DBRS Morningstar Upgrades and Confirms Ratings on Fastnet Securities 16 DAC and Fastnet Securities 17 DAC

DBRS Ratings GmbH (DBRS Morningstar) took the following credit rating actions on the notes issued by Fastnet Securities 16 DAC (Fastnet 16) and Fastnet Securities 17 DAC (Fastnet 17):

Fastnet 16:
-- Class A2 notes confirmed at AAA (sf)
-- Class A3 notes confirmed at AAA (sf)
-- Class B notes confirmed at AA (high) (sf)
-- Class C notes upgraded to A (high) (sf) from A (sf)
-- Class D notes upgraded to BBB (high) (sf) from BBB (sf)
-- Class E notes confirmed at BB (high) (sf)

The credit ratings on the Class A2 and Class A3 notes address the timely payment of interest and the ultimate payment of principal on or before the final maturity date in December 2058. The credit rating on the Class B notes addresses the timely payment of interest when most senior and the ultimate payment of principal on or before the final maturity date. The credit ratings on the Class C, Class D, and Class E notes address the ultimate payment of interest and principal on or before the final maturity date.

Fastnet 17:
-- Class A1 notes confirmed at AAA (sf)
-- Class A2 notes confirmed at AAA (sf)
-- Class A3 notes confirmed at AAA (sf)
-- Class B notes confirmed at AA (high) (sf)
-- Class C notes confirmed at A (high) (sf)
-- Class D notes upgraded to A (high) (sf) from BBB (high) (sf)
-- Class E notes upgraded to BBB (high) (sf) from BBB (low) (sf)

The credit ratings on the Class A1, Class A2, and Class A3 notes address the timely payment of interest and the ultimate payment of principal on or before the final maturity date in December 2058. The credit ratings on the Class B and Class C notes address the timely payment of interest when most senior and the ultimate payment of principal on or before the final maturity date. The credit ratings on the Class D and Class E notes address the ultimate payment of interest and principal on or before the final maturity date.

The credit rating actions follow an annual review of the transactions and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the June 2023 payment date;
-- Portfolio default rate (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables; and
-- Current available credit enhancement to the notes to cover the expected losses at their respective credit rating levels.

The transactions are static securitisations of Irish first-lien residential mortgages originated and serviced by Permanent TSB plc (PTSB), which closed in July 2021. Fastnet 16 had an initial portfolio balance of EUR 3.95 billion of owner-occupied mortgages while Fastnet 17 had an initial portfolio balance of EUR 1.03 billion of both owner-occupied and buy-to-let mortgages.

PORTFOLIO PERFORMANCE
Fastnet 16:
As of the June 2023 payment date, loans that were 30 to 60 days and 60 to 90 days delinquent represented 0.2% and 0.1% of the outstanding principal balance, respectively, while loans more than 90 days delinquent represented 0.1%. There have not been any repossessions or realised losses to date.

Fastnet 17:
As of the June 2023 payment date, loans that were 30 to 60 days and 60 to 90 days delinquent represented 1.4% and 0.7% of the outstanding principal balance, respectively, while loans more than 90 days delinquent represented 1.8%. There have not been any repossessions or realised losses to date.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
For Fastnet 16, DBRS Morningstar updated its base case PD and LGD assumptions on the remaining receivables to 2.5% and 10.1%, respectively. For Fastnet 17, DBRS Morningstar updated its base case PD and LGD assumptions to 6.7% and 10.8%, respectively. The higher loss assumptions at the base case level result from the recent release of DBRS Morningstar’s “European RMBS Insight: Irish Addendum”, which penalises portfolios of loans originated before 2010.

CREDIT ENHANCEMENT
The subordination of the respective junior obligations and the general reserve funds provide credit enhancement to the rated notes in the respective transactions.

As of the June 2023 payment date, in Fastnet 16, credit enhancement to the Class A notes increased to 21.7% from 14.1% at the time of the previous annual review 12 months ago; credit enhancement to the Class B notes increased to 16.3% from 10.4%; credit enhancement to the Class C notes increased to 7.7% from 4.7%; credit enhancement to the Class D notes increased to 4.5% from 2.6%; and credit enhancement to the Class E notes increased to 2.7% from 1.4%.

In Fastnet 17, credit enhancement to the Class A notes increased to 39.3% from 22.2% at the time of the previous annual review 12 months ago; credit enhancement to the Class B notes increased to 30.4% from 17.0%; credit enhancement to the Class C notes increased to 18.3% from 10.0%; credit enhancement to the Class D notes increased to 14.3% from 7.7%; and credit enhancement to the Class E notes increased to 11.2% from 5.9%.

The transactions benefit from a general reserve fund providing credit support and a liquidity reserve fund providing liquidity support, both funded at closing through a subordinated loan. Together, the general reserve and liquidity reserve funds equal 1.0% of the initial total notes’ balance in each transaction. As of the June 2023 payment date, the general reserve fund for Fastnet 16 was at EUR 21.1 million and the liquidity reserve fund was at EUR 18.4 million while the general reserve fund for Fastnet 17 was at EUR 7.1 million and the liquidity reserve fund was at EUR 3.3 million.

BNP Paribas Ireland - Dublin Branch (BNP Ireland) acts as the account bank for the transactions. Based on DBRS Morningstar’s private rating on BNP Ireland, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structures, DBRS Morningstar considers the risk arising from the exposure to the account bank to be consistent with the credit ratings assigned to the notes in the transactions, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.

DBRS Morningstar’s credit ratings on the respective Class A, Class B, Class C, Class D, and Class E notes in the two transactions address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are listed at the end of this press release.

DBRS Morningstar’s credit ratings on the respective Class A, Class B, Class C, Class D, and Class E notes in the two transactions also address the credit risk associated with the increased rate of interest applicable to the respective Class A, Class B, Class C, Class D, and Class E notes if the respective Class A, Class B, Class C, Class D, and Class E notes are not redeemed on the Optional Redemption Date as defined in and in accordance with the applicable transaction documents.

DBRS Morningstar’s long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework
can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors
in Credit Ratings at https://www.dbrsmorningstar.com/research/416784/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

DBRS Morningstar analysed the transaction structures in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is the “Master European Structured Finance Surveillance Methodology” (7 February 2023), https://www.dbrsmorningstar.com/research/409485/master-european-structured-finance-surveillance-methodology.

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

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

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

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrsmorningstar.com/research/401817/global-methodology-for-credit rating-sovereign-governments.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The sources of data and information used for these credit ratings include investor reports provided by PTSB and loan-level data provided by the European DataWarehouse GmbH.

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

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

DBRS Morningstar considers the data and information available to it for the purpose of providing these credit ratings to be of satisfactory quality.

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

The last credit rating action on Fastnet Securities 16 took place on 18 April 2023, when DBRS Morningstar discontinued its credit rating on the Class A1 notes following their full repayment. Previously, on 14 July 2022, DBRS Morningstar confirmed its credit ratings on the Class A1, Class A2, Class A3, Class B, Class C, Class D, and Class E notes at AAA (sf), AAA (sf), AAA (sf), AA (high) (sf), A (sf), BBB (sf), and BB (high) (sf), respectively.

The last credit rating action on Fastnet Securities 17 took place on 14 July 2022, when DBRS Morningstar confirmed its credit ratings on the Class A1, Class A2, Class A3, Class B, Class C, Class D, and Class E notes at AAA (sf), AAA (sf), AAA (sf), AA (high) (sf), A (high) (sf), BBB (high) (sf), and BBB (low) (sf), respectively.

Information regarding DBRS Morningstar credit ratings, including definitions, policies, and methodologies, is available at www.dbrsmorningstar.com.

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit ratings, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the credit ratings (the base case):

-- DBRS Morningstar expected a lifetime base case PD and LGD for the pool based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
-- For Fastnet 16, the base case PD and LGD assumptions for the remaining collateral pool are 2.5% and 10.1%, respectively.
-- For Fastnet 17, the base case PD and LGD assumptions for the remaining collateral pool are 6.7% and 10.8%, respectively.
-- The risk sensitivity overview below illustrates the credit 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 credit rating on the Class A2 notes in Fastnet 16 would be expected to remain at AAA (sf), ceteris paribus. If the PD increases by 50%, the credit rating on the Class A notes in Fastnet 16 would be expected to remain at AAA (sf), ceteris paribus. Furthermore, if both the PD and LGD increase by 50%, the credit rating on the Class A notes in Fastnet 16 would be expected to remain at AAA (sf).

Fastnet 16:
Class A2 Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

Class A3 Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

Class B Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD, expected credit rating of AA (high) (sf)
-- 50% increase in PD, expected credit rating of AA (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (low) (sf)

Class C Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in LGD, expected credit rating of A (high) (sf)
-- 25% increase in PD, expected credit rating of A (high) (sf)
-- 50% increase in PD, expected credit rating of A (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of A (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of A (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of A (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BBB (high) (sf)

Class D Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of BBB (high) (sf)
-- 50% increase in LGD, expected credit rating of BBB (high) (sf)
-- 25% increase in PD, expected credit rating of BBB (sf)
-- 50% increase in PD, expected credit rating of BB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of BBB (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BBB (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BB (high) (sf)

Class E Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of BB (high) (sf)
-- 50% increase in LGD, expected credit rating of BB (sf)
-- 25% increase in PD, expected credit rating of BB (low) (sf)
-- 50% increase in PD, expected credit rating of B (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of BB (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BB (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of B (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of B (high) (sf)

Fastnet 17:
Class A1 Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

Class A2 Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

Class A3 Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

Class B Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD, expected credit rating of AA (high) (sf)
-- 50% increase in PD, expected credit rating of A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A (high) (sf)

Class C Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of A (low) (sf)
-- 50% increase in LGD, expected credit rating of A (low) (sf)
-- 25% increase in PD, expected credit rating of BBB (high) (sf)
-- 50% increase in PD, expected credit rating of BBB (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of BBB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BBB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BB (high) (sf)

Class D Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in LGD, expected credit rating of A (sf)
-- 25% increase in PD, expected credit rating of A (low) (sf)
-- 50% increase in PD, expected credit rating of BBB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of BBB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BBB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BBB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BBB (high) (sf)

Class E Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of BBB (high) (sf)
-- 50% increase in LGD, expected credit rating of BBB (sf)
-- 25% increase in PD, expected credit rating of BBB (low) (sf)
-- 50% increase in PD, expected credit rating of BB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of BB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BB (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BB (high) (sf)

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication/. For further information on DBRS Morningstar historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

These credit ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Daniel Rakhamimov, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Credit Rating Date: 21 July 2021 (Fastnet 16), 14 July 2021 (Fastnet 17)

DBRS Ratings GmbH
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60311 Frankfurt am Main - Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The credit rating methodologies used in the analysis of these transactions can be found at: https://www.dbrsmorningstar.com/about/methodologies.

-- Master European Structured Finance Surveillance Methodology (7 February 2023), https://www.dbrsmorningstar.com/research/409485/master-european-structured-finance-surveillance-methodology.
-- European RMBS Insight Methodology (27 March 2023) and European RMBS Insight Model v6.0.0.0,
https://www.dbrsmorningstar.com/research/411634/european-rmbs-insight-methodology.
-- European RMBS Insight: Irish Addendum (5 June 2023),
https://www.dbrsmorningstar.com/research/415306/european-rmbs-insight-irish-addendum.
-- Legal Criteria for European Structured Finance Transactions (30 June 2023),
https://www.dbrsmorningstar.com/research/416730/legal-criteria-for-european-structured-finance-transactions.
-- Operational Risk Assessment for European Structured Finance Servicers (15 September 2022), https://www.dbrsmorningstar.com/research/402774/operational-risk-assessment-for-european-structured-finance-servicers.
-- Interest Rate Stresses for European Structured Finance Transactions (22 September 2022), https://www.dbrsmorningstar.com/research/402943/interest-rate-stresses-for-european-structured-finance-transactions.
-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (4 July 2023),
https://www.dbrsmorningstar.com/research/416784/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

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

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].