(The following was released by the rating agency)
Link to Fitch Ratings’ Report: Series 2012-1E REDS Trust
SYDNEY, November 22 (Fitch) Fitch Ratings has assigned Series 2012-1E REDS Trust final ratings as listed below. The transaction is a securitisation of first-ranking Australian residential, full-documentation, mortgage loans originated by the Bank of Queensland (BoQ, ‘BBB+'/Stable/‘F2’) and due May 2044.
AUD730m Class A1 notes: ‘AAAsf’; Outlook Stable
AUD50m Class A2A notes: ‘AAAsf’; Outlook Stable
GBP100m Class A2S notes: ‘AAAsf’; Outlook Stable
AUD45.1m Class AB notes: ‘AAAsf’; Outlook Stable
AUD20.1m Class B notes: ‘AA-sf’; Outlook Stable
AUD5m Class C notes: not rated
The notes were issued by Perpetual Trustee Company Limited in its capacity as trustee of the series.
At the cut-off date, the total collateral pool consisted of 4,560 loans totalling approximately AUD1,003m. The weighted average current loan-to-value ratio was 52.0%, and the weighted average seasoning was 30 months. The pool is made up of all fully verified documentation loans. Investment loans comprise 29.9% of the pool and owner-occupied borrower loans make up the remainder. Fixed-rate mortgages represent 9.8% of the pool. All loans are covered by lenders’ mortgage insurance provided by QBE Lenders Mortgage Insurance Pty Limited (97.3%) and Genworth Financial Mortgage Insurance Pty Ltd (2.7%). The pool has geographic concentration, with 59.9% of borrowers located in Queensland. Fitch has incorporated all the above factors in its credit analysis of the transaction.
The ‘AAAsf’ rating with Stable Outlook assigned to the Class A1 and A2 notes is based on the 7% credit enhancement provided by the subordinate class AB, B and C notes. The rating also reflects the liquidity facility provided by the National Australia Bank, which is equivalent to 1.8% of the outstanding principal balance of all performing loans, the lenders’ mortgage insurance; the excess spread reserve and the conditions associated with trapping of excess spread. It further takes into account the payment priority of the subordinated class C notes coupon; step-up cross-currency swap payments; interest rate arrangements the trustee has entered into; and BoQ’s mortgage underwriting and servicing capabilities.
The ‘AAAsf’ and ‘AA-sf’ rating with Stable Outlook assigned to the class AB and B notes respectively are based on all the strengths supporting the class A notes except their credit enhancement levels.
Fitch’s stress and rating sensitivity analysis is discussed in the corresponding new issue report entitled “Series 2012-1E REDS Trust”, published today. Included as an appendix to the report are a description of the representations, warranties, and enforcement mechanisms