OREANDA-NEWS. July 13, 2015 Fitch Ratings has affirmed the ratings of MTF Valiant Trust 2014 notes (the note balance is as of 15 June 2015). The transaction is a securitisation backed by New Zealand auto loan receivables originated by Motor Trade Finances Ltd (MTF), due July 2022. The rating actions are as follows:

NZD176.4m Class A notes: 'AAAsf'; Outlook Stable;
NZD6.66m Class B notes: 'AAsf'; Outlook Stable;
NZD5.84m Class C notes: 'Asf'; Outlook Stable;
NZD2.66m Class D notes: 'BBBsf'; Outlook Stable;
NZD2.5m Class E notes: 'BBsf'; Outlook Stable; and
NZD1.2m Class F notes: 'Bsf'; Outlook Stable

KEY RATING DRIVERS
The affirmation reflects Fitch's view that the available credit enhancement is sufficient to support the notes' current rating, and the agency's expectations of New Zealand's economic conditions. Credit quality and performance of the underlying receivables have also remained within the agency's expectations.

At 31 May 2015, 30+ days arrears stood at 0.43%, below Fitch's 1Q15 Dinkum ABS Index for Australia of 1.25%. Gross and net losses related to 90+ days arrears amounted to NZD532,288 and NZD83,437, respectively - below Fitch's modelled expectations. The average recovery rate since closing has also been better than modelled expectations. All realised losses have been covered by excess spread which has been strong since closing, consistently averaging 10.2%.

MTF Valiant Trust 2014 has a two-year revolving period of which 13 months remain. Concentration tests are in place and calculated monthly to stop replenishment in the transaction in case of performance deterioration.

RATING SENSITIVITIES
Increases in the frequency of defaults could produce loss levels higher than Fitch's base case, which could result in negative rating actions on the notes. Fitch evaluated the sensitivity of the ratings of MTF Valiant Trust 2014 to increased defaults and decreased recovery rates over the life of the transaction. Its analysis found that collectively, the ratings of the Class A notes were susceptible to downgrades under all stress levels tested (defaults increased by 10%, 25% and 50%), while the Class B and C notes remain susceptible under medium (25%) to severe (50%) default stress. The Class D notes were impacted only after a severe increase in defaults while the Class E and F notes remained steady under all default stresses. Only the Class A and C notes were susceptible to downgrades if recovery rates fall by at least 50%, while all other classes remained stable under all recovery rate stresses.

The rating sensitivity analysis remains unchanged since closing as the portfolio characteristics have not changed significantly and as the transaction still features a revolving pool.

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 MTF compared to MTF'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.

Initial Key Rating Drivers and Rating Sensitivities are described further in the new issue report entitled, "MTF Valiant Trust 2014", dated 14 July 2014.

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.