Frankfurt am Main, September 13, 2019 -- Moody's Investors Service ("Moody's") has today
upgraded the ratings of 8 Notes in 6 Irish RMBS transactions. The
rating action reflects the increased levels of credit enhancement for
the affected Notes, better than expected collateral performance,
where applicable, as well as the upgrade of the servicer's,
Permanent tsb p.l.c., Counterparty Risk assessment
("CR assessment") to Baa1(cr) earlier this year. Moody's
affirmed the ratings of the Notes that had sufficient credit enhancement
to maintain their current ratings.
Issuer: Fastnet Securities 5 Ltd
....EUR 527.0M Class A3 Notes,
Upgraded to Aaa (sf); previously on Jul 1, 2016 Confirmed at
Aa1 (sf)
Issuer: Fastnet Securities 6 Ltd
....EUR 559.2M Class A3 Notes,
Upgraded to Aaa (sf); previously on Jul 1, 2016 Confirmed at
Aa1 (sf)
Issuer: Fastnet Securities 10 Limited
....EUR 828.8M Class A1 Notes,
Affirmed Aaa (sf); previously on Jul 1, 2016 Upgraded to Aaa
(sf)
....EUR 414.4M Class A2 Notes,
Affirmed Aaa (sf); previously on Jul 1, 2016 Upgraded to Aaa
(sf)
....EUR 310.8M Class A3 Notes,
Upgraded to Aaa (sf); previously on Jul 1, 2016 Upgraded to
Aa1 (sf)
Issuer: Fastnet Securities 11 Designated Activity Company
....EUR 1454.2M Class A1 Notes,
Affirmed Aaa (sf); previously on Feb 8, 2018 Affirmed Aaa (sf)
....EUR 581.6M Class A2 Notes,
Affirmed Aaa (sf); previously on Feb 8, 2018 Affirmed Aaa (sf)
....EUR 436.2M Class A3 Notes,
Upgraded to Aaa (sf); previously on Feb 8, 2018 Upgraded to
Aa1 (sf)
Issuer: Fastnet Securities 12 DAC
....EUR 448.0M Class A Notes,
Affirmed Aaa (sf); previously on Oct 12, 2016 Definitive Rating
Assigned Aaa (sf)
....EUR 30.9M Class B Notes,
Upgraded to Aaa (sf); previously on Oct 12, 2016 Definitive
Rating Assigned Aa1 (sf)
....EUR 21.1M Class C Notes,
Upgraded to Aa1 (sf); previously on Jul 27, 2017 Upgraded to
Aa2 (sf)
Issuer: Fastnet Securities 13 DAC
....EUR 413.1M Class A Notes,
Affirmed Aaa (sf); previously on Oct 26, 2017 Definitive Rating
Assigned Aaa (sf)
....EUR 30.3M Class B Notes,
Upgraded to Aaa (sf); previously on Oct 26, 2017 Definitive
Rating Assigned Aa1 (sf)
....EUR 30.3M Class C Notes,
Upgraded to Aa3 (sf); previously on Oct 26, 2017 Definitive
Rating Assigned A1 (sf)
....EUR 26.3M Class D Notes,
Affirmed Baa3 (sf); previously on Oct 26, 2017 Definitive Rating
Assigned Baa3 (sf)
All 6 transactions are static cash securitisations of residential mortgage
loans extended to obligors by Permanent tsb p.l.c.
("PTSB") and backed by properties located in Ireland.
RATINGS RATIONALE
The rating action is prompted by an increase in credit enhancement for
the affected tranches, as well as decreased key collateral assumptions,
namely the portfolio Expected Loss (EL) and MILAN CE assumptions,
due to better than expected collateral performance in some of the deals.
The rating action also takes into account the upgrade of PTSB's
CR assessment to Baa1(cr) in April 2019. Among other roles,
PTSB acts as the servicer in all 6 transactions (see http://www.moodys.com/viewresearchdoc.aspx?docid=PR_397474).
Increase in Available Credit Enhancement
Sequential amortization and non-amortizing reserve funds,
as the case may be, led to the increase in the credit enhancement
available in these transactions.
Since the last rating action in July 2016 the credit enhancement available
under Class A3 in Fastnet Securities 5 Ltd ("Fastnet 5"),
Class A3 in Fastnet Securities 6 Ltd ("Fastnet 6") and Class
A3 in Fastnet Securities 10 Limited ("Fastnet 10") increased
from 42.8%, 45.6% and 29.2%
to 66.6%, 72.2% and 41.4%
as of the latest interest payment date ("IPD") respectively.
Credit enhancement available under Class A3 in Fastnet Securities 11 Designated
Activity Company ("Fastnet 11") increased to 27.2%
at the latest IPD from 20.3% as of the last rating action
in February 2018.
Credit enhancement under Classes B and C in Fastnet Securities 12 DAC
("Fastnet 12") increased to 23.7% and 18.1%
from 15.1% and 12.3% as of their last respective
rating actions in October 2016 and July 2017.
Credit enhancement supporting Classes B and C in Fastnet Securities 13
DAC ("Fastnet 13") increased to 22.0% and 14.3%
from 15.8% and 10.1% respectively since closing
in October 2017.
Revision of Key Collateral Assumptions:
As part of the rating action, Moody's reassessed its lifetime loss
expectation for the portfolio reflecting the collateral performance to
date.
The performance of all 6 transactions has continued to be stable over
the last year, with delinquency levels remaining at relatively low
levels compared to the overall Irish mortgage market. As of the
latest IPD in August 2019 the 90 days plus arrears in Fastnet 5,
Fastnet 6, Fastnet 10 and Fastnet 11 stood at 1.1%,
0.9%, 0.4% and 0.3% as
a percentage of the outstanding pool balance respectively. The
90 days plus arrears in both Fastnet 12 and Fastnet 13 were below 0.1%
of the current pool balance as of the last IPD in July 2019.
In Fastnet 5, Fastnet 6, Fastnet 10 and Fastnet 11 the cumulative
losses experienced to date are at very low levels: 0.01%,
0.07%, 0.03% and 0.00%
of each transaction's respective original pool balance. Fastnet
12 and Fastnet 13 have thus far not recorded any losses.
Moody's decreased the expected loss assumptions in Fastnet 5, Fastnet
6, Fastnet 11 and Fastnet 12 to 2.4%, 3.0%,
4.0% and 3.5% as a percentage of original
pool balance from 3.4%, 4.7%,
4.7% and 5.0% respectively due to better than
expected collateral performance. Moody's left the expected
loss assumptions for Fastnet 10 and Fastnet 13 unchanged at 5.15%
and 4.9% respectively.
Moody's has also assessed loan-by-loan information as a
part of its detailed transaction review to determine the credit support
consistent with target rating levels and the volatility of future losses.
As a result, Moody's has decreased the MILAN CE assumptions
in Fastnet 5 and Fastnet 6 to 21% and 25% from previously
27% and 29% respectively. Moody's left the
MILAN CE assumptions for the other 4 transactions unchanged at 25%
for Fastnet 10, 21% for Fastnet 11 and 17% for both
Fastnet 12 and Fastnet 13.
In its analysis, Moody's also took into account the Minimum Expected
Loss Multiple, a floor defined in Moody's methodology for rating
EMEA RMBS transactions.
Counterparty Exposure
Today's rating actions took into consideration the Notes'
exposure to relevant counterparties, such as servicers or account
banks.
Moody's considered how the liquidity available in the transactions and
other mitigants support continuity of Note payments, in case of
servicer default, using the CR assessment as a reference point for
servicers. The ratings of the Notes are not constrained by operational
risk. Moody's considers that the current operational risk arrangements
are sufficient to support payments in the event of servicer disruption,
taking into account the servicer's current CR assessment of Baa1(cr).
The principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework" published in July 2019.
Please see the Rating Methodologies page on www.moodys.com
for a copy of this methodology.
The analysis undertaken by Moody's at the initial assignment of ratings
for RMBS securities may focus on aspects that become less relevant or
typically remain unchanged during the surveillance stage. Please
see "Moody's Approach to Rating RMBS Using the MILAN Framework" for further
information on Moody's analysis at the initial rating assignment and the
on-going surveillance in RMBS.
Factors that would lead to an upgrade or downgrade of the ratings:
Factors or circumstances that could lead to an upgrade of the ratings
include: (1) performance of the underlying collateral that is better
than Moody's expected; (2) an increase in available credit enhancement;
and (3) improvements in the credit quality of the transaction counterparties.
Factors or circumstances that could lead to a downgrade of the ratings
include: (1) an increase in sovereign risk; (2) performance
of the underlying collateral that is worse than Moody's expected;
(3) deterioration in the Notes' available credit enhancement; and
(4) deterioration in the credit quality of the transaction counterparties.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
The analysis relies on an assessment of collateral characteristics to
determine the collateral loss distribution, that is, the function
that correlates to an assumption about the likelihood of occurrence to
each level of possible losses in the collateral. As a second step,
Moody's evaluates each possible collateral loss scenario using a
model that replicates the relevant structural features to derive payments
and therefore the ultimate potential losses for each rated instrument.
The loss a rated instrument incurs in each collateral loss scenario,
weighted by assumptions about the likelihood of events in that scenario
occurring, results in the expected loss of the rated instrument.
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
For ratings issued on a program, series, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or note of the
same series, category/class of debt, security or pursuant
to a program for which the ratings are derived exclusively from existing
ratings in accordance with Moody's rating practices. For ratings
issued on a support provider, this announcement provides certain
regulatory disclosures in relation to the credit rating action on the
support provider and in relation to each particular credit rating action
for securities that derive their credit ratings from the support provider's
credit rating. For provisional ratings, this announcement
provides certain regulatory disclosures in relation to the provisional
rating assigned, and in relation to a definitive rating that may
be assigned subsequent to the final issuance of the debt, in each
case where the transaction structure and terms have not changed prior
to the assignment of the definitive rating in a manner that would have
affected the rating. For further information please see the ratings
tab on the issuer/entity page for the respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this credit rating action,
and whose ratings may change as a result of this credit rating action,
the associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Michal Kuehnel
Analyst
Structured Finance Group
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Gaby Trinkaus, CFA
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Releasing Office:
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
