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I AGREE
15 Mar 2011
EUR 1,680 million of debt securities rated
London, 15 March 2011 -- Moody's Investors Service assigned definitive credit ratings to the following
classes of Notes issued by Fastnet Securities 6 Ltd:
....EUR 561,600,000 A1 Mortgage
Backed Notes due Dec 2050, Assigned A1 (sf) and Placed Under Review
for Possible Downgrade
....EUR 559,200,000 A2 Mortgage
Backed Notes due Dec 2050, Assigned A1 (sf) and Placed Under Review
for Possible Downgrade
....EUR 559,200,000 A3 Mortgage
Backed Notes due Dec 2050, Assigned A1 (sf) and Placed Under Review
for Possible Downgrade
Moody's has not rated the EUR 720,000,000 Class B Mortgage
Backed Notes due 2050
RATING RATIONALE
The transaction closed in November 2008 and was initially not rated by
Moody's. The notes are backed by a pool of first-lien prime
owner-occupied (57.5 per cent) and non owner-occupied
(42.5 per cent) mortgage loans originated by Irish Life and Permanent
plc (Senior Unsecured Ba2 / NP under review for possible downgrade).
This RMBS transaction is one of eight outstanding in the Fastnet series
containing Irish Life and Permanent mortgage loans.
The key parameters used by Moody's to calibrate the loss distribution
curve are a portfolio expected loss of 11 per cent and Milan Aaa Credit
Enhancement (CE) of 40 per cent, both as of current balance.
Portfolio expected loss: Moody's has assessed the lifetime loss
expectation for the pool taking into account the collateral performance
to date as well as the current macroeconomic environment in Ireland.
The share of loans more than 90 days in arrears is 8.4 per cent
as at December 2010 compared to zero per cent at the original closing
date in November 2008. The share of 360 days delinquent loans is
2.9 per cent. Moody's believes the weakening of Irish economic
conditions and in particular the effects of further government austerity
measures will continue to negatively impact borrowers' ability to perform
their financial obligations. As a result we expect arrears levels
in the portfolio to continue to increase through 2011 and to remain at
elevated levels for several years.
Stress scenarios: Moody's has assessed the loan-by-loan
information to determine the MILAN Aaa CE assumption of 40 per cent.
The assigned rating of A1 (sf) also incorporates additional stress scenarios,
which have been analysed by Moody's to take into account systemic country
risk and the impact of a sovereign and banking stress in Ireland.
In its analysis, Moody's considered the likely performance of the
transaction in the context of a severe stress scenario that assumes combinations
of a restructuring of the government's debt, a banking system crisis,
and a more severe version of the current austerity plan. The loss
to the portfolio in such an extreme scenario was assumed to be approximately
20 per cent and credit enhancement of the A1 (sf) rated senior notes was
assessed to ensure that these notes would not experience a loss in such
a scenario.
Operational risk: on February 11 2011, the senior unsecured
rating of Irish Life and Permanent plc (IL&P) was downgraded to Ba2
and remains on review for further possible downgrade. IL&P
performs several key roles in the transaction including that of servicer
and cash manager. IL&P has taken a number of steps to mitigate
the operational risk to the transaction including the appointment of BNP
Paribas Securities Services, London Branch as Issuer Account Bank
and back-up cash manager. The revised transaction documents
also contain a requirement for IL&P, at its own cost,
to appoint a back-up servicer as soon as possible.
The rated notes are placed under review for possible downgrade pending
the appointment of a back-up servicer. Moody's will assess
the strength of the back-up arrangement, when appointed.
Should the arrangement be deemed weak, or if no back-up is
appointed within the near future, then the ratings of the Class
A1, A2 and A3 notes will most likely be downgraded to A3.
The rating addresses the expected loss posed to investors by the legal
final maturity of the notes. In Moody's opinion, the structure
allows for timely payment of interest and principal with respect of the
notes by the legal final maturity. Moody's ratings only address
the credit risk associated with the transaction. Other non-credit
risks have not been addressed, but may have a significant effect
on yield to investors.
V-Score: The V-Score for this transaction is Medium/High,
mainly due to the current macroeconomic environment, historical
performance and downgrade rate in the Irish RMBS sector and the performance
of the existing Fastnet transactions. V-Scores are a relative
assessment of the quality of available credit information and of the degree
of dependence on various assumptions used in determining the rating.
High variability in key assumptions could expose a rating to more likelihood
of rating changes. The V-Score has been assigned according
to the report "V-Scores and Parameter Sensitivities in the Major
EMEA RMBS Sectors" published in April 2009.
Moody's Parameter Sensitivities: If the portfolio Milan Aaa Credit
Enhancement was increased to 45 per cent, the model output for Classes
A1, A2 and A3 notes would have achieved an A1 rating assuming all
other factors remained. Moody's Parameter Sensitivities provide
a quantitative/model-indicated calculation of the number of rating
notches that a Moody's structured finance security may vary if certain
input parameters used in the initial rating process differed. The
analysis assumes that the deal has not aged and is not intended to measure
how the rating of the security might migrate over time, but rather
how the initial rating of the security might have differed if key rating
input parameters were varied. Parameter Sensitivities for the typical
EMEA RMBS transaction are calculated by stressing key variable inputs
in Moody's primary rating model.
The principal methodologies used in this rating were Moody's MILAN Methodology
for rating Irish RMBS published in April 2009 and Cash Flow Analysis in
EMEA RMBS: Testing Structural Features with the MARCO Model published
in January 2006. In addition, Moody's publishes a weekly
summary of structured finance credit, ratings and methodologies,
available to all registered users of our website, at www.moodys.com/SFQuickCheck.
Moody's Investors Service did not receive or take into account a third
party due diligence report on the underlying assets or financial instruments
in this transaction.
REGULATORY DISCLOSURES
The rating has been disclosed to the rated entity or its designated agents
and issued with no amendment resulting from that disclosure.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, and confidential and proprietary Moody's Investors
Service information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of assigning
a credit rating.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entity or its related third parties within the
three years preceding the Credit Rating Action. Please see the
ratings disclosure page www.moodys.com/disclosures on our
website for further information.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
London
Anthony Parry
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
London
Annabel Schaafsma
Senior Vice President
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's assigns definitive ratings to Irish RMBS Notes Issued by Fastnet Securities 6 Ltd
No Related Data.
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