19.11.2015, 08:20
Fitch Assigns Final Ratings to Firstmac Mortgage Funding Trust No.4 Series 2-2015
OREANDA-NEWS. Fitch Ratings has assigned final ratings to Firstmac Mortgage Funding Trust No.4 Series 2-2015's mortgage-backed fixed and floating-rate notes. The issuance consists of notes backed by Australian prime residential mortgages originated by Firstmac nominee originators. The ratings are as follows:
AUD400.0m Class A-1a notes: 'AAAsf'; Outlook Stable;
AUD25.0m Class A-1b notes: 'AAAsf'; Outlook Stable;
AUD0.0m Class A-1R notes: 'AAAsf'; Outlook Stable;
AUD25.0m Class A-2 notes: 'AAAsf'; Outlook Stable;
AUD30.0m Class AB notes: 'NRsf';
AUD12.5m Class B notes: 'NRsf';
AUD3.1m Class C notes: 'NRsf';
AUD3.3m Class D notes: 'NRsf'; and
AUD1.1m Class E notes: 'NRsf'
The notes were issued by Firstmac Fiduciary Services Pty Ltd in its capacity as trustee of Firstmac Mortgage Funding Trust No. 4 in respect of Series 2-2015.
At the cut-off date, 21 July 2015, the total collateral pool consisted of 1,854 loans to 1,513 borrowers, totaling approximately AUD499.1m.
KEY RATING DRIVERS
Sufficient Subordination: The Class A-1a and A-1b notes benefit from credit enhancement (CE) of 15.0%, provided by the subordinate notes; from the liquidity reserve; and Firstmac's servicing and underwriting capabilities. The Class A-2 note benefits from 10.0% CE.
Conservative Pool Characteristics: The weighted average (WA) seasoning of the portfolio is 17 months, with an average current indexed loan/value ratio (LVR) of 68.2% and WA Indexed LVR of 66.3%. The average obligor current loan size is AUD329,901; investment loans represent 34.7% of the pool by balance, with interest-only loans at 40.4%. Lenders' mortgage insurance (LMI) is present on 54.9% of the pool.
Sequential/Pro Rata Paydown: The transaction includes a five-year fixed rate tranche that will only receive principal in very limited circumstances. Classes A-1 and A-2 will initially receive principal in set proportions, with Classes AB, B, C and D notes receiving principal sequentially, prior to step-down conditions being met. Once pro-rata tests have been met, principal will be allocated on a pro-rata basis across all notes except Class E. The Class E notes will receive no principal allocation until all other notes have been fully repaid.
Excess Spread Trap: The transaction benefits from a spread reserve account funded by excess income that is available to cover both liquidity shortfalls and losses. Prior to the call date, the spread reserve account traps excess up to a maximum of AUD2.5m if certain conditions are met. After the call date, all excess will be trapped, with no maximum amount.
RATING SENSITIVITIES
Unexpected decreases in residential property values, increases in the frequency of foreclosures, and loss severity on defaulted mortgages could produce loss levels higher than Fitch's base case, which could in turn result in negative rating actions on the notes. Fitch has evaluated the sensitivity of the ratings assigned to Firstmac Mortgage Funding Trust No. 4 Series 2-2015 to increased defaults and decreased recovery rates over the life of the transaction.
The analysis found that the notes' ratings remained stable under each of Fitch's medium and severe individual default and recovery scenarios (15% and 30% increase in defaults or decreases in recoveries, respectively). In a combined stress scenario (both 15% increase in defaults and 15% decrease in recoveries), ratings also remained stable, while under a severe multiple stress scenario (both 30% increase in defaults and 30% decrease in recoveries), the Class A-1a and A-1b notes' rating lowered by one notch to 'AA+sf' and the Class A-2 note's rating lowered two notches to 'AAsf'.
The transaction structure supports an LMI independent rating for the Class A-1a, A-1b and A-2 notes; therefore LMI is not required to support the ratings due to the level of credit support provided by the lower notes.
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 Firstmac 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.
Key Rating Drivers and Rating Sensitivities are further discussed in the corresponding presale report entitled, "Firstmac Mortgage Funding Trust No.4 Series 2-2015", published today. Included as an appendix to the report are a description of the representations, warranties, and enforcement mechanisms.
AUD400.0m Class A-1a notes: 'AAAsf'; Outlook Stable;
AUD25.0m Class A-1b notes: 'AAAsf'; Outlook Stable;
AUD0.0m Class A-1R notes: 'AAAsf'; Outlook Stable;
AUD25.0m Class A-2 notes: 'AAAsf'; Outlook Stable;
AUD30.0m Class AB notes: 'NRsf';
AUD12.5m Class B notes: 'NRsf';
AUD3.1m Class C notes: 'NRsf';
AUD3.3m Class D notes: 'NRsf'; and
AUD1.1m Class E notes: 'NRsf'
The notes were issued by Firstmac Fiduciary Services Pty Ltd in its capacity as trustee of Firstmac Mortgage Funding Trust No. 4 in respect of Series 2-2015.
At the cut-off date, 21 July 2015, the total collateral pool consisted of 1,854 loans to 1,513 borrowers, totaling approximately AUD499.1m.
KEY RATING DRIVERS
Sufficient Subordination: The Class A-1a and A-1b notes benefit from credit enhancement (CE) of 15.0%, provided by the subordinate notes; from the liquidity reserve; and Firstmac's servicing and underwriting capabilities. The Class A-2 note benefits from 10.0% CE.
Conservative Pool Characteristics: The weighted average (WA) seasoning of the portfolio is 17 months, with an average current indexed loan/value ratio (LVR) of 68.2% and WA Indexed LVR of 66.3%. The average obligor current loan size is AUD329,901; investment loans represent 34.7% of the pool by balance, with interest-only loans at 40.4%. Lenders' mortgage insurance (LMI) is present on 54.9% of the pool.
Sequential/Pro Rata Paydown: The transaction includes a five-year fixed rate tranche that will only receive principal in very limited circumstances. Classes A-1 and A-2 will initially receive principal in set proportions, with Classes AB, B, C and D notes receiving principal sequentially, prior to step-down conditions being met. Once pro-rata tests have been met, principal will be allocated on a pro-rata basis across all notes except Class E. The Class E notes will receive no principal allocation until all other notes have been fully repaid.
Excess Spread Trap: The transaction benefits from a spread reserve account funded by excess income that is available to cover both liquidity shortfalls and losses. Prior to the call date, the spread reserve account traps excess up to a maximum of AUD2.5m if certain conditions are met. After the call date, all excess will be trapped, with no maximum amount.
RATING SENSITIVITIES
Unexpected decreases in residential property values, increases in the frequency of foreclosures, and loss severity on defaulted mortgages could produce loss levels higher than Fitch's base case, which could in turn result in negative rating actions on the notes. Fitch has evaluated the sensitivity of the ratings assigned to Firstmac Mortgage Funding Trust No. 4 Series 2-2015 to increased defaults and decreased recovery rates over the life of the transaction.
The analysis found that the notes' ratings remained stable under each of Fitch's medium and severe individual default and recovery scenarios (15% and 30% increase in defaults or decreases in recoveries, respectively). In a combined stress scenario (both 15% increase in defaults and 15% decrease in recoveries), ratings also remained stable, while under a severe multiple stress scenario (both 30% increase in defaults and 30% decrease in recoveries), the Class A-1a and A-1b notes' rating lowered by one notch to 'AA+sf' and the Class A-2 note's rating lowered two notches to 'AAsf'.
The transaction structure supports an LMI independent rating for the Class A-1a, A-1b and A-2 notes; therefore LMI is not required to support the ratings due to the level of credit support provided by the lower notes.
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 Firstmac 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.
Key Rating Drivers and Rating Sensitivities are further discussed in the corresponding presale report entitled, "Firstmac Mortgage Funding Trust No.4 Series 2-2015", published today. Included as an appendix to the report are a description of the representations, warranties, and enforcement mechanisms.
Комментарии