OREANDA-NEWS. July 13, 2015 Fitch Ratings affirms 11 classes from three Triton Trust No. 2 Series RMBS transactions. These transactions are backed by pools of Australian residential mortgages. The notes have been issued by Perpetual Corporate Trust Limited as trustee for Triton Trust No. 2 in respect of the three transactions

A full list of rating actions follows 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. The credit quality has also remained within the agency's expectations.

At 31 May 2015, Triton 2014-P had the highest level of arrears at 6.81%, above Fitch's 1Q15 Dinkum RMBS Index of 1.17%.

The transaction consisted of 25.8% low documentation loans and the pool had an average loan to value ratio (LVR) of 67.5% and an indexed LVR of 55.7%. The pool had interest-only loans of 29.3% and investment loans made up 53.4% of the pool by balance.

Lender's mortgage insurance (LMI) covered 44.3% of the pool and was provided by Genworth Financial Mortgage Insurance Pty Ltd (Insurer Financial Strength Rating: A+/Stable), MGIC Australia Pty Limited and QBE Lenders' Mortgage Insurance Limited (Insurer Financial Strength Rating: AA-/Stable). Since closing, cumulative losses have totalled 0.9% and LMI has covered 87.7% of all claims submitted.

Triton 2013-1 and Triton 2014-1 had arrears level below Fitch's 1Q15 Dinkum RMBS Index of 1.17%. All loans in the underlying portfolios have LMI provided by Genworth Financial Mortgage Insurance Pty Ltd and QBE Lenders' Mortgage Insurance Limited. There have been no losses since closing.

RATING SENSITIVITIES
Sequential pay-down has increased credit enhancement for the senior notes of each transaction. The ratings of all rated notes are independent of any potential downgrades to the LMI provider's ratings.

The 'AAAsf' breakeven stressed default rate for Triton 2013-1 is 10%. The Class A notes can withstand an additional 74.6% in defaults at Fitch's 'AAAsf' loss severity of 20.9%, while the Class AB notes can withstand an additional 13.9% in defaults.

The 'AAAsf' breakeven stressed default rate for Triton 2014-1 is 9.1%. The Class A notes can withstand an additional 41.9% in defaults at Fitch's 'AAAsf' loss severity of 19.8%, while the Class AB notes can withstand an additional 2.5% in defaults.

The 'AAAsf' breakeven stressed default rate for Triton 2014-P is 25.23%. The Class A1 notes can withstand an additional 46.16% in defaults at Fitch's 'AAAsf' loss severity of 46.36%, while the Class A2 notes can withstand an additional 12.94% in defaults.

At their current rating loss severities and breakeven stressed default rate, the remaining rated notes can withstand defaults of between 11.38% - 22.19%.

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.

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 has checked the consistency and plausibility of the information it has received about the performance of the underlying pools and the transactions. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the underlying pools' information or conducted a review of loan origination files as part of its ongoing monitoring.

The full list of rating actions is below:

Triton Trust No.2 Bond Series 2013-1 (Triton 2013-1):
AUD209.9m Class A notes affirmed at 'AAAsf'; Outlook Stable; and
AUD32m Class AB notes affirmed at 'AAAsf'; Outlook Stable

Triton Trust No.2 Bond Series 2014-P (Triton 2014-P):
AUD72.8m, Class A1 notes affirmed at 'AAAsf'; Outlook Stable;
AUD16.4m, Class A2 notes affirmed at 'AAAsf'; Outlook Stable;
AUD4.0m, Class B notes affirmed at 'AAsf'; Outlook Stable;
AUD3.0m, Class C notes affirmed at 'Asf'; Outlook Stable;
AUD3.75m, Class D notes affirmed at 'BBBsf'; Outlook Stable;
AUD3.7m, Class E notes affirmed at 'BBsf'; Outlook Stable; and
AUD1.0m, Class F notes affirmed at 'Bsf'; Outlook Stable

Triton Trust No.2 Bond Series 2014-1 (Triton 2014-1):
AUD349m, Class A notes affirmed at 'AAAsf'; Outlook Stable; and
AUD30m, Class AB notes affirmed at 'AAAsf'; 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 and/or links provided under Related Research below.