KBRA Affirms Ratings for Glen Securities Finance DAC
25 Oct 2024 | Dublin
KBRA Europe (KBRA) affirms the outstanding ratings for Glen Securities Finance DAC, a €1.397 billion partially-funded synthetic securitisation of Irish residential mortgages.
The rating actions reflect the relatively stable portfolio performance as of the July 2024 payment date. The Credit Linked Notes (CLNs) reference certain tranches (Tranches) of a notional portfolio which comprises seasoned first lien performing and re-performing mortgages that are secured by owner-occupied and buy to-let (BTL) properties located in Ireland. The loans in the portfolio were originated by The Governor and Company of the Bank of Ireland (BOI or the Protection Buyer), Bank of Ireland Mortgage Bank or ICS Building Society.
The transaction closed in October 2021 with a legal final maturity date of 28 October 2038. While the credit analysis for the CLNs is based on the loss estimate of the underlying reference mortgage portfolio, it also considers linkage to the credit strength of BOI as the entity which, amongst other things, funds the interest due on the notes through the payment of the protection fee amounts payable by the Protection Buyer to the Issuer under the loan portfolio credit protection deed.
Since closing, the tranche notional amounts have amortised to a 65.4% pool factor and credit enhancement levels have decreased for all rated CLNs, which is due to credit events to date and the pro rata amortising structure of the transaction.
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