OREANDA-NEWS. January 19, 2016. Fitch Ratings has affirmed the ratings of Illawarra Series 2011-1 CMBS Trust (Illawarra 2011-1 CMBS). The transaction is a securitisation of Australian small balance commercial mortgages originated by IMB Limited (IMB). The rating actions are as follows:

AUD38.4m Class A (ISIN AU3FN0014007) notes affirmed at 'AAAsf'; Outlook Stable;
AUD3.1m Class B (ISIN AU3FN0014015) notes affirmed at 'AAsf'; Outlook Stable;
AUD5.0m Class C (ISIN AU3FN0014023) notes affirmed at 'Asf'; Outlook Stable;
AUD5.8m Class D (ISIN AU3FN0014031) notes affirmed at 'BBBsf'; Outlook Stable; and
AUD1.2m Class E (ISIN AUSFN0014049) notes affirmed at 'BBsf'; Outlook Stable.

KEY RATING DRIVERS
The affirmations reflect Fitch's view that available credit enhancement is sufficient to support the notes' current ratings, and can withstand deterioration of economic conditions in Australia in line with the agency's expectations. The credit quality and performance of the loans in the collateral pools have also remained in line with expectations. Arrears have been consistently low, there have been no losses and excess spread has remained stable.

As the mortgage portfolio reduces in size, the risk of principal losses resulting from the concentrated default of large loans becomes the primary driver for Fitch's analysis.

At end-December 2015, no loans were in arrears. The transaction has experienced no defaults since closing in August 2011.

RATING SENSITIVITIES
Current and expected concentration levels are a constraint on the ratings. Sequential pay-down has increased credit enhancement for all notes.

The ratings are not expected to be affected by any foreseeable change in performance.
Fitch's 'AAAsf' breakeven default rate is 22.4 %. The Class A notes can withstand 17.9% additional in defaults at Fitch's 'AAAsf' loss severity. All of the remaining notes can withstand additional defaults at their respectively rating scenarios. This analysis excludes credit to excess spread.

Upgrades are unlikely as the transaction is amortising pro-rata and the ratings are constrained by concentration risk. Negative rating actions would be considered if there was an unexpected increase in losses that reduced excess spread and resulted in charge-offs.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.