RPT-Fitch assigns ratings to GBS Receivables Repo Trust
(Repeat for additional subscribers)
Sept 13 (Reuters) - (The following statement was released by the rating agency)
Fitch Ratings has assigned a rating of 'AAAsf' to the Class A notes of the GBS Receivables Repo Trust. The transaction is an internal securitisation of first-ranking prime Australian residential mortgages originated by Greater Building Society Limited (GBS).
The ratings are as follows:
AUD375m Class A notes: 'AAAsf'; Outlook Stable; and
AUD50m Class B notes: not rated
The notes are issued by Permanent Custodian Limited, in its capacity as trustee of the GBS Receivables Repo Trust.
KEY RATING DRIVERS
High LVR Pool: The residential mortgage pool has a current loan to value ratio (LVR) of 79.5%, which is higher than most RMBS pools in the Australian market. Loans in the pool were originated by GBS under its standard lending criteria with loans above 80% LVR being mortgage insured, allowing GBS to meet the repo-eligibility criteria.
Strong Credit Support: The Class A notes benefit from 11.8% support provided by the Class B notes; this is significantly in excess of Fitch's breakeven 'AAAsf' support level, including support from lenders' mortgage insurance (LMI). All loans benefit from LMI. LMI claims by GBS have been rare in recent years. Pool Characteristics: The pool has a weighted average current LVR of 79.5%, and an indexed current LVR of 76.0%. All loans are full documentation loans with a weighted average seasoning of 33 months. The pool is geographically concentrated in the Hunter Valley (48.8%) region of New South Wales (NSW), where GBS is headquartered.
Substitution Pool Parameters: The transaction includes a 10-year substitution period. Various eligibility criteria and pool parameters are in place to ensure that during the substitution period the substitution process maintains a stable credit profile.
Experienced Servicer: GBS has been originating and servicing residential mortgages for over 50 years. GBS originates loans through its predominantly regional NSW-based branch network; it does not use brokers to originate its loans.
Unexpected decreases in the value of residential property, increases in the frequency of foreclosures, or loss severity on defaulted mortgages could produce loss levels higher than Fitch's base case, resulting in potential negative rating actions on the notes. Fitch evaluated the sensitivity of the ratings assigned to GBS Receivables Repo Trust to increased defaults and reduced recovery rates over the life of the transaction. Its analysis found that all rated notes displayed relatively little sensitivity to either increased defaults or reduced recovery rates. However, when both these stresses were applied at Fitch's severe (30% increase) scenario, the Class A notes were susceptible to a one rating notch downgrade.