Morningstar DBRS Takes Credit Rating Actions on Four Fastnet Securities Irish RMBS Transactions
RMBSDBRS Ratings GmbH (Morningstar DBRS) took the following credit rating actions on the notes issued by Fastnet Securities 16 DAC (Fastnet 16), Fastnet Securities 17 DAC (Fastnet 17), Fastnet Securities 18 DAC (Fastnet 18) and Fastnet Securities 19 DAC (Fastnet 19):
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 confirmed at A (high) (sf)
-- Class D Notes confirmed at BBB (high) (sf)
-- Class E Notes confirmed at BB (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 ratings on the Class B and Class C 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 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 confirmed at A (high) (sf)
-- Class E Notes confirmed at BBB (high) (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.
Fastnet 18:
-- Class A2 Notes confirmed at AAA (sf)
-- Class A3 Notes confirmed at AAA (sf)
-- Class B Notes confirmed at AA (sf)
-- Class C Notes confirmed at A (high) (sf)
-- Class D Notes confirmed at BBB (high) (sf)
-- Class E Notes downgraded to BB (low) (sf) from BB (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 legal final maturity date in January 2061. 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 legal 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 legal final maturity date.
Fastnet 19:
-- Class A1 Notes confirmed at AAA (sf)
-- Class A2 Notes confirmed at AAA (sf)
The credit ratings on the Class A1 and Class A2 Notes address the timely payment of interest and the ultimate payment of principal on or before the final maturity date in January 2062.
CREDIT RATING RATIONALE
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 May 2025 payment date;
-- Probability of default (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). Fastnet 16 and Fastnet 17 closed in July 2021 with an initial portfolio balance of EUR 3.9 billion and EUR 1.0 billion, respectively. Fastnet 16 included only owner-occupied mortgages while Fastnet 17 consisted of both owner-occupied and buy-to-let mortgages. Fastnet 18 and Fastnet 19 closed in June 2022 and June 2024 with an initial portfolio balance of EUR 3.0 billion and EUR 1.5 billion, respectively, of owner-occupied mortgage loans.
PORTFOLIO PERFORMANCE
Fastnet 16:
As of the May 2025 payment date, loans that were 30 to 60 days and 60 to 90 days delinquent represented 0.2% and 0.1%, respectively, of the outstanding principal balance, while loans more than 90 days delinquent were 0.3%. There have not been any repossessions or realised losses to date.
Fastnet 17:
As of the May 2025 payment date, loans that were 30 to 60 days and 60 to 90 days delinquent represented 1.4% and 0.5%, respectively, of the outstanding principal balance, while loans more than 90 days delinquent were 1.6%. There have not been any repossessions or realised losses to date.
Fastnet 18:
As of the May 2025 payment date, loans that were 30 to 60 days and 60 to 90 days delinquent represented 0.1% and 0.1%, respectively, of the outstanding principal balance, while loans more than 90 days delinquent were 0.3%. There have not been any repossessions or realised losses to date.
Fastnet 19:
As of the May 2025 payment date, loans that were 30 to 60 days and 60 to 90 days delinquent represented 0.01% and 0.01%, respectively, of the outstanding principal balance, and there were no loans more than 90 days in arrears. There have not been any repossessions or realised losses to date.
PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables in each transaction and updated its base case PD and LGD assumptions as follows:
-- Fastnet 16: 1.6% and 10.1%, respectively
-- Fastnet 17: 5.7% and 10.6%, respectively
-- Fastnet 18: 1.5% and 10.0%, respectively
-- Fastnet 19: 1.2% and 10.3%, respectively
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 May 2025 payment date, credit enhancement levels increased as follows:
Fastnet 16:
-- Class A2 and Class A3 Notes to 30.5% from 25.9% at the time of the previous annual review 12 months ago
-- Class B Notes to 22.9% from 19.5%
-- Class C Notes to 11.0% from 9.3%
-- Class D Notes to 6.5% from 5.5%
-- Class E Notes to 4.1% from 3.4%
Fastnet 17:
-- Class A1, Class A2 and Class A3 Notes to 54.1% from 46.8% at the time of the previous annual review 12 months ago
-- Class B Notes to 41.5% from 36.1%
-- Class C Notes to 24.8% from 22.0%
-- Class D Notes to 19.2% from 17.2%
-- Class E Notes to 15.0% from 13.7%
Fastnet 18:
-- Class A2 and Class A3 Notes to 22.8% from 17.1% at the time of the previous annual review 12 months ago
-- Class B Notes to 17.4% from 13.0%
-- Class C Notes to 8.3% from 6.1%
-- Class D Notes to 4.6% from 3.3%
-- Class E Notes to 2.8% from 1.9%
Fastnet 19:
-- Class A1 and Class A2 Notes to 10.8% from 10.1% at closing
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 and liquidity reserve funds equal 1.0% of the initial total notes' balance in each transaction. As of the May 2025 payment date, all were at their target levels: the general reserve fund for Fastnet 16 was at EUR 27.6 million and the liquidity reserve was at EUR 11.8 million; the general reserve fund for Fastnet 17 was at EUR 8.5 million and the liquidity reserve fund was at EUR 1.8 million; the general reserve fund for Fastnet 18 was at EUR 16.5 million and the liquidity reserve fund was at EUR 13.4 million; the general reserve fund for Fastnet 19 was at EUR 2.2 million and the liquidity reserve fund was at EUR 12.4 million.
For Fastnet 18, the downgrade of the Class E Notes follows their high sensitivity to potential compression of the net excess spread between the assets and the liabilities. At closing, the switch to floating of the temporary fixed-rate Class A1, Class A2 and Class A3 Notes was matching the dynamic switch to floating of the fixed-rate portion of the pool. Due to borrowers' refixing on maturity of their current fixed period, this partial hedging structure is no longer in place, exposing the transaction to substantial interest rate risk.
BNP Paribas SA, Dublin Branch (BNP Dublin) acts as the account bank for Fastnet 16, Fastnet 17 and Fastnet 18 while the Bank of New York Mellon SA/NV, Dublin Branch (BNYM Dublin) acts as the account bank for Fastnet 19. Based on Morningstar DBRS' private credit ratings on BNP Dublin and BNYM Dublin, the downgrade provisions outlined in the transactions documents, and other mitigating factors inherent in the transactions structures, Morningstar DBRS considers the risk arising from the exposure to the account banks to be consistent with the credit ratings assigned to the notes in the transaction, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.
Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.
Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS 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, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis.
A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings at https://dbrs.morningstar.com/research/454196.
Morningstar DBRS analysed the transactions structures in Intex Dealmaker.
Notes:
All figures are in Euros unless otherwise noted.
The principal methodology applicable to the credit ratings is Master European Structured Finance Surveillance Methodology (4 February 2025), https://dbrs.morningstar.com/research/447080.
Other methodologies referenced in these transactions are listed at the end of this press release.
In Fastnet 17, the credit ratings on the Class D and Class E Notes materially deviate from the higher credit ratings implied by the predictive model. Morningstar DBRS typically expects there to be a substantial likelihood that a reasonable investor or other user of the credit ratings would consider a three-notch or more deviation from the credit rating stresses implied by the predictive model to be a significant factor in evaluating the credit ratings.
The credit rating on the Class D Notes addresses the ultimate payment of interest and principal on or before the final maturity date as defined in the transaction legal documents. The rationale for the material deviation is that Morningstar DBRS typically expects bonds rated in the AA (sf) category to be able to pay interest on a timely basis at the time they are the most senior bond outstanding. The credit rating on the Class E Notes considers the sensitivity of the credit rating to increased arrear rates and changes in default and loss severities.
Morningstar DBRS 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 actions.
For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Credit Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/436000.
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.
Morningstar DBRS did not rely upon third-party due diligence in order to conduct its analysis.
At the time of the initial credit ratings Morningstar DBRS was supplied with third-party assessments. However, this did not affect the credit rating analysis.
Morningstar DBRS considers the data and information available to it for the purposes of providing these credit ratings to be of satisfactory quality.
Morningstar DBRS 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 16 took place on 10 July 2024, when Morningstar DBRS confirmed its credit ratings on the Class A2, Class A3, Class B, Class C and Class D Notes at AAA (sf), AAA (sf), AA (high) (sf), A (high) (sf), and BBB (high) (sf), respectively, and downgraded its credit rating on the Class E Notes to BB (sf) from BB (high) (sf).
The last credit rating action on Fastnet 17 took place on 10 July 2024, when Morningstar DBRS 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), A (high) (sf), and BBB (high) (sf), respectively.
The last credit rating action on Fastnet 18 took place on 21 June 2024, when Morningstar DBRS confirmed its credit ratings on the Class A1, Class A2, Class A3, Class B, Class C and Class D Notes at AAA (sf), AAA (sf), AAA (sf), AA (sf), A (high) (sf), and BBB (high) (sf), respectively, and downgraded its credit rating on the Class E Notes to BB (sf) from BB (high) (sf).
The last credit rating action on Fastnet 19 took place on 27 June 2024 when Morningstar DBRS assigned AAA (sf) credit ratings to the Class A1 and Class A2 Notes.
The lead analyst responsibilities for these transactions have been transferred to Stefano Pruni.
Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on https://dbrs.morningstar.com.
Sensitivity Analysis: To assess the impact of changing the transactions parameters on the credit ratings, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit ratings (the base case):
-- Morningstar DBRS 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.
-- The base case PD and LGD of the current pool of loans for Fastnet 16 are 1.6% and 10.1%, respectively.
-- The base case PD and LGD of the current pool of loans for Fastnet 17 are 5.7% and 10.6%, respectively.
-- The base case PD and LGD of the current pool of loans for Fastnet 18 are 1.5% and 10.0%, respectively.
-- The base case PD and LGD of the current pool of loans for Fastnet 19 are 1.2% and 10.3%, respectively.
Fastnet 16:
Class A2 and 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 (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 (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (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 (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 A (low) (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 BBB (high) (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 (high) (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 BB (sf)
-- 50% increase in LGD, expected credit rating of BB (sf)
-- 25% increase in PD, expected credit rating of BB (sf)
-- 50% increase in PD, expected credit rating of BB (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of BB (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BB (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BB (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BB (low) (sf)
Fastnet 17:
Class A1, Class A2 and 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 (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 (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)
Class C Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of A (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 (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 D 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 (high) (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 (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A (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 (high) (sf)
-- 25% increase in PD, expected credit rating of BBB (high) (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 (sf)
Fastnet 18:
Class A2 and 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 (sf)
-- 50% increase in LGD, expected credit rating of AA (sf)
-- 25% increase in PD, expected credit rating of AA (sf)
-- 50% increase in PD, expected credit rating of AA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (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 (high) (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 (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A (low) (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 (low) (sf)
-- 50% increase in LGD, expected credit rating below B (sf)
-- 25% increase in PD, expected credit rating below B (sf)
-- 50% increase in PD, expected credit rating below B (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating below B (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating below B (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating below B (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating below B (sf)
Fastnet 19:
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 AA (high) (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 AA (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 (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)
For further information on Morningstar DBRS 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 Morningstar DBRS 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: Stefano Pruni, Senior Analyst
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Date: 21 July 2021 (Fastnet 16), 14 July 2021 (Fastnet 17), 23 June 2022 (Fastnet 18), 27 June 2024 (Fastnet 19)
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Tel. +49 (69) 8088 3500
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The credit rating methodologies used in the analysis of these transactions can be found at: https://dbrs.morningstar.com/about/methodologies.
-- Master European Structured Finance Surveillance Methodology (4 February 2025),
https://dbrs.morningstar.com/research/447080.
-- European RMBS Insight Methodology (8 May 2025) and European RMBS Insight Model v10.1.0.1,
https://dbrs.morningstar.com/research/453613.
-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024),
https://dbrs.morningstar.com/research/443196.
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (16 May 2025),
https://dbrs.morningstar.com/research/454196.
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024),
https://dbrs.morningstar.com/research/439571.
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024),
https://dbrs.morningstar.com/research/439913.
A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/439604.
For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.
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