Kroll Bond Rating Agency: KBRA Assigns Preliminary Ratings to Glen Securities Finance DAC

Kroll Bond Rating Agency Europe Limited (KBRA) assigns preliminary ratings to Glen Securities Finance DAC (Glen Securities), a €1.397 billion partially-funded synthetic securitisation of Irish residential mortgages originated by members of the Bank of Ireland Group.

Glen Securities will issue up to four classes of Credit Linked Notes, the Class A CLNs, the Class B CLNs, the Class C CLNs and the Class D CLNs, which reference certain tranches of the residential mortgage portfolio. KBRA has assigned preliminary ratings to the Class A CLNs, the Class B CLNs and the Class C CLNs. Whilst the credit analysis for the note ratings is based on loss estimates of the underlying portfolio, it also considers linkage to the credit strength of Bank of Ireland as the entity which, amongst other things, funds the interest due on the notes through the payment of the protection fee amounts payable as the protection buyer to Glen Securities under a Loan Portfolio Credit Protection Deed.

As of the initial pool cut-off date of 30th June 2021, the underlying residential mortgage portfolio consists of 14,657 seasoned first-lien performing loans with a total current balance of €1.47 billion, secured primarily by owner occupied (64%) and Buy-To-Let (36%) properties. 76% of the loans in the portfolio have been restructured in the past with a significant majority of these restructures (77%) occurring more than five years prior to the pool cut-off date.

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Related Publications

• European RMBS Rating Methodology
• European RMBS Rating Methodology Country Addendum: Republic of Ireland
• Global Structured Finance Counterparty Methodology
• ESG Global Rating Methodology

Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, andESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

This credit rating is endorsed by Kroll Bond Rating Agency UK Limited for use in the UK. Information on a credit rating's endorsement status is available on its rating page at KBRA.com.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA Europe

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority pursuant to the Temporary Registration Regime. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider. Kroll Bond Rating Agency Europe is located at 6-8 College Green, Dublin 2, Ireland.

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Contacts:

Analytical Contacts

Killian Walsh, Director (Lead Analyst)
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Karl Cummins, Director
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Gianfranco Di Paolo, Senior Analyst
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Ashish Sharda, Senior Director
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Jack Kahan, Senior Managing Director (Rating Committee Chair)
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Business Development Contacts

Mauricio Noé, Co-Head of Europe
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Miten Amin, Managing Director
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