Fitch Affirms 1 Maxis and 10 SMHL RMBS Transactions at 'AAAsf'/Stable
KEY RATING DRIVERS
The affirmations reflect Fitch's view that available credit enhancement is sufficient to support the notes' current ratings and the agency's expectations of Australia's economic conditions. The credit quality and performance of the loans in the collateral pools have remained in line with Fitch's expectations.
As at their August 2016 reports, Maxis Loans Securitisation Fund 2009-1 had the highest level of 30+ day arrears at 9.0%, driven by a low outstanding balance as arrears balance in dollar value has remained stable for the past three years. SMHL Series 2008-1 Fund had the lowest level of 30+ day arrears at 1.2%, compared to Fitch's 2Q16 Dinkum RMBS Index of 1.14%.
Performance of all SMHL and Maxis transactions has been within Fitch's expectations, with minimal levels of defaults and losses. All transactions are covered by mortgage insurance, with policies provided by Genworth Financial Mortgage Insurance Pty Ltd (Insurer Financial Strength Rating: A+/Stable), HLIC and QBE Lenders' Mortgage Insurance Limited (Insurer Financial Strength Rating: AA-/Stable). To date, all losses not paid by the lenders' mortgage insurance have been covered by excess spread.
In accordance with Fitch's criteria, the default model was only run for SMHL Series 2008-1 Fund, which has a 10-year revolving period that ends in February 2019.
The default model was not re-run for the remaining 10 transactions as the outstanding ratings are only 'AAAsf'; the transactions do not have revolving periods; and a review of pre-determined performance triggers indicates that the transactions display stable asset performance.
Sequential pay-down has increased credit enhancement for the senior notes of each transaction, with the 'AAAsf' rated notes able to withstand many multiples of the latest reported arrears.
The ratings are not expected to be affected by any foreseeable change in performance. The Class AB notes of SMHL Securitisation Fund 2012-2 and Class A notes of SMHL Series 2008-1 Fund are LMI dependent and therefore are sensitive to downgrades to the LMI providers' ratings. The remaining ratings are independent of downgrades to the LMI providers' ratings
USE OF THIRD PARTY DUE DILIGENCE PURSUANT 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 has not reviewed the results of any third party assessment of the asset portfolio as part of its ongoing monitoring.
As part of its on-going monitoring, Fitch conducted a file review of a small targeted sample of ME Bank's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the 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.
SMHL Series 2008-1 Fund has a 10-year revolving period of which 2.5 years remain. Fitch is of the view that the risks associated with the long revolving period are commensurate with the rating because the portfolio stratifications have not changed significantly since closing, ME Bank's product mix has not materially changed over this time, and the portfolio is performing as expected.
SOURCES OF INFORMATION
The information below was used in the analysis:
- Loan-by-loan data provided by ME Bank as at 27 July 2016 for SMHL Series 2008-1 Fund.
- Transaction reporting data provided by ME Bank up to 26 August 2016.
The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is public.
The full list of rating actions is shown below:
Maxis Securitisation Fund 2009-1:
AUD13.0m Class A1 (ISIN AU3FN0009114) affirmed at 'AAAsf'; Outlook Stable.
SMHL Securitisation Fund 2009-3:
AUD52.2m Class A1 (ISIN AU3FN0009544) affirmed at 'AAAsf'; Outlook Stable; and
AUD16.5m Class AB (ISIN AU3FN0009551) affirmed at 'AAAsf'; Outlook Stable.
SMHL Securitisation Fund 2010-1:
AUD46.6m Class A bonds (ISIN AU3FN0010286) affirmed at 'AAAsf'; Outlook Stable; and
AUD17m Class AB bonds (ISIN AU3FN0010294) affirmed at 'AAAsf'; Outlook Stable.
SMHL Securitisation Fund 2010-2E:
AUD91.8m Class A3 (ISIN AU3FN0010963) affirmed at 'AAAsf'; Outlook Stable; and
AUD33.6m Class AB (ISIN AU3FN0010971) affirmed at 'AAAsf'; Outlook Stable.
SMHL Series Securitisation Fund 2010-3:
AUD114.0m Class A2 (ISIN AU3FN0011706) affirmed at 'AAAsf'; Outlook Stable; and
AUD11.7m Class AB (ISIN AU3FN0011714) affirmed at 'AAAsf'; Outlook Stable.
SMHL Securitisation Fund 2011-1:
AUD143.7m Class A (ISIN AU3FN0012720) affirmed at 'AAAsf'; Outlook Stable; and
AUD5.6m Class AB (ISIN AU3FN0012738) affirmed at 'AAAsf'; Outlook Stable.
SMHL Series Securitisation Fund 2011-2:
AUD104.1m Class A (ISIN AU3FN0014296) affirmed at 'AAAsf'; Outlook Stable; and
AUD9.4m Class AB (ISIN AU3FN0014304) affirmed at 'AAAsf'; Outlook Stable.
SMHL Securitisation Fund 2012-2:
AUD114.5m Class A1 (ISIN AU3FN0016598) affirmed at 'AAAsf'; Outlook Stable;
AUD80.0m Class A2 (ISIN AU3CB0199420) affirmed at 'AAAsf'; Outlook Stable; and
AUD23.8m Class AB (ISIN AU3FN0016606) affirmed at 'AAAsf'; Outlook Stable.
SMHL Series Securitisation Fund 2013-1:
AUD421.4m Class A notes (ISIN AU3FN0020665) affirmed at 'AAAsf'; Outlook Stable.
SMHL Series Securitisation Fund 2014-1:
AUD614.7m Class A notes (ISIN AU3FN0024055) affirmed at 'AAAsf'; Outlook Stable.
SMHL Series 2008-1 Fund
AUD2,331.2m Class A (ISIN AU3FN0007605) notes affirmed at 'AAAsf'; Outlook Stable.