Monthly Investor Report May Fastnet Securities 2 Plc

Transcription

1 Monthly Investor Report May 2015 Fastnet Securities 2 Plc Tranche Name Identifier Legal Maturity Date Original Tranche Balance Original Rating Current Rating (S&P/Moodys) (S&P/Moodys) Class A1 XS August ,000, AAA/Aaa Redeemed Class A2 XS August ,656,000, AAA/Aaa B/Ba1 Class B XS August ,000, AA/Aa3 B-/B3 Class C XS August ,000, A/A2 B-/Caa1 Class D XS August ,000, BBB/Baa2 B-/Ca Deal Information Report Outline Page Initial Issue Date: 29-Jun Note Summary 2 First Distribution Date: 10-Aug Current Payment Date Information 3 Report Date: 10-Jun-15 i. Available Revenue Funds Report Period: May-15 ii. Revenue Priority of Payments Report Frequency: Monthly iii. Available Principle Funds Payment Frequency: Monthly iv. Principle Priority of Payments v. Transaction Account Balance vi. Trust Account Balance Interest Period start date: 10-Apr-15 vii. Prepayments Ledger Interest Period end date: 11-May-15 viii. Further Advance Ledger Number of Days in interest period: 31 ix. New Loans Ledger x. Retained Amounts 3. Credit Enhancement 3 Determination Date: 07-May-15 i. Reserve Fund Current Payment Date: 11-May-15 ii. Reserve Fund Reduction Triggers Next Payment Date: 10-Jun-15 iii. Other Triggers Note 1M Euribor: % 4. Collateral Performance 4-8 i. Portfolio Characteristics ii. Arrears Profile iii. Moratorium Profile iv. Moratorium Length v. Repayment Type Change vi. Repossessions vii. Term Extensions viii. Capitalised Interest ix. Mortgage Portfolio Analysis Contact Information 5. Next Payment Date Information 9 i. Available Revenue Funds ii. Revenue Payments iii. Reserve Fund Contact: Christopher Delaney iv. Available Principle Funds v. Principle Payments vi. Amounts Credited to Ledgers Address: Permanent TSB vii. Pro Rata Test 56/59 St Stephens Green Dublin 2 Ireland 6. Deal Participant Information 10 Phone: (0) Fax: (0) Definitions 11 i. Constant Redemption Rate chris.delaney@permanenttsb.ie ii. Constant Default Rate Web: iii. Excess Spread iv. Mortgage Conversion v. Bank Accounts Page 1

2 1. Note Summary Tranche Name Identifier Legal Maturity Date Original Tranche Balance Opening Tranche Balance 01-May 15 Opening Pool Factor Principal Distribution 11-May 15 Cumulative Principal Distribution Closing Tranche Balance 31-May 15 Closing Pool Factor Principle Deficiency Ledger Opening Balance 01-May 15 Lossess Allocated Cumulative Losses Allocated Total Paid Cumulative Paid Closing Balance 31-May 15 Class A1 XS August ,000, ,000, Class A2 XS August ,656,000, ,811, ,231, ,420, ,579, Class B XS August ,000, ,131, ,868, ,131, Class C XS August ,000, ,795, ,204, ,795, Class D XS August ,000, ,467, ,532, ,467, , , ,150,000, ,207, ,231, ,171,024, ,975, , , Note: Principle Bond Repayments will be paid on a seniority basis effective 10th Mar 2010 Tranche Name Index Rate Identifier Index Rate Margin Coupon Interest Calculation Days Accrued Interest Accrued Interest Distributed 11- May 15 Unpaid Interest Cumulative Unpaid Interest Class A1 1M Euribor % % % Actual / Class A2 1M Euribor % % % Actual / , , Class B 1M Euribor % % % Actual / , , Class C 1M Euribor % % % Actual / , , Class D 1M Euribor % % % Actual / , , Note: Margins stepped up on the Bonds effective 11th June , , Page 2

3 2. Current Payment Date Information - 11th May 2015 (i) Available Revenue Funds (iii) Available Principal Funds (vii) Prepayments Ledger Revenue Funds 2,230, Principal Repayments 4,328, Prepayments received 2, ERC's 2, Principal Redemptions 872, Payments to Swap counterparty - 2, Release from Reserve Fund 517, Principal Amount of Loans Repurchased 1,051, Interest receivable on bank accounts Principal Amount of Loans Substituted 0.00 Prepayment ledger balance 0.00 PDL Credits 0.00 Total Revenue Funds 2,749, Stage Payments - 20, Note: Prepayments relate to additional payments received upon the prepayment / early redemption of fixed rate mortgages Total Principal Funds 6,231, (ii) Revenue Priority of Payments (iv) Principal Priority of Payments (viii) Further Advance Ledger Amounts due with respect to the Trustee 0.00 Amounts due with respect to Third Parties 0.00 Amounts due with respect to Paying Agent 0.00 A1 Note Redemption 0.00 Opening Balance 0.00 Amounts due with respect to Mortgage Manager 122, A2 Note Redemption 6,231, Amounts credited/debited 0.00 Amounts due with respect to Swaps 2,410, B Note Redemption 0.00 Closing Balance 0.00 A1 Note Interest 0.00 C Note Redemption 0.00 A2 Note Interest 165, D Note Redemption 0.00 B Note Interest 8, C Note Interest 12, Total Principal Distributed 6,231, D Note Interest 30, PDL 0.00 Amounts due with respect to Reserve Fund 0.00 (v) Transaction Account Balance - (ix) New Loans Ledger Amounts due with respect to Subordinated Loan Facility 0.00 Total Revenue Distributed 2,749, Opening Balance 6,442, Opening Balance 0.00 Cash In 12,239, Amounts credited/debited 0.00 Cash Out - 8,981, Closing Balance 0.00 Closing Balance 9,699, (vi) Trust Account Balance - (x) Retained Amounts - Opening Balance 2,861, Undrawn Amounts 6,282, Closing Balance 4,338, Credit Enhancement (i) Reserve Fund - (ii) Reserve Fund Reduction Triggers Condition Met Limit Initial Reserve Fund 32,250, Reserve Fund >= 1.50% of PAO Y 1.50% 6.94% % of Original Note Balance 1.50% Nil Balance on PDL Y Reserve Fund = Required Amount N 70,000, ,895, Reserve Fund Floor 70,000, Reserve Fund Required Amount 70,000, Beginning Reserve Amount 68,413, (iii) Other Triggers Additions to this period 0.00 Releases from this period 517, Condition Met Limit Reserve Fund Drawing this period 0.00 Pro Rata Test - Arrears > 90 days N 4.00% 11.78% Ending Reserve Amount 67,895, Substitution Test - Arrears > 90 days N 4.00% 11.78% % of Current Note Balance 6.94% *Due to February being a 28 day month, the revenue flows were insufficient. Note: As a result of the breeching of the Pro Rata Test the Loan Notes will now be paid on a seniority basis effective 10th March 2010 Note: As a result of the breeching 4% Arrears >90days, Converted Mortgages are no longer allowed and will be substituted out of the pool Page 3

4 4. Collateral Performance (i) Portfolio Characteristics Last Period Issue Date Collateral Reporting Period Start Date: 01 April May June 2006 Collateral Reporting Period End Date: 30 April May 2015 n/a Pool Balance (inc. prefunding): 978,975, ,366, ,150,079, Number of Loans: 9,188 9,127 14,237 Last Period Since Issuance Number of Loans Balance Number of Loans Balance Number of Loans Balance Opening Balance 9, ,207, , ,975, ,237 2,150,079, Repayments - 4,328, ,081, ,120,914, Redemptions , ,957, , ,412, ** Loans Repurchased 5-1,051, ,569, , ,272, Loans Substituted , ,188, Stage Payments 1 20, ,698, Closing Balance 9, ,975, , ,366, , ,366, ** - Redemptions information is only available from September Since we have not been reporting in this format since the start of the pool, we have no reasonable method of splitting redemptions and repayments since issuance before August Note: Closing no of loans is calculated as; Opening balance - Redemptions - Loans repurchased + Loans substituted Note: In the 8 Converted Loans with a balance of 1m was repurchased Last Period At Issuance Constant Redemption Rate (CRR %) 1.06% 2.40% * Period Redemption Rate (%) 0.09% 0.20% * Constant Default Rate (CDR %) 0.11% 0.00% Period Default Rate (%) 0.01% 0.00% Excess Spread (%) 0.00% 0.00% Excess Spread (Amount) Annualised Excess Spread (%) 0.00% 0.00% Borrower's Weighted Average LTV (%) 59.07% 58.79% 72.12% % Fixed Rate 4.10% 4.05% 51.58% Weighted Average Current Seasoning (mths) Weighted Average Remaining Term to Maturity (mths) Weighted Average Reversion Movement (%) 0.18% 0.18% ** Minimum Interest Rate (%) 0.00% 0.00% 2.02% Maximum Interest Rate (%) 9.10% 9.10% 7.20% Weighted Average Mortgage Interest Rate (%) (a) % % % Euribor (b) % % % Servicing & Cash Management Fee (c) % % % WA Note Margin (d) % % % Reserve Fund Release (e) % % n/a PDL (f) % % n/a WA Net Margin (a-b-c-d+e-f) % % % * Redemptions information is only available from September 2009 from the system. Therefore, these cannot be calcualted accurately. ** This is left blank as the system does not produce an accurate reversion rate 'since issuance', as it was not designed to report the same at the inception of the deal. Page 4

5 4. Collateral Performance (continued) (ii) Arrears Profile No. of Loans B/F Balance B/F % of Balance B/F No. of Loans IN Balance IN No. of Loans OUT Balance OUT No. of Redemptions Balance of Redemptions No. of Loans C/F Balance C/F % of Balance C/F Current 8, ,393, % 50 4,539, ,311, ,686, , ,925, % Days ,624, % 48 4,786, ,985, ,381, % Days 62 5,910, % 23 1,985, ,183, ,680, % Days 40 4,274, % 11 1,339, ,911, ,691, % Days 32 3,206, % 25 3,018, ,451, ,767, % Days 32 3,743, % 13 1,232, ,232, , ,595, % Days ,553, % 14 1,762, , , ,337, % 360+ Days ,916, % 17 1,666, ,522, , ,621, % In Repossession 22 3,352, % ,365, % Total 9, ,975, % ,330, ,330, ,957, , ,366, % (iii) Moratorium Profile (iv) Moratorium Length (v) Repayment Type Change Last Period No. of Loans Balance % of Balance No. of Loans Balance % of Balance No. of Loans Balance % of Balance No. of Loans Balance % of Balance Current 51 6,070, % 46 4,498, % 1 to 3 months 36 4,084, % P&I to IO % Days , % 12 1,399, % 4 to 6 months ,626, % IO to P&I % Days , % , % 7 to 9 months % Total % Days 9 1,598, % 8 1,174, % 10 to 12 months 8 692, % ***Note: The above table relates to product type changes in the period Days 15 1,553, % 13 1,451, % 13 to 18 months 1 96, % Days 3 232, % 5 569, % 19 to 24 months 2 296, % Days 35 4,207, % 40 5,121, % Over 24 months 6 718, % 360+ Days ,218, % ,721, % Total ,514, % In Repossession % % ***Note: Moratoriums include Capital Payment Hols Total ,736, % ,514, % ***Note: Length relates to moratorium term provided and not remaining moratorium term ***Note: Days relate to Arrears status not length of moratorium ***Note: Moratoriums include Capital Payment Hols (vi) Repossessed Properties (vii) Term Extensions Last Period Since Issuance Last Period No. of Loans Balance % of Balance No. of Loans Balance % of Balance Brought Forward Months 33 4,825, % 31 4,247, % Repossessed Months 15 1,375, % 14 1,337, % Sold Months 8 1,008, % 8 943, % Linked to repurchased loans Months , % 10 1,188, % Carried Forward Months 5 807, % 7 835, % 6-12 Months 30 2,244, % 29 2,224, % 1-2 Years 43 2,833, % 44 2,710, % Balance of Sold Repossessions , Years 46 3,435, % 47 3,609, % Total Principal Lossess , Years 47 3,260, % 47 3,287, % WA Loss Severity 0.00% 0.00% 65.96% 4-5 Years 72 6,883, % 74 7,058, % Over 5 Years ,050, % ,918, % Principal Recoveries ,321, Total ,619, % ,362, % Total Net Lossess as % of Original Pool Balance 0.00% 0.00% 0.01% (viii) Capitalised Interest Last Period To Date No of Loans Loan Balance Interest Capitalised No of Loans Loan Balance Interest Capitalised No of Loans Interest Capitalised Total 19 3,120, , ,420, , , , ***Note: Capitalised Interest information is only available from August 2011 Page 5

6 4. Collateral Performance (continued) (ix) Mortgage Portfolio Analysis At Issuance No. of Loans % of Number Balance % of Balance No. of Loans % of Number Balance % of Balance Regional Distributions Dublin 2, % 298,405, % 3, % 707,995, % Rest of Leinster 3, % 345,245, % 5, % 761,075, % Munster 1, % 187,916, % 3, % 425,070, % Connaught % 77,912, % 1, % 152,611, % Ulster % 57,887, % % 103,327, % Property Type Apartment % 86,843, % % 184,571, % Bungalow % 74,917, % 1, % 161,486, % Detached House 2, % 253,196, % 3, % 542,044, % Semi-Detached 3, % 370,120, % 5, % 854,187, % Terraced 1, % 181,342, % 2, % 406,465, % Other % 947, % % 1,325, % Repayment Type Principal & Interest 8, % 938,662, % 13, % 2,108,724, % Interest Only - Non Endowment % 19,305, % % 24,209, % Interest Only - Endowment % 9,399, % % 17,145, % Loan Purpose Purchase 7, % 827,358, % 11, % 1,803,884, % Refinance 1, % 140,008, % 2, % 346,195, % Occupancy Status Home Loan 9, % 967,366, % 14, % 2,150,079, % Residential Investment Property % % % % Page 6

7 4. Collateral Performance (continued) (ix) Mortgage Portfolio Analysis (continued) Current LTV Ratio At Issuance No. of Loans % of Number Balance % of Balance No. of Loans % of Number Balance % of Balance Up to 10% % 9,379, % % 3,873, % Over 10% - 20% % 38,246, % % 30,979, % Over 20% - 30% 1, % 72,985, % 1, % 75,617, % Over 30% - 40% 1, % 87,101, % 1, % 122,364, % Over 40% - 50% % 108,757, % 1, % 168,647, % Over 50% - 60% 1, % 139,295, % 1, % 187,587, % Over 60% - 70% 1, % 188,296, % 1, % 218,008, % Over 70% - 80% 1, % 212,087, % 1, % 271,312, % Over 80% - 90% % 71,571, % 2, % 552,417, % Over 90% - 95% % 11,409, % 1, % 378,949, % Over 95% % 28,235, % % 140,321, % Loan Seasoning in Months % % 6, % 1,155,860, % % % 2, % 488,369, % % % % 427, % % % % 630, % % % % 3,627, % % % % 39,832, % % % 1, % 151,925, % % % 1, % 130,205, % 55+ 9, % 967,366, % 2, % 179,201, % Mortgage Size at Origination , % 9,246, % % 25,325, % 50, , , % 85,101, % 2, % 193,665, % 100, , , % 424,457, % 6, % 947,570, % 200, , , % 316,208, % 2, % 698,853, % 300, , % 89,258, % % 196,172, % 400, , % 25,457, % % 56,016, % 500, , % 8,328, % % 17,260, % 600, , % 4,487, % % 10,721, % 700, , % 3,368, % % 3,607, % 800, , % 1,450, % % 886, % 900, % % % % Page 7

8 4. Collateral Performance (continued) (ix) Mortgage Portfolio Analysis (continued) Borrower Status At Issuance No. of Loans % of Number Balance % of Balance No. of Loans % of Number Balance % of Balance Self - Employed 1, % 152,829, % 2, % 312,382, % PAYE / Director 7, % 814,027, % 11, % 1,820,357, % Not Employed % 510, % % 17,339, % Primary Borrower Profile at Origination Self - Certification % 714, % % 223, % CCJ's / Previous Bankruptcy % 267, % % 59, % Current Rate Type Original Rate Type Interest Payment Type No. of Loans % of Number Balance % of Balance WA Interest Rate No. of Loans % of Number Balance % of Balance WA Interest Rate Fixed % 39,188, % 5.41% 6, % 1,108,946, % 3.25% ECB Tracker 4, % 532,777, % 1.27% % 250,277, % 3.62% Variable 4, % 395,400, % 4.49% 6, % 790,855, % 3.72% Page 8

9 5. Next Payment Date Information - 10th June 2015 (i) Available Revenue Funds (iv) Available Principal Funds Revenue Funds 2,257, Principal Repayments 4,081, ERC's 0.00 Principal Redemptions 1,808, Release from Reserve Fund 743, Principal Amount of Loans Repurchased 5,569, Interest receivable on bank accounts 0.00 Principal Amount of Loans Substituted 0.00 PDL Credits 149, Total Revenue Funds 3,001, Stage Payments 0.00 (ii) Revenue Payments Total Principal Funds 11,608, (v) Principal Payment Amounts due with respect to the Trustee 0.00 Amounts due with respect to Third Parties 11, Class Opening Balance Available Funds Principal Payment Closing Balance Pool Factor PDL Balance PDL Test Amounts due with respect to Paying Agent 0.00 Amounts due with respect to Mortgage Manager 120, A1 Note Passed Amounts due with respect to Swaps 2,528, A2 Note 870,579, ,608, ,608, ,971, Passed A1 Note Interest 0.00 B Note 36,131, ,131, Passed A2 Note Interest 143, C Note 31,795, ,795, Passed B Note Interest 7, D Note 40,467, ,467, Passed C Note Interest 11, D Note Interest 28, Total 978,975, ,608, ,608, ,366, Passed PDL 149, Amounts due with respect to Reserve Fund 0.00 Amounts due with respect to Subordinated Loan Facility 0.01 (vi) Amounts Credited to Ledgers (vii) Pro Rata Test Total Revenue Distributed 3,001, New Loans Ledger 0.00 Arrears >90 days less than 4% N (iii) Reserve Fund Liquidity Reserve Ledger 0.00 Nil Balance on PDL Y Reserve Ledger 0.00 Reserve Fund = Required Amount N Reserve Fund Required Amount 70,000, Reserve Fund Current Amount 67,152, Total 0.00 Pro Rata Test Passed / Failed Failed Page 9

10 6. Deal Participant Information Administrator Permanent tsb plc Primary Servicer Permanent tsb plc Address: 56/59 St. Stephens Green Address: 56/59 St. Stephens Green Dublin 2 Dublin 2 Ireland Ireland Rating: (S&P/Moodys) B+/Ba2 Rating: (S&P/Moodys) B+/Ba2 Web: Web: Trustee Citicorp Trustee Company Limited Paying Agent Citibank, N.A. Address: Citigroup Centre Address: 21st Floor, Citigroup Centre Canada Square Canada Square Canary Wharf Canary Wharf London E14 5LB London E14 5LB United Kingdom United Kingdom Rating: (S&P) A Rating: (S&P) A Web: Web: Joint Lead Manager Deutsche Bank A.G., London Branch Corporate Services Provider Wilmington Trust SP Services (Dublin) Limited Address: Winchester House Address: 7 Exchange Place 1 Great Winchester Street International Financial Services Centre London EC2N 2DB Dublin 1 United Kingdom Ireland Rating: (S&P/Moodys) A+/A2 Rating: (S&P/Moodys) A-/A3 Web: Web: Bankers Permanent tsb plc Joint Lead Manager Citigroup Global Markets Limited Address: 56/59 St. Stephens Green Address: Citigroup Centre Dublin 2 Canada Square Ireland Canary Wharf London E14 5LB Rating: (S&P/Moodys) B+/Ba2 United Kingdom Web: Rating: (S&P) A Web: Joint Lead Manager Address: Rating: (S&P/Moodys) Web: Societe Generale Corpoarate & Investment Banking SG House 41 Tower Hill London EC3N 4SG United Kingdom A/A2 Page 10

11 7. Definitions (i) Constant Redemption Rate The percentage of outstanding mortgage loan principal that redeems in one year, based on the annualisation of the Period Redemption Rate, which reflects the outstanding mortgage loan principal that redeems in one month. CRR = 1 - [(Closing Pool Balance -Stage Payments) / (Closing Pool Balance - Stage Payments + Redemptions)]^n* PRR = 1 - [(Closing Pool Balance - Stage Payments) / (Closing Pool Balance - Stage Payments + Redemptions)] (ii) Constant Default Rate The percentage of outstanding mortgage loan principal that defaults in one year. CDR = 1 - [(1 - Repossessions In) / (Opening Pool Balance - Balance in Repossessions)]^n* PDR = 1 - [(1 - Repossessions In) / (Opening Pool Balance - Balance in Repossessions)] (iii) Excess Spread Total interest revenue remaining after the distribution of priority payments up to and including payment of the lowest rated note class principal defiency ledger amounts. Excess Spread Amount = Available Revenue Funds - Revenue Distributed Excess Spread (%) = Available Revenue Funds - Revenue Distributed / Closing Pool Balance Annualised Excess Spread (%) = (Available Revenue Funds - Revenue Distributed / Closing Pool Balance)^n* * 'n' represents number of reporting periods in a year i.e. 12 for monthly reporting and 4 for quarterly reporting (iv) Mortgage Conversion The Mortgage Manager on behalf of the Issuer may agree, subject to the conditions set out in the prospectus, to a request by a Borrower to convert his Mortgage (or, in the case of a default by a Borrower, may itself elect to convert such Borrower's Mortgage) (subject to satisfaction of the conditions outlined in the prospectus) into a Mortgage with a different type of interest rate term or repayment term (a Converted Mortgage ). A Converted Mortgage may comprise (following the conversion): (a) (b) (c) (d) (e) a Fixed Rate Mortgage; a Variable Rate Mortgage; a Tracker Mortgage; an Interest Only Mortgage; or if any type of Mortgage offered by Irish Life & Permanent other than a Mortgage which is subject to a rate of interest set by reference or a flexible repayment or current account mortgage provided, in any case the rating agencies have been notified of such action. (v) Bank Accounts The Bank Accounts represent the Trust Accounts, the Transaction Account and the Reserve Account. The Issuer s Accounts represent the Transaction Account and the Reserve Account. Each Bank Account shall at all times be maintained with an Authorised Institution any of whose short term unsecured, unguaranteed and unsubordinated debt obligations or debt has a rating of at least A1 from Standard & Poors and P-1 from Moody s or whose obligations in respect of the Transaction Account are guaranteed by an entity whose debt is so rated and the Trust Accounts shall at all times be maintained with an Page 11