May 15, 2014 / 7:37 AM / 3 years ago

RPT-Fitch Assigns Final Ratings to National RMBS Trust 2011-1 Class A2-R

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May 15 (Reuters) - (The following statement was released by the rating agency)

Fitch Ratings has assigned final ratings and outlooks to National RMBS Trust 2011-1's Class A2-R mortgage-backed floating-rate notes. The ratings are as follows:

AUD210.0m Class A2-R notes: 'AAAsf'; Outlook Stable.

The notes are issued by Perpetual Trustees Victoria Limited in its capacity as trustee of the National RMBS Trust 2011-1. The transaction is a legally distinct trust established pursuant to a master trust deed.

Key Rating Drivers

The 'AAAsf' rating assigned to the Class A2-R notes is supported by: the credit enhancement provided by the subordinate Class B and C notes; the lender's mortgage insurance (LMI) policies; the liquidity facility which is equivalent to 1.7% of the total principal outstanding amount of the collateral; as well as the mortgage underwriting and servicing capabilities of Advantedge Financial Services Pty Limited and Challenger Mortgage Management Pty Limited.

The transaction continues to perform in line with Fitch's expectations at origination, and has paid down since issuance from AUD1bn to approximately AUD495m. All remaining notes were affirmed on 9 April 2014. Balances as at 15 April 2014 are as follows:

AUD225.3m Class A1 notes: 'AAAsf'; Outlook Stable;

AUD210.0m Class A2 notes: 'AAAsf'; Outlook Stable;

AUD25.8m Class B notes: 'Asf'; Outlook Stable; and

AUD34.4m Class C notes: Not Rated.

The Class A2 notes will be repaid with the Class A2-R issuance proceeds.

Rating Sensitivities

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

Fitch's initial rating drivers and rating sensitivities analysis are discussed in the new issue report entitled "National RMBS Trust 2011-1", dated 1 June 2011 available on www.fitchratings.com. Included as an appendix to the report are a description of the representations, warranties, and enforcement mechanisms.

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