OREANDA-NEWS. S&P Global Ratings today affirmed its ratings on the four classes of residential mortgage-backed securities (RMBS) issued by Perpetual Corporate Trust Ltd. as trustee for AFG 2010-1 Trust - Warehouse Series No.2.

The rating affirmations follow the acquisition of approximately A$90 million residential mortgage assets into AFG 2010-1 Trust - Warehouse Series No.2, which will be funded by further note issuance. This takes the total amount of notes issued to A$573.86 million. Through the top-up mechanism in the transaction documents, new notes can be issued by the trustee to fund the acquisition of additional loans into the trust.

The affirmations reflect:The amount of credit support provided for each class of notes is at or exceeds the minimum amount assessed as commensurate with the respective rating levels and is thereby sufficient to withstand the stresses commensurate with the ratings. Our view of the credit risk of the underlying collateral portfolio, which has a weighted-average current loan-to-value ratio of 67.3% and weighted-average loan seasoning of 20.6 months. Our view that the interest-only feature could create a payment shock when payments revert to fully amortizing during the remaining term of the loan. We have assumed a higher probability of default for loans in this category, representing about 36.8% of the pool, that have an interest-only period of up to nine years, reverting to fully amortizing principal and interest loans. S&P Global Ratings' assessment of credit risk takes into account originator and servicer AFG Securities Pty Ltd.'s underwriting standards, processes, and servicing quality, which are consistent with industry-wide practices. Our expectation that the liquidity facility, equal to 1.7% of the rated notes outstanding within the transaction, is adequate under our stress assumptions to cover timely payment of interest. The timely payment of interest and ultimate repayment of principal under our stress scenarios.