(Repeat for additional subscribers)
April 9 (The following statement was released by the rating agency)
Fitch Ratings has affirmed the ratings of three National RMBS Trust Series transactions, affirming seven tranches and upgrading one. The transactions are securitisations of first-ranking Australian residential mortgages originated by Advantedge Financial Services Pty Limited and Challenger Mortgage Management Pty Limited: National 2011-1 and National 2012-2; and National Australia Bank Limited (NAB, AA-/Stable/F1+): National 2011-2.
National RMBS Trust 2011-1 (National 2011-1):
UD247.8m Class A1 (ISIN AU0000NAHA8) affirmed at 'AAAsf'; Outlook Stable;
AUD210.0m Class A2 (ISIN AU0000NAFB6) affirmed at 'AAAsf'; Outlook Stable; and
AUD27.1m Class B (ISIN AU3FN0013272) affirmed at 'AAAsf'; Outlook Stable.
National RMBS Trust 2011-2 (National 2011-2):
AUD330.1m Class A1-R (ISIN AU0000NAOHC6) affirmed at 'AAAsf'; Outlook Stable;
AUD364.0m Class A2 (ISIN AU0000NABHD1) affirmed at 'AAAsf'; Outlook Stable; and
AUD75.0m Class B (ISIN AU3FN0014221) upgraded to 'A+sf' from 'Asf'; Outlook Stable.
National RMBS Trust 2012-2 (National 2012-2):
AUD540.7m Class A1 (ISIN AU0000NAHHA4) affirmed at 'AAAsf'; Outlook Stable; and
GBP85.0m Class A2 (ISIN XS0864194591) affirmed at 'AAAsf'; Outlook Stable.
KEY RATING DRIVERS
The Class B notes of National 2011-2 were upgraded due to a build-up of credit enhancement for the note sufficient to achieve a rating of 'A+sf'. The affirmations reflect Fitch's view that available credit enhancement is sufficient to support the notes' current ratings, and the agency's expectations of Australia's economic conditions. The credit quality and performance of the loans in the collateral pools have remained in line with Fitch's expectations. Arrears levels across the three transactions have been low since issuance. As at February 2014, National 2011-1 had the highest proportion of 30+ days arrears at 0.58%, but still below Fitch's 4Q13 Dinkum Index of 1.21%. National 2011-2 and National 2012-2 each recorded 30+ days arrears levels of 0.4%.
A single loss of AUD58,542 was recorded for National 2011-1, which was fully paid for by lenders' mortgage insurance (LMI). No losses had been experienced on the other transactions.
The Fitch-calculated weighted average loan-to-value ratio of the pools ranged between 51.8% in National 2011-2 and 63.2% in National 2011-1, which reduced to 51% and 61.1% after indexation was applied.
LMI covered 56.4% of the National 2011-1 pool as at February 2014, comprising 31% by QBE Lenders Mortgage Insurance Limited (QBE LMI, AA-/Stable), 20% by Genworth Financial Mortgage Insurance Pty Limited, and 5% by Royal & Sun Alliance Insurance Plc. In the case of National 2011-2 and National 2012-2, LMI coverage was 15% and 21% respectively.
Credit enhancement has continued to build across the transactions due to initial sequential amortization. As a result, unexpected increases in delinquencies, defaults and losses would be necessary before any negative rating action were considered. All notes' credit enhancement levels can support multiples of the arrears levels reported in the latest investor reports.
All of the ratings are independent of LMI and therefore not sensitive to downgrades to the LMI providers' ratings.
Fitch's initial key rating drivers and rating sensitivities are further discussed in the corresponding New Issue reports listed under "Related Research".
A comparison of the transactions' representations, warranties and enforcement mechanisms (RW&Es) to those of typical RW&Es for this asset class is also available by accessing the reports and/or links given under Related Research below.
Individual representations, warranties, and enforcement mechanisms reports are available for all structured finance transactions initially rated on or after 26 September 2011 at www.fitchratings.com.