Fitch Affirms La Trobe Financial Capital Markets Trust 2015-1 at 'AAAsf'; Outlook Stable
OREANDA-NEWS. Fitch Ratings has affirmed the rating on La Trobe Financial Capital Markets Trust 2015-1's floating-rate Class A notes. The issuance consists of notes backed by Australian non-conforming residential mortgages originated by La Trobe Financial Services Pty Limited. The notes are issued by Perpetual Corporate Trust Limited in its capacity as trustee of La Trobe Financial Capital Markets Trust 2015-1. The rating action is as follows:
AUD103.9m Class A1 notes affirmed at 'AAAsf'; Outlook Stable; and
AUD28.4m Class A2 notes affirmed at 'AAAsf'; Outlook Stable
KEY RATING DRIVERS
The affirmation reflects Fitch's view that the available credit enhancement is sufficient to support the notes' current ratings and can withstand deterioration from Australia's current economic conditions in-line with the agency's expectations. The credit-quality and performance of the loans in the collateral pools also remain within expectations.
At 31 March 2016, the transaction's 30+ days arrears level, at 4.01%, tracked below Fitch's 4Q15 Non-Conforming RMBS Index of 5.69%. There have been no losses for the transaction since issuance.
The sequential pay-down has resulted in increased credit enhancement levels for the senior notes, with the 'AAAsf'-rated notes able to withstand multiples of the latest reported arrears. The ratings are not expected to be affected by modest changes in performance.
Fitch's 'AAAsf'-breakeven default rate is 33.46%. The class A1 notes can withstand an additional 46.57% in defaults at Fitch's 'AAAsf' loss severity. The class A2 notes can withstand an additional 14.67% in defaults at Fitch's 'AAAsf' loss severity.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
Fitch conducted a file review of 10 sample loan files focusing on the underwriting procedures conducted by La Trobe Financial Services Pty Limited compared to its credit policy at the time of underwriting. Fitch has checked the consistency and plausibility of the information and no material discrepancies were noted that would impact Fitch's rating analysis.
A comparison of the transaction's representations, warranties and enforcement mechanisms (RW&Es) to those of typical RW&Es for this asset class is available by accessing the reports under Related Research below.