OREANDA-NEWS. Fitch Ratings has assigned final ratings to Triton Trust No.7 Bond Series 2015-1's Class B and Class C residential mortgage-backed floating-rate notes as follows:
- AUD8.7m Class B notes: 'AAsf'; Outlook Stable
- AUD3.5m Class C notes: 'BBBsf'; Outlook Stable.

The issuance consists of notes backed by Australian residential mortgages originated by Columbus Capital (Columbus) and is issued by Perpetual Corporate Trust Limited in its capacity as trustee of Triton Trust No.7 Bond Series 2015-1.

Fitch has also confirmed the ratings of the Class A1 and A2 notes following the issuance the Class B and C notes as follows:
- AUD150.0m Class A1 notes confirmed at 'AAAsf'; Outlook Stable
- AUD0m Class A2 notes confirmed at 'AAAsf'; Outlook Stable.

The facility limit for the Class A1 and A2 notes will total AUD150m, being the Class A Note facility.

KEY RATING DRIVERS
Sufficient Credit Support: The Class B notes have sufficient credit enhancement of 3.64%, provided by the Class C and D notes. The Class C notes have sufficient credit enhancement of 1.52%, provided by the Class D notes.

Flexible Portfolio Size: The transaction documents allow for the addition of new receivables to the trust in accordance with the portfolio parameters.

Minimum Subordination Amounts: The transaction requires minimum dollar amount of subordination to be met for each rated note at each payment date before principal can be distributed. This feature is particularly important during the pro-rata period and after pool transfers to ensure there is sufficient subordination in the tail end to cover for losses of large loans.

Adequate Liquidity Support: Liquidity support will be provided via excess spread, a yield reserve, principal draws and a liquidity reserve sized at 0.82% of the mortgage balance, which will amortise to a reserve floor of AUD375,000.

RATING SENSITIVITIES
Unexpected decreases in residential property value, increases in the frequency of foreclosures and loss severity on defaulted mortgages could produce higher losses than Fitch's base case. This could result in negative rating action on the notes.

Fitch evaluated the sensitivity of the ratings assigned to Triton Trust No.7 Bond Series 2015-1 to increased defaults and decreased recovery rates over the life of the transaction. The analysis found that collectively, the Class B notes' ratings were impacted under Fitch's severe default (30% increase) scenarios, while Class A1, A2 and C notes were not impacted.

The analysis of the recovery scenarios found that collectively, decreases in recoveries impacted the ratings of the Class B and C notes. The class A1 & A2 notes' rating remained stable except under a severe multiple stress scenario (both 30% increase in defaults and 30% decrease in recoveries), where the ratings would be lowered by two notches to 'AAsf'. The class B and C notes showed more sensitivity to a combination of increased defaults and reduced recovery rates.

The transaction structure supports a lenders mortgage insurance (LMI) independent rating for the Class A1 and A2 notes after the third payment date, when the minimum subordination steps up from AUD5.5m to AUD10m. The Class B and C notes are LMI dependent.

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 Columbus compared to their credit policy at the time of underwriting. Fitch 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.