Fitch Ratings has affirmed the ratings of 18 tranches from five Triton Trust RMBS transactions. These transactions are backed by pools of Australian residential mortgages. The notes have been issued by Perpetual Corporate Trust Limited, in its capacity as trustee. The rating actions are listed at the end of this commentary.

KEY RATING DRIVERS

The affirmations reflect Fitch's view that the available credit enhancement is sufficient to support the notes' current ratings and the agency's expectations of Australia's economic conditions. Credit quality and performance of the underlying loans remain within Fitch's expectations.

As per the APAC Residential Mortgage criteria, the default model was not run for the two transactions, Triton Trust No. 2 Bond Series 2013-1 (Triton 2013-1) and Triton Trust No. 2 Bond Series 2014-1 (Triton 2014-1), as a review of pre-determined performance triggers indicates the transactions display stable asset performance. The default model was run for Triton Trust No.2 Bond Series 2014-P (Triton 2014-P), Triton Trust No.7 Bond Series 2015-1 (Triton 2015-1) and Triton Trust No.7 CS Warehouse Series No 1 (Triton CS).

At 30 April 2016, Triton 2014-P had the highest level of arrears at 8.0%, above Fitch's 4Q15 Dinkum RMBS Index of 0.95%. Low-documentation loans made up 24.0% of the pool, which had an average loan to value ratio (LVR) of 68% and an indexed LVR of 54.2%. Interest-only loans accounted for 26.5% of the pool by balance and investment loans made up 52.3%.

Lender's mortgage insurance (LMI) covered 21.9% of the Triton 2014-P pool and was 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).

At the end of April 2016, Triton 2013-1, Triton 2014-1 and Triton 2015-1 had arrears levels below Fitch's 4Q15 Dinkum RMBS Index of 0.95%, while Triton CS had 30+ days arrears of 1.9%. All loans in the underlying portfolios have LMI provided by Genworth Financial Mortgage Insurance Pty Ltd and QBE Lenders' Mortgage Insurance Limited.

The transactions have performed within Fitch's expectations, with minimal levels of losses. Since closing, only Triton 2013-1 and Triton 2014-P have experienced losses, resulting in zero losses across the outstanding Fitch-rated notes. LMI covered 89% of the losses, with all losses not paid by LMI covered by excess spread.

The ratings of the Triton 2014-P notes have not been upgraded, despite increased credit enhancement, as the transaction is currently constrained by concentration, based on the pool composition.

RATING SENSITIVITIES

The ratings are not expected to be affected by any foreseeable change in performance. The pro-rata amortisation will switch to sequential when the call-option triggers are met, mitigating tail-risk.

All the notes of Triton Trust No.7 CS Warehouse Series No 1 are LMI dependent; therefore LMI is a key driver supporting the 'AAAsf' rating. The class A notes' ratings of the remaining transactions are independent of downgrades to the LMI provider's ratings.

There are currently no charge offs on any notes. The prospect for downgrades is considered remote at present, given the level of subordination available to all rated notes, the performance of the pools as well as adequate excess spread. Fitch's analysis excludes credit to excess spread.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY

Fitch conducted a review of 10 sample loan files focusing on the underwriting procedures conducted by Columbus Capital Pty Limited compared to its credit policy at the time of underwriting. Fitch checked the consistency and plausibility of the information and no material discrepancies were noted that would impact Fitch's rating analysis.

The full list of rating actions is as follows:

Triton Trust No.2 Bond Series 2013-1:

-AUD166.6m Class A notes affirmed at 'AAAsf'; Outlook Stable

-AUD26.2m Class AB notes affirmed at 'AAAsf'; Outlook Stable

Triton Trust No.2 Bond Series 2014-P:

-AUD58.0m Class A1 notes affirmed at 'AAAsf'; Outlook Stable

-AUD13.1m Class A2 notes affirmed at 'AAAsf'; Outlook Stable

-AUD3.9m Class B notes affirmed at 'AAsf'; Outlook Stable

-AUD3.0m Class C notes affirmed at 'Asf'; Outlook Stable

-AUD3.7m Class D notes affirmed at 'BBBsf'; Outlook Stable

-AUD3.7m Class E notes affirmed at 'BBsf'; Outlook Stable

-AUD0.7m Class F notes affirmed at 'Bsf'; Outlook Stable

Triton Trust No.2 Bond Series 2014-1:

-AUD265.2m Class A notes affirmed at 'AAAsf'; Outlook Stable

-AUD30m Class AB notes affirmed at 'AAAsf'; Outlook Stable

Triton Trust No.7 Bond Series 2015-1 (May 2016):

- AUD300.0m Class A1 notes affirmed at 'AAAsf'; Outlook Stable

- AUD0m Class A2 notes affirmed at 'AAAsf'; Outlook Stable

- AUD18.8m Class B notes affirmed at 'AAsf'; Outlook Stable

- AUD6.8m Class C notes affirmed at 'BBBsf'; Outlook Stable

Triton Trust No.7 CS Warehouse Series No 1:

-AUD97.6m Class A notes affirmed at 'AAAsf'; Outlook Stable

-AUD6.0m Class B notes affirmed at 'Asf'; Outlook Stable

-AUD1.5m Class D notes affirmed at 'BBsf'; Outlook Stable

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 under Related Research below.