24.12.2015, 13:02
Fitch Affirms Medallion Trust Series 2008-1R; Outlook Stable
OREANDA-NEWS. Fitch Ratings has affirmed the ratings for Medallion Trust Series 2008-1R Class A and B notes. The transaction is a securitisation of Australian conforming residential mortgages originated by Commonwealth Bank of Australia (CBA, AA-/Stable). The rating actions are as follows:
AUD 74,340m Class A (ISIN AU3FN0005617) notes affirmed at 'AAAsf'; Outlook Stable;
AUD 4,543m Class B notes affirmed at 'AAsf'; Outlook Stable
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 and performance of the loans in the collateral pools have remained in line with expectations.
As of October 2015, 30+ days arrears were 1.13% compared to Fitch's 3Q15 Dinkum RMBS Prime Index of 0.91%. Lenders Mortgage Insurance (LMI) covered 28.31% of the pool; 27.93% was covered by Genworth Financial Mortgage Insurance Pty Limited (Insurer Financial Strength Rating A+/Stable) and 0.38% covered by QBE Lenders Mortgage Insurance Ltd (Insurer Financial Strength Rating AA-/Stable).
The transaction remains within its 10-year substitution period which ends in 2018, and no amortisation of the notes has occurred to date. Fitch is comfortable with the long revolving period as the portfolio stratifications have not changed significantly since initial issue, CBA's product mix has not materially changed over this time, and the portfolio is performing as expected.
RATING SENSITIVITIES
The Class A notes are independent of downgrades to the LMI provider's ratings. The Class B notes can withstand a one notch downgrade to the LMI provider's ratings. At Fitch's 'AAAsf' breakeven default rate of 14.31%, the Class A notes can withstand an additional 7.70% defaults at Fitch's 'AAAsf' loss severity. The Class B notes can withstand an additional 0.56% defaults at Fitch's 'AAsf' loss severity.
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 Commonwealth Bank of Australia Limited 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.
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 under Related Research below.
AUD 74,340m Class A (ISIN AU3FN0005617) notes affirmed at 'AAAsf'; Outlook Stable;
AUD 4,543m Class B notes affirmed at 'AAsf'; Outlook Stable
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 and performance of the loans in the collateral pools have remained in line with expectations.
As of October 2015, 30+ days arrears were 1.13% compared to Fitch's 3Q15 Dinkum RMBS Prime Index of 0.91%. Lenders Mortgage Insurance (LMI) covered 28.31% of the pool; 27.93% was covered by Genworth Financial Mortgage Insurance Pty Limited (Insurer Financial Strength Rating A+/Stable) and 0.38% covered by QBE Lenders Mortgage Insurance Ltd (Insurer Financial Strength Rating AA-/Stable).
The transaction remains within its 10-year substitution period which ends in 2018, and no amortisation of the notes has occurred to date. Fitch is comfortable with the long revolving period as the portfolio stratifications have not changed significantly since initial issue, CBA's product mix has not materially changed over this time, and the portfolio is performing as expected.
RATING SENSITIVITIES
The Class A notes are independent of downgrades to the LMI provider's ratings. The Class B notes can withstand a one notch downgrade to the LMI provider's ratings. At Fitch's 'AAAsf' breakeven default rate of 14.31%, the Class A notes can withstand an additional 7.70% defaults at Fitch's 'AAAsf' loss severity. The Class B notes can withstand an additional 0.56% defaults at Fitch's 'AAsf' loss severity.
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 Commonwealth Bank of Australia Limited 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.
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 under Related Research below.
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