Fitch Assigns Fastnet Securities 11 Designated Activity Company Final Ratings

EUR1,009,000,000 Class A1: 'AAAsf', Outlook Stable
EUR403,600,000 Class A2: 'AA+sf', Outlook Stable
EUR302,700,000 Class A3: 'AA+sf', Outlook Stable
EUR302,800,000 Class Z: not rated

KEY RATING DRIVERS
Macroeconomic Position in Ireland
Ireland's economy is growing faster than its European peers. Fitch expects the economy to expand by 4% in 2016, resulting in a stronger domestic labour market. Improved affordability will help reduce both arrears and default rates amongst Irish mortgage pools, and contribute to a recovery in asset prices.

Peak Year Origination
The pool has a high percentage (46.8%) of peak year lending (2005-2007). Irish house prices fell by nearly 50% from September 2007 to March 2013, leaving many borrowers in negative equity. While recent house price increases have started to improve this position, 18.4% of borrowers in the portfolio have an indexed weighted average (WA) current loan to value greater than 100%. This is not unusual for Irish RMBS transactions rated by Fitch.

Restructured Loans
Fitch was provided with detailed information on restructured loans for the portfolio. 25.6% of the loans have undergone some form of loan restructure, with 10.4% occurring in the last two years. Fitch has applied an increase to the foreclosure frequency for restructured loans (between 10%-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's 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 taken to complete repossession activity.

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 action 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 A1 notes to 'AA-sf' from 'AAAsf', a downgrade of the class A2 notes to 'Asf' from 'AA+sf' and a downgrade of the class A3 notes to 'A-sf' from 'AA+sf'.

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

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
Fitch was provided with a loan-by-loan data template and most of the relevant fields were provided. PTSB was unable to provide sufficient data on valuations which had not been conducted as full valuations. Fitch assumed in its analysis that where an advance was made more than six months after the full valuation date then this was done with the benefit of a 'drive by' type valuation. A 3% haircut was applied to these valuations.

Fitch was also provided with static vintage default data for PTSB's residential mortgage book, and static three month-plus arrears data by vintage. Fitch considers the data available for the analysis to be of sufficient quality.

Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated no adverse findings material to the rating analysis.

Fitch completed a review of the origination policies and practices of PTSB as part of the rating process. This included a file review of a sample of the provisional mortgage portfolio. These cases were chosen based on specific borrower and loan characteristics and the loan records were checked against the documented procedures at the time the mortgage application was considered. Fitch is satisfied that the loans were underwritten as per PTSBs lending criteria.

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.

To analyse the credit enhancement levels, Fitch evaluated the collateral using its default model ResiEMEA. The agency assessed the transaction cash flows using default and loss severity assumptions under various structural stresses, including prepayment speeds and interest rate scenarios.

SOURCES OF INFORMATION
The information below was used in the analysis.
- Loan-by-loan data provided by PTSB as at 31 December 2015 and updated as at 18 March 2016
- Loan enforcement details provided by PTSB as at 29 February 2016
- Loan performance data provided by PTSB as at 31 December 2015

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

ResiEMEA:
https://www.fitchratings.com/rmbs/resiemea

EMEA Cash Flow Model
http://www.fitchratings.com/web_content/pages/sf/emea-cash-flow-model.htm

REPRESENTATIONS AND WARRANTIES
A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms to those typical for the asset class is available by accessing the appendix that accompanies the initial new issue report (see "Fastnet Securities 11 Designated Activity Company - Appendix", dated 24 March 2016 at www.fitchratings.com). In addition refer to the special report "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions" dated 12 June 2015 available on the Fitch website.