OREANDA-NEWS. Ratings has assigned Fastnet Securities 12 DAC's notes final ratings, as follows:

EUR448,000,000 Class A: 'AAAsf', Outlook Stable

EUR30,900,000 Class B: 'AAsf', Outlook Stable

EUR21,100,000 Class C: 'A+sf', Outlook Stable

EUR62,200,000 Class Z: Not rated

The transaction is a securitisation of owner-occupied mortgages originated in Ireland by Permanent TSB plc.

The rating is based on Fitch's assessment of the underlying collateral, available credit enhancement (CE), Permanent TSB plc's origination and underwriting procedures, and the transaction's financial and legal structure.

KEY RATING DRIVERS

Seasoned Owner-Occupied Loans

The pool consists of a well-seasoned (weighted average (WA) seasoning of 98 months) portfolio of owner-occupied loans. There are no investment loans, a small number of interest-only loans, and no borrower is currently more than one month in arrears. In Fitch's opinion, this portfolio represents a positive selection from Permanent TSB's overall mortgage book.

Peak-Year Origination

This pool has a high percentage (37.8%) of peak-year lending (2005-2007). Irish house prices fell nearly 50% between September 2007 and March 2013, leaving many borrowers in negative equity. While recent house price increases have started to improve this position, 8.6% of borrowers in this portfolio have an indexed WA current loan-to-value (WA CLTV) greater than 100%.

Restructured Loans

Fitch was provided with detailed information on restructured loans for the portfolio; 19.9% of the loans have undergone some form of loan restructure, with 18.9% having occurred more than two years ago. Fitch has applied an increase to the foreclosure frequency (FF) for restructured loans (between 10% and 70%), based on the type of restructure and the time since the restructure was completed.

Provisioning Mechanism

A default provisioning mechanism is in place, benefiting the transaction cash flows by recognising losses likely to be incurred in the future: (i) up to 50% of the principal balance of a loan when it reaches 180 days in arrears; (ii) 75% when 270 days in arrears; and (iii) 100% when 359 days in arrears. This is helpful for Irish RMBS, given the length of time required to complete repossession activity.

VARIATIONS FROM CRITERIA

Fitch applied two variations from its Criteria Addendum: Ireland - Residential Mortgage Assumptions in its analysis. These criteria variations were (i) a 3% haircut applied to valuations which were not full valuations and (ii) an increase in the applied quick sale adjustment to 41%. Further details of the variations are set out in the new issue report (see Fastnet Securities 12 DAC dated 12 October 2016 at www. fitchratings. com)

RATING SENSITIVITIES

Material increases in the frequency of defaults and loss severity on defaulted receivables producing losses greater than Fitch's base case expectations may result in negative rating actions on the notes. Fitch's analysis revealed that a 30% increase in the WA foreclosure frequency, along with a 30% decrease in the WA recovery rate, would imply a downgrade of the class A notes to 'AA-sf' from 'AAAsf'.

More detailed model implied ratings sensitivity can be found in the new issue report which is available at www. fitchratings. com

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.

DATA ADEQUACY

Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated errors or missing data related to the borrower income verification information. These findings were considered in this analysis by assuming that a number of borrowers equal to 5% of the asset pool did not have full income verification. Fitch applied an upward adjustment of 35% to the foreclosure frequency for these borrowers, in line with its criteria for non-verified income. This was applied through a lender adjustment, as set out more fully in the new issue report.

Fitch conducted a review of a small targeted sample of Permanent TSB plc's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio.

Overall and together with the assumptions referred to above, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

MODELS

The models below were used in the analysis. Click on the link for a description of the model.