Fitch Assigns Final Ratings to RESIMAC Triomphe Trust - RESIMAC Premier Series 2015-1
AUD450.0m Class A notes: 'AAAsf'; Outlook Stable;
AUD30.0m Class AB notes: 'AAAsf'; Outlook Stable;
AUD17.5m Class B1 notes: 'NRsf'; and
AUD2.5m Class B2 notes: 'NRsf'.
The notes are issued by Perpetual Trustee Company Limited in its capacity as trustee for RESIMAC Triomphe Trust in respect of Premier Series 2015-1.
KEY RATING DRIVERS
Sufficient Subordination: The Class A and AB notes benefit from credit enhancement (CE) of 10% and 4%, respectively, provided by the subordinate Class B1 and B2 notes; from the liquidity facility; and RESIMAC's servicing and underwriting capabilities.
Consistent Collateral Pool: The collateral backing the 2015-1 transaction is of similar credit quality to prior pools securitised under the RESIMAC Triomphe programme. The pool has 100% lenders' mortgage insurance (LMI) cover. The weighted-average (WA) seasoning of the portfolio is 44 months, with a WA indexed loan-to-value ratio (LVR) of 64.4% and WA unindexed LVR of 68.8%. The average current obligor size is AUD260,432; interest-only loans represent 44.0% of the pool by balance, and investment loans represent 40.4%.
Sequential/Pro Rata Paydown: Interest is paid sequentially (after expenses) towards the Class A, AB, and B1, followed by the Class B2 notes. The reimbursement of all losses is paid after the distribution of interest on the Class B2 notes. Principal will be allocated pro rata towards the Class A, AB, and B1 notes if the step-down requirements are met.
Sufficient Liquidity Support: Liquidity support will be provided via excess spread, principal draws and a liquidity facility sized at 1.0% of the notes balance, with a facility floor of AUD500,000. The liquidity facility will amortise, subject to the floor.
Stable Performance to Date: The arrears level of similar RESIMAC transactions have tracked below the Dinkum Index for prime RMBS since August 2010.
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 RESIMAC Triomphe Trust - RESIMAC Premier Series 2015-1 to increased defaults and decreased recovery rates over the life of the transaction. Its analysis found that the Class A notes' rating remained stable under Fitch's severe default (30% increase) and severe recovery (30% decrease) scenarios as well as combined medium default and recovery scenario. However, the Class A notes' rating was impacted under the combined severe scenario (30% decrease in recovery rates and 30% increase in defaults), with a one notch rating deterioration to 'AA+sf'.
The rating on the Class B notes was impacted in each of the medium scenarios (15% increased defaults, 15% decreased recovery rates), and the medium combined scenario, with rating deterioration to 'AA+sf'. Under the severe default and severe recovery scenarios, the rating on the Class B notes is 'AA+sf' and 'AA-sf', respectively. Under the combined severe scenario (30% decrease in recovery rates and 30% increase in loss severity), the rating is 'Asf'.
The transaction structure supports an LMI independent rating for the Class A1 notes; therefore LMI is not required to support the rating due to the level of credit support provided by the lower notes.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
Fitch conducted a file review of 10 sample loan files focusing on the underwriting procedures conducted by RESIMAC compared to RESIMAC's 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 Rating Sensitivities are further discussed in the corresponding New Issue report entitled "RESIMAC Triomphe Trust - RESIMAC Premier Series 2015-1", published today. Included as an appendix to the report are a description of the representations, warranties, and enforcement mechanisms.