TEXT-S&P Assigns Preliminary Ratings To RESIMAC Series 2012-1NC

Sun Oct 21, 2012 8:56pm EDT

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(The following was released by the rating agency)

OVERVIEW

-- RESIMAC Series 2012-1NC is a securitization of a pool of nonconforming and prime residential mortgages originated by RESIMAC Ltd.

-- We have assigned preliminary ratings to seven of the eight classes of RMBS.

-- The preliminary ratings reflect our opinion of the transaction's credit support, collateral pool, servicer, and other features based on our current criteria and assumptions.

MELBOURNE (Standard & Poor's) Oct. 22, 2012--Standard & Poor's Ratings Services today assigned its preliminary ratings to seven of the eight classes of residential mortgage-backed securities (RMBS) to be issued by Perpetual Trustee Company Ltd. as trustee of RESIMAC Bastille Trust in respect of RESIMAC Series 2012-1NC (see list).

RESIMAC Series 2012-1NC is a securitization of a pool of nonconforming and prime residential mortgages originated by RESIMAC Ltd. The preliminary ratings reflect:

-- Our view of the credit risk of the underlying collateral portfolio, including the fact that this is a closed portfolio, which means no further loans will be assigned to the trust after the closing date.

-- Our expectation that the various mechanisms to support liquidity within the transaction, including principal draws and an amortizing liquidity facility equal to 3.6% of the initial invested amount of all notes, subject to a floor of A$1,800,000, are sufficient under our stress assumptions to support timely payment of interest on the rated notes.

-- Our view that the credit support is sufficient to withstand the stresses we apply. This credit support comprises mortgage insurance for 32.6% of the portfolio, which covers 100% of the face value of those loans, their accrued interest, and reasonable costs of enforcement; and note subordination for the class A1, A2, B, C, D, E, and F notes.

-- The benefit of a fixed-to-floating interest-rate swap provided by National Australia Bank Ltd. (NAB; AA-/Stable/A-1+), to hedge the mismatch between receipts from any fixed-rate mortgage loans and the variable-rate RMBS.

-- The condition that a minimum margin will be maintained on the residential mortgage loans.

-- The availability of a retention amount built from excess spread, and which will be applied monthly to repay the most subordinated rated note at that time. An equal amount of unrated class G notes will be issued at the same time to maintain the level of credit support available to the rated notes.

-- The availability of an amortization amount built from excess spread, starting two months after the call date onward, to absorb any mortgage losses.

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