articles Ratings /ratings/en/research/articles/220922-fastnet-16-dac-class-d-dfrd-irish-rmbs-rating-raised-all-other-ratings-affirmed-12501318 content esgSubNav
In This List
NEWS

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

COMMENTS

Russia-Ukraine Military Conflict: Key Takeaways From Our Articles

COMMENTS

Weekly European CLO Update

NEWS

Japan Housing Finance Agency's Series T-1 To T-5 Structured Note 'AAA (sf)' Ratings Affirmed

NEWS

Japan Housing Finance Agency's Series 1 To 12 Structured Note 'AAA (sf)' Ratings Affirmed


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

Overview

  • 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

Related Research

Primary Credit Analyst:Rory O'Faherty, Dublin +353 1 568 0619;
rory.ofaherty@spglobal.com
Secondary Contact:Ronan Mceneaney, Dublin +353 15680611;
ronan.mceneaney@spglobal.com

No content (including ratings, credit-related analyses and data, valuations, model, software, or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced, or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor’s Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees, or agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness, or availability of the Content. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an “as is” basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE UNINTERRUPTED, OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advised of the possibility of such damages.

Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. S&P’s opinions, analyses, and rating acknowledgment decisions (described below) are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment, and experience of the user, its management, employees, advisors, and/or clients when making investment and other business decisions. S&P does not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. Rating-related publications may be published for a variety of reasons that are not necessarily dependent on action by rating committees, including, but not limited to, the publication of a periodic update on a credit rating and related analyses.

To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain regulatory purposes, S&P reserves the right to assign, withdraw, or suspend such acknowledgement at any time and in its sole discretion. S&P Parties disclaim any duty whatsoever arising out of the assignment, withdrawal, or suspension of an acknowledgment as well as any liability for any damage alleged to have been suffered on account thereof.

S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the confidentiality of certain nonpublic information received in connection with each analytical process.

S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites, www.spglobal.com/ratings (free of charge), and www.ratingsdirect.com (subscription), and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available at www.spglobal.com/usratingsfees.


Register with S&P Global Ratings

Register now to access exclusive content, events, tools, and more.

Go Back