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Fastnet 16 DAC Class D-Dfrd Irish RMBS Rating Raised; All Other Ratings Affirmed


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Fastnet 16 DAC Class D-Dfrd Irish RMBS Rating Raised; All Other Ratings Affirmed


  • We reviewed Fastnet Securities 16 in line with the latest available data.
  • Following our review, we raised our rating on the class D-Dfrd notes and affirmed our ratings on the class A, B-Dfrd, C-Dfrd, and E-Dfrd notes.
  • Fastnet 16 is a static RMBS transaction that securitizes a portfolio of owner-occupied mortgage loans, secured over residential properties in Ireland. The originator and administrator of the loans is Permanent TSB PLC (PTSB).

DUBLIN (S&P Global Ratings) Sept. 22, 2022--S&P Global Ratings today raised to 'A+ (sf)' from 'A (sf)' its credit rating on Fastnet Securities 16 DAC's class D-Dfrd notes. At the same time, we affirmed our 'AAA (sf)', 'AAA (sf)', 'AAA (sf)', 'AA+ (sf)', 'AA (sf)', and 'BBB+ (sf)' ratings on the class A1, A2, A3, B-Dfrd, C-Dfrd, and E-Dfrd notes, respectively.

Today's rating actions reflect our full analysis of the most recent transaction information that we have received and the transaction's structural features.

The transaction's performance remains stable with low arrears and defaults, and both the general reserve fund and liquidity reserve fund remain at their respective targets.

After applying our global RMBS criteria, our weighted-average foreclosure frequency has decreased primarily because of the transaction's improved weighted-average effective loan-to-value (LTV) ratio. Our weighted-average loss severity assumptions have decreased at all rating levels due mainly to the reduced current weighted-average LTV ratio following recent significant HPI growth in Ireland (see "Asset Price Risks: Inflated Property Values Mean Higher Loss Assumptions In European RMBS And Covered Bonds," published on March 21, 2022).

Credit Analysis Results
Rating level WAFF (%) WALS (%)
AAA 22.74 23.42
AA 15.31 19.71
A 11.58 13.25
BBB 7.69 9.95
BB 3.96 7.76
B 3.06 5.86
WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity.

Considering the results of our credit and cash flow analysis, the increased available credit enhancement, and the transaction's performance, we consider that the available credit enhancement for the class D-Dfrd notes is now commensurate with higher ratings than those currently assigned. We therefore raised to 'A+ (sf)' from 'A (sf)' our rating on the class D-Dfrd notes.

The results of our cash flow analysis support the currently assigned 'AAA (sf)' rating on the class A notes. The class B-Dfrd notes can also pass our 'AAA' stresses but given their deferable nature, the current rating is capped at 'AA+ (sf)'. We therefore affirmed our ratings on these classes of notes.

Our analysis indicates that the class C-Dfrd to E-Dfrd notes could withstand our stresses at higher ratings than those assigned. However, the ratings on these classes of notes are constrained by additional factors. Specifically, we considered the high proportion of loans that are on fixed rate products and are due to revert to a floating rate in the coming years. This could potentially lead to an increase beyond the typical level of prepayments expected under our criteria. We also consider the potential sensitivity of these classes of notes to an increase in arrears as a result of cost of living pressures. We therefore affirmed our 'AA (sf)' and 'BBB+ (sf)' ratings on the class C-Dfrd and E-Dfrd notes, and limited our upgrade of the class D-Dfrd notes.

Fastnet 16 is a static RMBS transaction that securitizes a portfolio of owner-occupied mortgage loans, secured over residential properties in Ireland. The transaction closed in July 2021.

Related Criteria

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Primary Credit Analyst:Rory O'Faherty, Dublin +353 1 568 0619;
Secondary Contact:Ronan Mceneaney, Dublin +353 15680611;

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