OREANDA-NEWS. Fitch Ratings has assigned expected ratings to Triton Trust No.7 Bond Series 2016-1's residential mortgage-backed floating-rate notes. The issuance consists of notes backed by a pool of first-ranking Australian residential full-documentation mortgage loans originated by Columbus Capital Pty Limited and Australia and New Zealand Banking Group Limited (ANZ, AA-/Stable/F1+) through the Origin Mortgage Management Services (Origin) platform. The ratings are as follows:

- AUD50.0m Class A1-a notes: 'AAA(EXP)sf'; Outlook Stable

- AUD205.0m Class A1-b notes: 'AAA(EXP)sf'; Outlook Stable

- AUD21.0m Class A2 notes: 'AAA(EXP)sf'; Outlook Stable

- AUD9.75m Class AB notes: 'AAA(EXP)sf'; Outlook Stable

- AUD9.15m Class B notes: 'NR(EXP)sf'

- AUD3.0m Class C notes: 'NR(EXP)sf'

- AUD1.5m Class D notes: 'NR(EXP)sf'

- AUD0.6m Class E notes: 'NR(EXP)sf'

The notes will be issued by Perpetual Corporate Trust Limited in its capacity as trustee of Triton Trust No.7 Bond Series 2016-1.

KEY RATING DRIVERS

Sufficient Credit Support: The class A1 notes have credit enhancement of 15.0%, provided by the class A2, AB, B, C, D and E notes. The class A1 and A2 notes are independent of any credit provided by lenders' mortgage insurance (LMI). The class A2 notes have 8.0% credit enhancement. The rating of the class AB notes is reliant upon the credit support of 4.75% provided by both the subordinated classes and LMI.

ANZ Credit Policies: The ANZ-originated Origin loans were underwritten using ANZ credit policies and procedures. ANZ's mortgage performance is in line with the other major lenders of prime residential mortgages in the Australian market, with relatively low arrears and default rates. The Columbus-originated Origin loans are approved in accordance with the Columbus/Origin credit policy.

Key Pool Characteristics: The pool consists entirely of full-documentation loans with a weighted-average (WA) seasoning of 70 months. The pool's weighted-average current loan-to-value ratio (CLVR) is 63.9% (indexed CLVR of 57.4%). Interest-only loans make up 37.3% of the pool while loans with LVR of more than 80% comprise 17.7% of the portfolio. LMI is present on 84.5% of the pool provided by QBE Lenders' Mortgage Insurance Limited (45.3%, Insurer Financial Strength Rating: AA-/Stable) and by Genworth Financial Mortgage Insurance Pty Ltd (39.2%, Insurer Financial Strength Rating: A+/Stable). The average obligor current loan size is AUD230,491.

EXPECTED RATING SENSITIVITIES

Unexpected decreases in residential property value, increases in the frequency of foreclosures, and loss severity on defaulted mortgages could produce loss levels higher than Fitch's base case, which could result in negative rating actions on the notes.

Fitch evaluated the sensitivity of the ratings assigned to Triton Trust No.7 Bond Series 2016-1 to increased defaults and decreased recovery rates over the life of the transaction.

Its analysis found that the notes' ratings were not impacted under Fitch's moderate (15% increase) and severe (30% increase) default scenarios, as well as the moderate recovery scenario (15% decrease). The class AB note rating deteriorated to 'AA+sf' under Fitch's severe (30% decrease) recovery scenario.

Under Fitch's severe combination stress of 30% increase in defaults and 30% decrease in recoveries, only the class AB notes were impacted, with the rating declining to 'AA-sf'.

The transaction structure supports an LMI independent rating for the Class A1-a, Class A1-b, and Class A2 notes. The Class AB notes are sensitive to a four-notch downgrade of the LMI providers.

DUE DILIGENCE USAGE

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

DATA ADEQUACY

Fitch conducted a file review of 15 sample loan files focusing on the underwriting procedures conducted by Columbus compared to their 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.

Key Rating Drivers and Expected Rating Sensitivities are further discussed in the corresponding presale report entitled "Triton Trust No.7 Bond Series 2016-1", published today. Included as an appendix to the report are a description of the representations, warranties, and enforcement mechanisms.