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Related Issuers
Rating Action:

Moody's assigns definitive ratings to Irish RMBS Notes Issued by Fastnet Securities 6 Ltd

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.
© 2023 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S CREDIT RATINGS AFFILIATES ARE THEIR CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY’S (COLLECTIVELY, “PUBLICATIONS”) MAY INCLUDE SUCH CURRENT OPINIONS. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE APPLICABLE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS (“ASSESSMENTS”), AND OTHER OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. AND/OR ITS AFFILIATES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES ITS PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY100,000 to approximately JPY550,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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