OREANDA-NEWS. November 17, 2015. Fitch Ratings has affirmed the ratings of three AFG RMBS transactions. The transactions are securitisations of Australian conforming residential full-documentation mortgages originated by AFG Securities Pty Ltd (AFGS).

The rating actions are as follows (balance as of September 2015 report):

AFG 2013-1 Trust:
AUD110.5m, Class A (ISIN AU3FN0018479) affirmed at 'AAAsf'; Outlook Stable
AUD9.1m, Class AB (ISIN AU3FN0018487) affirmed at 'AAAsf'; Outlook Stable

AFG 2013-2 Trust:
AUD124.8m, Class A (ISIN AU3FN0020871) affirmed at 'AAAsf'; Outlook Stable
AUD18.3m, Class AB (ISIN AU3FN0020889) affirmed at 'AAAsf'; Outlook Stable

AFG 2014-1 Trust:
AUD168.1m, Class A (ISIN AU3FN0022984) affirmed at 'AAAsf'; Outlook Stable
AUD14.5m, Class AB (ISIN AU3FN0022992) affirmed at 'AAAsf'; Outlook Stable

The notes were issued by Perpetual Corporate Trust Limited, in its capacity as trustee of the Series.

KEY RATING DRIVERS

The affirmations reflect Fitch's view that available credit enhancement is sufficient to support the notes' current ratings, and the agency's expectations of Australia's economic conditions. The credit quality and performance of the loans in the collateral pools have remained in line with Fitch's expectations.

At end-September 2015, there were no 30+ days arrears for the three transactions, compared with Fitch's latest Dinkum Index of 1.12%.

Performance of the three transactions has been within Fitch's expectations with no defaults or losses experienced since issuance. All loans in the pools are covered by lenders' mortgage insurance (LMI), with policies 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).

RATING SENSITIVITIES

Sequential pay-down has increased credit enhancement for the senior notes of all transactions, with the 'AAAsf' rated notes able to withstand multiples of the latest reported arrears.

For AFG 2013-1 Trust, Fitch's 'AAAsf' breakeven default rate is 7.22%. The class A notes can withstand an additional 51.40% in defaults at Fitch's 'AAAsf' loss severity. The class AB notes can withstand an additional 21.24% in defaults at Fitch's 'AAAsf' loss severity.

For AFG 2013-2 Trust, Fitch's 'AAAsf' breakeven default rate is 8.13%. The class A notes can withstand an additional 60.60% in defaults at Fitch's 'AAAsf' loss severity. The class AB notes can withstand an additional 16.63% in defaults at Fitch's 'AAAsf' loss severity.

For AFG 2014-1 Trust, Fitch's 'AAAsf' breakeven default rate is 8.35%. The class A notes can withstand an additional 35.13% in defaults at Fitch's 'AAAsf' loss severity. The class AB notes can withstand an additional 9.04% in defaults at Fitch's 'AAAsf' loss severity.

All the ratings are independent of downgrades to the LMI providers' ratings

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 AFG Securities Pty Ltd compared to its 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.