RPT-Fitch Affirms Ratings of 41 FirstMac RMBS Tranches

Fri Mar 14, 2014 2:54am EDT

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March 14 (Reuters) - (The following statement was released by the rating agency)

Fitch Ratings has affirmed 41 classes of notes issued under 14 FirstMac RMBS transactions. Fitch has also affirmed the rating of the currency swap obligation on the class A-1 notes of FirstMac Mortgage Funding Trust Series 1E-2007. All transactions are backed by pools of conforming Australian residential mortgages sourced directly or by way of third-party introducers. The mortgages were originated in the name of nominee companies on behalf of the trustee, FirstMac Fiduciary Services Pty Ltd, and sold to the various trusts by FirstMac warehouses. The full list of rating actions can be found at the end of this commentary.

KEY RATING DRIVERS

The affirmations reflect Fitch's view that available credit enhancement supports the notes at their current ratings, the agency's expectations of Australia's economic conditions, and that the credit quality and performance of the underlying loans have remained within the agency's expectations.

All transactions are paying down on a sequential basis with principal collections being allocated to the senior notes with the exception of FirstMac Mortgage Funding Trust Series 1E-2007, FirstMac Mortgage Funding Trust Series 2-2008, FirstMac Mortgage Funding Trust Series 1-2010 and the Class A and AB notes in FirstMac Bond Series 2-2005 Trust and FirstMac Mortgage Funding Trust Series 1-2007. FirstMac Mortgage Funding Trust Series 1E-2007 is expected to revert to sequential pay down starting from the investment payment date in March 2014. The amortisation of the notes has resulted in improvements in credit enhancement.

As at end-January 2013, 30+ days arrears ranged between 0.1% for FirstMac Mortgage Funding Trust Series 2E-2013 and 3.4% for FirstMac Bond Series 2-2005 Trust. Since closing 231 loans have defaulted and originated a loss across the outstanding Fitch rated transactions. Lenders' mortgage insurance (LMI) has paid 86.6% of these losses and the rest has been covered either by excess spread or by the originator.

The reported weighted average current loan-to-value ratio (WA LVR) ranged from 58.9% (FirstMac Mortgage Funding Trust Series 1E-2007) to 71.2% (FirstMac Mortgage Funding Trust Series 1-2009). Indexation was negative for FirstMac Mortgage Funding Trust Series 1-2010, as the WA LVR increased to 74.3% from 73.3% due to geographical concentration in Queensland and the seasoning of the loans. FirstMac Bond Series 1E-2006 Trust benefitted the most from indexation with WA LVR improving to 60.5% from 69.4%. FirstMac Mortgage Funding Trust Series 1E-2007 had the lowest indexed WA LVR (52.3%).

The pools contain a significant portion of loans collateralised by investment properties, ranging from 37.6% (FirstMac Mortgage Funding Trust Series 2E-2013) to 66.9% (FirstMac Mortgage Funding Trust Series 1-2007). The portion of interest-only loans is also relatively high ranging from 26.9% (FirstMac Mortgage Funding Trust Series 1E-2007) to 70.0% (FirstMac Bond Series 1C-2006).

FirstMac Mortgage Funding Trust Series 1-2007 has a significant portion of low doc loans (85.9%). The portion of low-doc loans is limited in other transactions, ranging from 17.6% (FirstMac Bond Series 1C-2006 to 1.1% (FirstMac Bond Series 2-2005 Trust). The following have no low-doc loans: FirstMac Bond Series 1E-2006 Trust, FirstMac Mortgage Funding Trust Series 1E-2007, FirstMac Mortgage Funding Trust Series 2-2011, FirstMac Mortgage Funding Trust Series 1E-2013, FirstMac Mortgage Funding Trust RMBS Series 3-2012 and FirstMac Mortgage Funding Trust Series 2E-2013.

All transactions have LMI provided by one or more of the following insurers; QBE Lenders' Mortgage Insurance Limited (Insurer Financial Strength rating: AA-/Stable), Genworth Financial Mortgage Insurance Pty Ltd, and Housing Loan Insurance Corporation. No transactions have experienced any losses to date.

RATING SENSITIVITIES

The sequential pay-down has enhanced credit enhancement for senior notes, especially for well-seasoned transactions. As at end-January 2014, the senior notes could withstand multiples of latest-reported arrears. Class A notes remain independent of a downgrade to the LMI provider's rating. Class AB notes of recently originated transactions remain sensitive to any change in the LMI providers' ratings. Initial Key Rating Drivers and Rating Sensitivities are further discussed in the New Issue reports listed under "Related Research".

Included as an appendix to the reports for Firstmac Mortgage Funding Trust Series 2E-2013, Firstmac Mortgage Funding Trust Series 1E-2013, Firstmac Mortgage Funding Trust Series 3-2012, Firstmac Mortgage Funding Trust Series 1-2012 and FirstMac Mortgage Funding Trust Series 2-2011 are a description of the representations, warranties and enforcement mechanism.

The full list of rating actions is as follows:

FirstMac Bond Series 2-2005 Trust:

AUD76.6m Class A1 (ISIN AU300FMA5015) affirmed at 'AAAsf'; Outlook Stable;

AUD4.4m Class AB (ISIN AU300FMA5023) affirmed at 'AAAsf'; Outlook Stable; and

AUD16.5m Class B (ISIN AU300FMA5031) affirmed at 'BBsf'; Outlook Stable.

FirstMac Bond Series 1C-2006:

AUD129m Class A (ISIN AU3FN0010708) affirmed at 'AAAsf'; Outlook Stable.

FirstMac Bond Series 1E-2006 Trust:

EUR68.8m Class A (ISIN XS0250012498) affirmed at 'AAAsf'; Outlook Stable; and

AUD50.5m Class B (ISIN AU300FMA9017) affirmed at 'BBsf'; Outlook Stable.

FirstMac Mortgage Funding Trust Series 1-2007:

AUD133.8m Class A (ISIN AU0000FMAHA0) affirmed at 'AAAsf'; Outlook Stable;

AUD16.3m Class AB (ISIN AU3FN0001889) affirmed at 'AAAsf'; Outlook Stable; and

AUD27m Class B (ISIN AU3FN0001897) affirmed at 'BBsf'; Outlook Stable.

FirstMac Mortgage Funding Trust Series 1E-2007:

EUR58.1m Class A1 (ISIN XS0305486127) affirmed at 'AAAsf'; Outlook Stable;

Class A-1 Currency Swap Obligation affirmed at 'AAAsf'; Outlook Stable;

AUD153.3m Class A2 (ISIN AU3FN0003026) affirmed at 'AAAsf'; Outlook Stable; and

AUD16.3m Class B (ISIN AU3FN0003018) affirmed at 'BBsf'; Outlook Stable.

FirstMac Mortgage Funding Trust Series 2-2008:

AUD127.1m Class A-2 (ISIN AU3FN0007050) affirmed at 'AAAsf'; Outlook Stable;

AUD39m Class AB (ISIN AU3FN0007068) affirmed at 'AAAsf'; Outlook Stable;

AUD13.8m Class B-1 (ISIN AU3FN0007076) affirmed at 'AAsf'; Outlook Stable; and

AUD5.5m Class B-2 (ISIN AU3FN0007084) affirmed at 'BBsf'; Outlook Stable.

FirstMac Mortgage Funding Trust Series 1-2009:

AUD182.1 m Class A-3 (ISIN AU3FN0008413) affirmed at 'AAAsf'; Outlook Stable;

AUD40.6m Class AB (ISIN AU3FN0008421) affirmed at 'AAAsf'; Outlook Stable;

AUD11.5m Class B-1 (ISIN AU3FN0008439) affirmed at 'AAsf'; Outlook Stable; and

AUD6.3m Class B-2 (ISIN AU3FN0008447) affirmed at 'BBsf'; Outlook Stable.

FirstMac Mortgage Funding Trust Series 2-2009:

AUD215.2m Class A-2 (ISIN AU3FN0009494) affirmed at 'AAAsf'; Outlook Stable;

AUD19.7m Class AB (ISIN AU3FN0009502) affirmed at 'AAAsf'; Outlook Stable; and

AUD16m Class B-1 (ISINAU3FN0009510) affirmed at 'BBBsf'; Outlook Stable.

FirstMac Mortgage Funding Trust Series 1-2010:

AUD44.2m Class A-2 (ISIN AU3FN0011433) affirmed at 'AAAsf'; Outlook Stable;

AUD173.7m Class A-3 (ISIN AU3FN0011441) affirmed at 'AAAsf'; Outlook Stable; and

AUD28.8m Class AB (ISIN AU3FN0011458) affirmed at 'AAAsf'; Outlook Stable.

Class A-1 was paid in full in June 2013

FirstMac Mortgage Funding Trust Series 2-2011:

AUD114.8m Class A-2 (ISIN AU3FN0014775) affirmed at 'AAAsf'; Outlook Stable;

AUD87.7m Class A-3 (ISIN AU3FN0014783) affirmed at 'AAAsf'; Outlook Stable;

AUD7.4m Class A-4 (ISIN AU3FN0014817) affirmed at 'AAAsf'; Outlook Stable; and

AUD11.7m Class AB (ISIN AU3FN0014791) affirmed at 'AAAsf'; Outlook Stable.

FirstMac Mortgage Funding Trust Series 1-2012:

AUD80m Class A-1 (ISIN AU3FN0016127) affirmed at 'AAAsf'; Outlook Stable;

AUD131.1m Class A-2 (ISIN AU3FN0016135) affirmed at 'AAAsf'; Outlook Stable; and

AUD13.4m Class AB (ISIN AU3FN0016143) affirmed at 'AAAsf'; Outlook Stable.

FirstMac Mortgage Funding Trust RMBS Series 3-2012:

AUD250.4m Class A-1 (ISIN AU3FN0017570) affirmed at 'AAAsf'; Outlook Stable;

AUD73m Class A-2 (ISIN AU3CB0203313) affirmed at 'AAAsf'; Outlook Stable; and

AUD18.5m Class AB (ISIN AU3FN0017588) affirmed at 'AAAsf'; Outlook Stable.

FirstMac Mortgage Funding Trust Series 1E-2013:

AUD252.6m Class A-1 (ISIN AU3FN0019436) affirmed at 'AAAsf'; Outlook Stable;

GBP92m Class A-2 (ISIN XS0942504639) affirmed at 'AAAsf'; Outlook Stable; and

AUD22m Class AB (ISIN AU3FN0019279) affirmed at 'AAAsf'; Outlook Stable.

FirstMac Mortgage Funding Trust Series 2E-2013:

AUD197.7m Class A-1 (ISIN AU3FN0020939) affirmed at 'AAAsf'; Outlook Stable; and

GBP85m Class A-2 (ISIN XS0993136174) affirmed at 'AAAsf'; Outlook Stable.

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 given under Related Research below.

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