rating assigned to the Class A notes as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.