Fitch Assigns Final Ratings to Series 2015-1 Harvey Trust
AUD690.0m Class A notes: 'AAAsf'; Outlook Stable;
AUD40.5m Class AB notes: not rated;
AUD15.0m Class B notes: not rated;
AUD3.4m Class C notes: not rated; and
AUD1.1m Class D notes: not rated.
The notes were issued by Perpetual Trustee Company Limited, in its capacity as trustee of Series 2015-1 Harvey Trust.
KEY RATING DRIVERS
Stable Asset Performance: Data provided to Fitch shows Harvey Trusts' arrears levels have tracked below Fitch's Dinkum Index for prime conforming RMBS.
100% Lenders' Mortgage Insurance: Lenders' Mortgage Insurance (LMI) cover is provided on all mortgages in this portfolio by QBE Lenders' Mortgage Insurance Limited (Insurer Financial Strength AA-/Stable) or Genworth Financial Mortgage Insurance Pty Limited (Insurer Financial Strength A+/Stable). The servicer is able to make a claim under the LMI policy to cover a loss.
Liquidity Support: All classes of notes will be paid interest using the invested balance. Liquidity is sought initially via excess income, followed by the excess revenue reserve, principal collections, and a liquidity facility. Liquidity will be available to all classes of notes; charge-off and/or arrears triggers will restrict all sources of liquidity to the Class A, AB, B and C notes only.
Excess Reserve: 70% of excess income, to the extent that it is available, will be allocated to an excess revenue reserve up to a maximum of AUD1.5m from closing. The reserve will provide the first source of available liquidity after excess income.
Unexpected decreases in the value of residential property or increases in the frequency of foreclosures and loss severity on defaulted mortgages could produce loss levels higher than Fitch's base case, possibly resulting in negative rating actions on the notes. Fitch has evaluated the sensitivity of the ratings assigned to Series 2015-1 Harvey Trust to increased defaults and reduced recovery rates over the life of the transaction.
Its analysis found that the Class A notes' ratings were not impacted under Fitch's moderate and severe default (15% and 30% increase) scenarios. The analysis of the recovery scenarios found that the Class A notes' ratings were not impacted under Fitch's moderate and severe recovery (15% and 30% decrease) scenarios. The Class A notes remained stable under a combination of increased defaults and reduced recovery rates. The Class A notes' ratings are also independent of LMI.
Key Rating Drivers and Rating Sensitivities are further discussed in the corresponding presale new issue report entitled "Series 2015-1 Harvey Trust", published today. Included as an appendix to the report are a description of the representations, warranties, and enforcement mechanisms.