OREANDA-NEWS. Fitch Ratings has assigned expected ratings to Crusade ABS Series 2015-1 Trust's automotive-backed floating-rate notes. The issuance consists of notes backed by automotive lease and loan receivables originated by St.George Finance Limited. The ratings are as follows:

AUD405m Class A notes: 'AAA(EXP)sf'; Outlook Stable;
AUD25m Class B notes: 'AA(EXP)sf'; Outlook Stable;
AUD18m Class C notes: 'A(EXP)sf'; Outlook Stable;
AUD16m Class D notes: 'BBB(EXP)sf'; Outlook Stable;
AUD10m Class E notes: 'BB(EXP)sf'; Outlook Stable; and
AUD26m Seller notes: Not Rated.

The notes are issued by Perpetual Corporate Trust Limited in its capacity as trustee of Crusade ABS Series 2015-1 Trust.

At the cut-off date, the collateral backing the Crusade 2015-1 transaction, statistically, is of similar credit quality to prior pools securitised under the Crusade ABS programme. The pool comprises receivables backed by motor vehicles with a weighted-average (WA) seasoning of 17 months and average receivable size of AUD22,414. Distribution of the portfolio is concentrated to the east coast, in line with population distribution. The WA balloon residual percentage is 8.1% (percentage of the original outstanding balance of the receivable).

KEY RATING DRIVERS
St.George Bank Limited established its auto finance business in 1994 through the purchase of a business incorporating motor vehicle receivables, commercial lending, and private banking, from Barclays Bank Australia Limited. St.George Finance Limited is a wholly owned subsidiary of Westpac Banking Corporation (Westpac, AA-/Stable/F1+).

Consumer finance as a proportion of the receivables originated has increased significantly over the past five years. Consumer finance has higher levels of losses and longer lease terms than other originated product types - up to 84 months. This change in composition has been addressed in the rating analysis.

St.George's receivables book has experienced relatively low levels of defaults to date, with the majority of quarterly vintage gross loss percentages ranging from 1.3%-3.8% for passenger vehicles. Delinquencies greater than 30 days have generally tracked below 3.0%.

The 2015-1 transaction allows for Westpac and St.George originated receivables to be sold into the pool during the 12 month substitution period. The Class A notes of the 2015-1 transaction benefit from 19.0% subordination from issuance and pro-rata paydown will commence on the first payment date, subject to certain performance triggers.

EXPECTED RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than Fitch's base case, likely resulting in a decline in CE and remaining loss-coverage levels available to the notes. Fitch has evaluated the sensitivity of the ratings assigned to Crusade ABS Series 2015-1 Trust to increased gross default levels, and decreased recovery rates over the life of the transaction.

Its analysis found that all notes' ratings are not susceptible to downgrades under Fitch's mild (10% increase), moderate (25% increase) and severe (50% increase) default scenarios.

Recovery scenarios, whereby recovery rate assumptions are decreased, showed that no notes were impacted under each scenario tested. These include mild (10% decrease), moderate (25% decrease) and severe (50% decrease) stress scenarios.

The analysis showed that under a combination of default and recovery stress scenarios, the Class B, C and D notes would be downgraded to 'Asf', 'BBBsf' and 'BBsf' respectively in a severe scenario (50% increase in defaults and 50% decrease in recovery rates). The remaining notes would not be impacted in a severe scenario.

Key Rating Drivers and Expected Rating Sensitivities are further discussed in the corresponding presale report entitled "Crusade ABS Series 2015-1 Trust", published today. Included as an appendix to the report are a description of the representations, warranties, and enforcement mechanisms.