11.09.2015, 14:14
Fitch Affirms GBS Receivables Repo Trust at 'AAAsf'/Stable
OREANDA-NEWS. Fitch Ratings has affirmed the rating of GBS Receivables Repo Trust's Class A notes at 'AAAsf' as shown below. The transaction is a securitisation of conforming residential full-documentation mortgages originated by Greater Building Society (GBS).
The rating actions are as listed below:
AUD375.0m Class A notes (ISIN AU3FN0020459) affirmed at 'AAAsf'; Outlook Stable.
KEY RATING DRIVERS
The affirmation reflects Fitch's view that available credit enhancement is sufficient to support the note's current rating, 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 our expectations. The transaction remains within its substitution period with principal collections being used to purchase additional receivables.
The transaction has recorded low levels of arrears and no defaults to date. At end-August 2015, 30+ days arrears made up 0.25% of the pool, below Fitch's Prime RMBS Dinkum Index of 1.17%. No defaults or losses have been experienced since issuance.
All loans in the underlying pools are covered by lenders' mortgage insurance (LMI), 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).
Fitch's calculated weighted average loan/value ratio (LVR) at 77.9%, reducing to 70.6% after indexation is applied. The collateral underlying both transactions is geographically concentrated in New South Wales and specifically the Hunter Valley, where GBS is headquartered.
GBS Repo Trust features a 10-year substitution period, ending in December 2023. Fitch is comfortable with the long revolving period due to the presence of various eligibility criteria and pool parameters, and the portfolio's performance to date.
RATING SENSITIVITIES
Fitch 'AAAsf' breakeven stressed default rate is 22.6%. The Class A notes can withstand an additional 20.4% in defaults at Fitch's 'AAAsf' loss severity.
The ratings are LMI dependent and are sensitive to a three notch downgrade to the LMI providers' ratings.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
DATA ADEQUACY
Fitch conducted a file review of 10 sample loan files focusing on the underwriting procedures conducted by GBS compared to GBS'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.
A comparison of the transaction's representations, warranties and enforcement mechanisms (RW&Es) to those of typical RW&Es for this asset class is available by accessing the reports and/or links under Related Research below.
The rating actions are as listed below:
AUD375.0m Class A notes (ISIN AU3FN0020459) affirmed at 'AAAsf'; Outlook Stable.
KEY RATING DRIVERS
The affirmation reflects Fitch's view that available credit enhancement is sufficient to support the note's current rating, 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 our expectations. The transaction remains within its substitution period with principal collections being used to purchase additional receivables.
The transaction has recorded low levels of arrears and no defaults to date. At end-August 2015, 30+ days arrears made up 0.25% of the pool, below Fitch's Prime RMBS Dinkum Index of 1.17%. No defaults or losses have been experienced since issuance.
All loans in the underlying pools are covered by lenders' mortgage insurance (LMI), 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).
Fitch's calculated weighted average loan/value ratio (LVR) at 77.9%, reducing to 70.6% after indexation is applied. The collateral underlying both transactions is geographically concentrated in New South Wales and specifically the Hunter Valley, where GBS is headquartered.
GBS Repo Trust features a 10-year substitution period, ending in December 2023. Fitch is comfortable with the long revolving period due to the presence of various eligibility criteria and pool parameters, and the portfolio's performance to date.
RATING SENSITIVITIES
Fitch 'AAAsf' breakeven stressed default rate is 22.6%. The Class A notes can withstand an additional 20.4% in defaults at Fitch's 'AAAsf' loss severity.
The ratings are LMI dependent and are sensitive to a three notch downgrade to the LMI providers' ratings.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
DATA ADEQUACY
Fitch conducted a file review of 10 sample loan files focusing on the underwriting procedures conducted by GBS compared to GBS'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.
A comparison of the transaction's representations, warranties and enforcement mechanisms (RW&Es) to those of typical RW&Es for this asset class is available by accessing the reports and/or links under Related Research below.
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