DBRS Upgrades Notes Issued by Fastnet Securities 11 Designated Activity Company

DBRS Ratings Limited (DBRS) has today upgraded the ratings on the notes issued by Fastnet Securities 11 Designated Activity Company (Fastnet 11) as follows:

-- Class A1 upgraded to AAA (sf) from AA (high) (sf)
-- Class A2 upgraded to AAA (sf) from AA (high) (sf)
-- Class A3 upgraded to AA (sf) from AA (low) (sf)

Today’s rating actions follow an annual review of the transaction and are based on the following analytical considerations:

-- Portfolio performance in terms of delinquencies, defaults and losses.
-- Portfolio default (PD) rate, loss given default (LGD) rate and expected loss assumptions for the remaining collateral pool.
-- The credit enhancement (CE) available to the rated notes to cover the expected losses at each class of the notes’ relevant rating level.

Fastnet 11 closed in March 2016 and is a securitisation of first-lien Irish residential mortgages originated and serviced by Permanent TSB p.l.c. (PTSB; rated BB (low), Positive Trend/R-4, Stable Trend by DBRS). In April 2016, the transaction purchased an additional mortgage portfolio from PTSB and DBRS confirmed the ratings on the rated notes. The majority of the mortgages were originated within 2005 and 2007.

PORTFOLIO PERFORMANCE AND ASSUMPTIONS
Fastnet 11 is performing within DBRS’s expectations. As of 31 March 2017, loans more than 90 days delinquent as a percentage of the outstanding collateral pool balance have built up to 0.63% since closing. There have been no repossessions or losses on the mortgage pool since closing. DBRS received loan-by-loan forbearance information from the Servicer and applied additional stresses to these loans in the credit analysis. The increase in the loan arrears is within DBRS’s expectation as the portfolio’s performance evolves since closing. Following the credit analysis on the pool data as of the end of March 2017, DBRS has updated its base case PD and LGD assumptions on the remaining collateral pool to 7.73% and 33.43% from 10.71% and 32.32%, respectively.

CREDIT ENHANCEMENT
The Principal Deficiency Ledger is allocated first to Class Z then pro rata to Class A1, A2 and A3. Under this structure, the CE available to Class A1, A2 and A3 are the same at 18.94%, an increase from 17.00% at issuance. When considering the sequential order of principal payment, the CE available to Class A1, A2 and A3 are 57.30%, 35.38% and 18.94%, an increase from 52.00%, 32.00% and 17,00% at issuance, respectively. The sources of credit enhancement are the subordinated notes and the non-amortising General Reserve Fund which is currently at its target balance.

The Bank of New York Mellon, London Branch, (BoNY London, rated AA/R-1 (high) with Stable trends by DBRS) is the Account Bank of the transaction. BoNY London’s Deposits & Senior Debt rating complies with the Minimum Institution Rating criteria as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology, given the AAA (sf) ratings assigned to Class A1 and A2.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is “Master European Structured Finance Surveillance Methodology”.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

A review of the transaction legal documents was not conducted as the documents have remained unchanged since the most recent rating action.

Other methodologies referenced in this transaction are listed at the end of this press release.

These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of data and information used for these ratings include the monthly investor reports and the loan-by-loan restructuring information from PTSB, and the monthly loan-by-loan data from European DataWarehouse GmbH.

DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial rating, DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the data and information available to it for the purposes of providing this rating to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on this transaction took place on 29 April 2016, when DBRS confirmed the Class A1, A2 and A3 notes at AA (high) (sf), AA (high) (sf) and AA (low) (sf), respectively.

Information regarding DBRS ratings, including definitions, policies and methodologies, is available on www.dbrs.com.

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the base case):

-- At the AAA (sf) rating level, the corresponding PD is 30.47% and the LGD is 66.30%. At the AA (sf) rating level, the corresponding PD is 24.81% and the LGD is 56.51%.

-- The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating on the Class A1 notes would be expected to be at AAA (sf), assuming no change in the PD. If the PD increases by 50%, the rating on the Class A1 notes would be expected to be at AA (high) (sf), assuming no change in the LGD. Furthermore, if both the PD and the LGD increase by 50%, the rating on the Class A1 notes would be expected to be at AA (low) (sf).

Class A1 risk sensitivity:
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (low) (sf)

Class A2 risk sensitivity:
-- 25% increase in LGD, expected rating of AA (high) (sf)
-- 50% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD, expected rating of AA (high) (sf)
-- 50% increase in PD, expected rating of AA (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (sf)

Class A3 risk sensitivity:
-- 25% increase in LGD, expected rating of AA (sf)
-- 50% increase in LGD, expected rating of AA (sf)
-- 25% increase in PD, expected rating of AA (sf)
-- 50% increase in PD, expected rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of A (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)

For further information on DBRS historical default rates published by the European Securities and Markets Authority (“ESMA”) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Lead Analyst: Kevin Ma, Assistant Vice President
Rating Committee Chair: Vito Natale, Senior Vice President
Initial Rating Date: 24 March 2016

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960

The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.

-- Master European Structured Finance Surveillance Methodology
-- Legal Criteria for European Structured Finance Transactions
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- Operational Risk Assessment for European Structured Finance Servicers
-- Unified Interest Rate Model for European Securitisations

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.