Feb 28 - Fitch Ratings has affirmed the Class A notes
issued by Korea ACE Mortgage Company (Korea ACE) as listed below. Korea ACE is a
RMBS securitisation backed by South Korean residential mortgages originated by
Citibank Korea Inc. (A-/Stable/F1).
USD48,960,234 Class A floating-rate secured notes due 2038 affirmed at 'AAAsf';
Key Rating Drivers
The affirmation reflects higher credit enhancement (CE) at 40% compared with the
CE at closing of 12.5% and satisfactory collateral performance. Fitch expects
continued amortisation of the portfolio to further bolster CE, supporting the
The agency also expects moderate GDP growth and stable employment in South
Korea, which should continue to support households' mortgage payments despite
high household leverage. In Fitch's view, the low loan-to-value (LTV) ratio of
Korea ACE's portfolio should provide incentives for borrowers to continue
servicing mortgage payments.
Delinquency and foreclosure rates in Korea ACE remain low and well within
Fitch's expectations. The three-month average delinquent mortgage loan ratio,
defined as loans between 60-89 days past due, decreased to 0% at end-January
2013 from 0.07% at end-February 2012, well below the transaction's trigger at
2.75%. Loans under foreclosure were also minimal at 0.06% of the pool balance at
end-January 2013. There have been no losses resulting from defaults due to the
generally low LTV ratio which supported full recoveries.
The outstanding portfolio balance has amortised to 21.5% of the initial
portfolio balance according to the servicer report for December 2012.
In Fitch's rating sensitivity analysis, the likelihood of a downgrade is remote,
based on transaction performance. Assuming a Fitch weighted average 'AAAsf' loss
severity of 35.2%, the 'AAAsf' rating may face downgrade pressure if, for
example, the default rate increased to above approximately 81%.