(Repeat for additional subscribers)
June 26 (The following statement was released by the rating agency)
Fitch Ratings has assigned final ratings and Outlooks to
Firstmac Mortgage Funding Trust No. 4 Series 1A-2014's mortgage-backed
floating-rate notes. The issuance consists of notes backed by Australian prime
residential mortgages originated by Firstmac nominee originators. The ratings
are as follows:
AUD340.00m Class A-1 notes: 'AAAsf'; Outlook Stable
USD 270.00m Class A-2A notes: 'F1+sf'
AUD0.00m Class A-2R notes: 'AAAsf'; Outlook Stable
AUD37.50m Class A-3 notes: 'AAAsf'; Outlook Stable
AUD45.75m Class AB notes: NR
AUD22.50m Class B-1 notes: NR
AUD3.75m Class B-2 notes: NR
AUD3.0m Class B-3 notes: NR
The notes, due September 2045, have been issued by Firstmac Fiduciary Services
Pty Ltd in its capacity as trustee of Firstmac Mortgage Funding Trust No. 4
At the cut-off date, 30 April 2014, the total collateral pool consisted of 3,291
loans to 2,537 borrowers totaling approximately AUD744.1m.
KEY RATING DRIVERS
Key Pool Characteristics: The weighted-average (WA) seasoning of the portfolio
is 26.5 months with an average current loan/value ratio (LVR) of 67.0% (indexed
LVR is 64.4%). The transaction has a proportion of loans that are interest only
(44.5%), and investment loans make up 37.9% of the pool by balance. Lenders'
mortgage insurance (LMI) is present on 62.0% of the pool, which differs from
prior Firstmac RMBS transactions where all loans had LMI present.
Short-Term Note: The transaction includes a US dollar short-term bullet note
(class A-2A) that will be refinanced via the issuance of class A-2B short-term
notes in either Australian or US dollars. If refinancing is not available for
the class A-2A notes or the class A-2B notes, then either class of notes will be
refinanced from a combination of funds collected in a deposit account and a
redemption facility provided by National Australia Bank Limited (NAB,
AA-/Stable/F1+), creating a rating link to NAB.
Excess Spread Trap: The transaction benefits from a spread reserve account
funded by excess income that is available to cover both liquidity shortfalls and
Stable Performance to Date: Firstmac's loan book is currently revealing 30+ days
arrears of 0.8% as of March 2014. This is below Fitch's current Dinkum Index of
1.2% for prime RMBS arrears. Firstmac's arrears have tracked at or below the
Dinkum Index for prime RMBS in recent years.
Unexpected decreases in residential property values, 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 potentially
negative rating actions on the notes. Fitch has evaluated the sensitivity of the
ratings assigned to Firstmac Mortgage Funding Trust No. 4 Series 1A-2014 to
increased defaults and decreased recovery rates over the life of the
The analysis found that the Class A-1, A-2A, A-2R and A-3 notes' ratings
remained stable under each of Fitch's medium and severe default and recovery
scenarios (15% or 30% increase in defaults and 15% or 30% decrease in recovery
rates). In a medium combined stress scenario, ratings also remained stable,
while under a severe combined stress scenario, Class A-1 and A-2R notes' ratings
were negatively impacted by one notch to 'AA+sf' and Class A-3 notes' ratings
were negatively impacted by two notches to AAsf .
Key Rating Drivers and Rating Sensitivities are further discussed in the
corresponding new issue report entitled "Firstmac Mortgage Funding Trust No. 4
Series 1A-2014", published today. Included as an appendix to the report are a
description of the representations, warranties, and enforcement mechanisms.