Fitch Affirms Four Crusade ABS Series Transactions; Outlook Stable
A full list of rating actions follows at the end of this commentary.
KEY RATING DRIVERS
The affirmations reflect Fitch's view that the transactions have performed within expectations since closing and in line with its expectations of Australia's economic conditions. Total net losses have been below or in line with Fitch's base cases to date and excess spread has covered any losses incurred. Recovery rates have been between 41%-43%, which is in line with the base case of 45% at closing.
The ratings also reflect St. George Finance Limited and Westpac Banking Corporation's underwriting and servicing capabilities, collateral quality and the performance of the underlying loans.
Crusade ABS Series 2016-1 Trust is currently within a 12-month substitution period, which ends on the payment date in June 2017. All principal proceeds to date have been allocated or retained to purchase additional receivables. Crusade ABS Series 2012-1 Trust, Crusade ABS Series 2013-1 Trust and Crusade ABS Series 2015-1 Trust are currently amortising and the principal proceeds are allocated to noteholders on a pro-rata basis.
At 31 July 2016, 30+ days arrears were 4.8% for Crusade ABS Series 2012-1 Trust, 3.6% for Crusade ABS Series 2013-1 Trust and 2.2% for Crusade ABS Series 2015-1 Trust, which is above Fitch's Dinkum ABS index of 1.50% as at 30 June 2016.
The nominal amount of the loans in arrears for Crusade ABS Series 2012-1 Trust and Crusade ABS Series 2013-1 Trust have stabilised or decreased since the last rating action. Crusade ABS Series 2015-1 Trust ended its revolving period in May 2016 and Crusade ABS Series 2016-1 Trust is still revolving. The nominal amount of the loans in arrears in these two transactions may increase as a result of the end of the revolving periods, but is expected to be in line with Fitch's expectations at closing.
An unexpected increase in delinquencies, defaults and losses would be necessary before Fitch would consider negative rating action. An upgrade may be considered if net losses stabilise.
USE OF THIRD PARTY DUE DILIGENCE PERSUANT TO SEC RULE 17G-10
Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action
REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS
A description of each transaction's representations, warranties and enforcement mechanisms (RW&Es) disclosed in the offering documents that relate to the underlying asset pool is available by accessing the relevant appendix referenced under "Related Research" below. The appendices also contain a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report, Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions, dated 26 March 2015.
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. There were no findings that were material to this analysis.
Fitch conducted a review of a small targeted sample of St. George Finance Limited and Westpac Banking Corporation's origination files and found the information to be adequately consistent with the originator's policies and practices and other information provided to the agency about the asset portfolio.
Overall, 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.
Fitch has affirmed the following ratings:
Crusade ABS Series 2012-1 Trust:
AUD154.1m Class A at 'AAAsf'; Outlook Stable
AUD12.3m Class B at 'AAsf'; Outlook Stable
AUD7.4m Class C at 'Asf'; Outlook Stable
AUD4.9m Class D at 'BBBsf'; Outlook Stable
AUD4.5m Class E at 'BBsf'; Outlook Stable
Crusade ABS Series 2013-1 Trust:
AUD305.6m Class A notes at 'AAAsf'; Outlook Stable
AUD18.0m Class B notes at 'AAsf'; Outlook Stable
AUD13.5m Class C notes at 'Asf'; Outlook Stable
AUD10.8m Class D notes at 'BBBsf'; Outlook Stable
AUD6.3m Class E notes at 'BBsf'; Outlook Stable
Crusade ABS Series 2015-1 Trust:
AUD546.1m Class A notes at 'AAAsf'; Outlook Stable
AUD33.7m Class B notes at 'AAsf'; Outlook Stable
AUD24.4m Class C notes at 'Asf'; Outlook Stable
AUD21.5m Class D notes at 'BBBsf'; Outlook Stable
AUD13.5m Class E notes at 'BBsf'; Outlook Stable
Crusade ABS Series 2016-1 Trust:
AUD1,053.0m Class A notes at 'AAAsf'; Outlook Stable
AUD65.0m Class B notes at 'AAsf'; Outlook Stable
AUD52.0m Class C notes at 'Asf'; Outlook Stable
AUD36.4m Class D notes at 'BBBsf'; Outlook Stable
AUD26.0m Class E notes at 'BBsf'; Outlook Stable