Fitch Affirms 2 Non-Conforming RESIMAC Transactions
RESIMAC Bastille Trust - RESIMAC Series 2012-1NC (RESIMAC Series 2012-1NC):
AUD52.6m Class A1 notes affirmed at 'AAAsf'; Outlook Stable; and
AUD34.1m Class A2 notes affirmed at 'AAAsf'; Outlook Stable.
RESIMAC Bastille Trust - RESIMAC Series 2013-1NC (RESIMAC Series 2013-1NC):
AUD160.7m Class A1 notes affirmed at 'AAAsf'; Outlook Stable; and
AUD35.1m Class A2 notes affirmed at 'AAAsf'; Outlook Stable.
KEY RATING DRIVERS
The rating actions reflect Fitch's view that available credit enhancement supports the notes' current ratings, the agency's expectations of Australia's economic conditions, strong levels of excess spread, and performance of the underlying loans, which have remained in line with the agency's expectations. The ratings also reflect RESIMAC Limited's mortgage underwriting and servicing capabilities.
At 31 December 2014, both transactions had 30+ days arrears levels below Fitch's Dinkum Low-Doc RMBS Index of 4.8%. RESIMAC Bastille Trust 2012-1NC recorded arrears of 2.8%, while RESIMAC Bastille Trust 2013-1NC recorded 30+ days arrears at 2.9%.
Lenders' mortgage insurance (LMI) covers over 40% of both transactions, with policies provided by Genworth Financial Mortgage Insurance Pty Ltd (Insurer Financial Strength Rating: A+/Stable), and QBE Lenders' Mortgage Insurance Limited (Insurer Financial Strength Rating: AA-/Stable). RESIMAC Bastille Trust 2012-1NC has experienced low levels of losses, with no claims submitted to LMI, while RESIMAC Bastille Trust 2013-1NC has experienced no losses since closing. All losses have been covered by excess spread.
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 of both transactions' Class A notes are independent of downgrades to the LMI providers' ratings.
The 'AAAsf' modelled loss severities after LMI ranged between 44.2% and 46.3%, with the senior notes of each transaction able to withstand default rates of between 44.9% and 100%, with LMI, at the current modelled 'AAAsf' loss severities levels. This analysis excludes credit to excess spread, which has been strong and stable in each of the transactions. As a result, Fitch considers that the likelihood of any of the notes currently rated 'AAAsf' being downgraded is remote.
Fitch's initial key rating drivers and rating sensitivities are further discussed in the transactions' corresponding New Issue reports listed under "Related Research".
A comparison of the transactions' representations, warranties and enforcement mechanisms (RW&Es) to those of typical RW&Es for this asset class is also available by accessing the reports and/or links given under Related Research below.
Individual representations, warranties, and enforcement mechanisms reports are available for all structured finance transactions initially rated on or after 26 September 2011 at www.fitchratings.com.