December 1, 2017 / 7:38 AM / 16 days ago

Fitch Upgrades Four, Affirms 33 Medallion RMBS Tranches; Outlook Stable

(The following statement was released by the rating agency) SYDNEY, December 01 (Fitch) Fitch Ratings has upgraded four and affirmed 33 tranches from 14 Medallion Trust Series RMBS transactions. The transactions are securitisations of first-ranking Australian residential mortgages originated by Commonwealth Bank of Australia (CBA, AA-/Stable/F1+) and Homepath Limited, CBA's wholly owned subsidiary that originates home loans online. A full list of rating action is at the end of this commentary. KEY RATING DRIVERS The upgrade of the class B notes from Medallion Trust Series 2015-1, Medallion Trust Series 2015-2, Medallion Trust Series 2016-1 and Medallion Trust Series 2016-2 reflect the build-up of sufficient credit support to achieve higher ratings. The affirmations reflect Fitch's view that available credit enhancement is sufficient to support the notes' current ratings and the agency's expectations of Australian economic conditions. The credit quality and performance of loans in the collateral pools remain strong. The default model was not re-run for Medallion Trust Series 2011-1, Medallion Trust Series 2012-1, Medallion Trust Series 2013-1, Medallion Trust Series 2013-2, Medallion Trust Series 2014-1, Medallion Trust Series 2014-1P, Medallion Trust Series 2014-2 or Medallion Trust Series 2017-1, as the outstanding ratings are only 'AAAsf'; the transactions do not have revolving periods; and a review of pre-determined performance triggers indicates the transactions displays stable asset performance. Six transactions had 30+ days arrears above Fitch's 30+ days Dinkum Index (3Q17: 1.02%) at end-September 2017. Medallion Trust Series 2013-2 showed the highest level of arrears, at 1.67%, while Medallion Trust Series 2017-1P recorded the lowest level, at 0.11%. Losses across the pools for the transactions have been low. Medallion Trust Series 2008-1R has a 10-year revolving period ending in May 2026. Fitch is comfortable with the long revolving period because portfolio stratifications and CBA's product mix have not changed significantly since issuance and the portfolio is performing as Fitch expected. RATING SENSITIVITIES Fitch does not expect the ratings to be affected by any foreseeable change in performance. The prospect of downgrade is remote in light of the subordination level to all rated notes, pool performance, Fitch's economic outlook and adequate excess spread. The class B notes of Medallion 2015-1, Medallion 2015-2, Medallion 2016-1 and Medallion 2016-2 are lenders' mortgage insurance (LMI) dependent and therefore are sensitive to downgrades in the LMI providers' ratings. The remaining ratings are independent of downgrades in the LMI providers' ratings. Where models were run, Fitch conducted sensitivity analysis by stressing the transaction's base-case assumptions. The results of rating sensitivity testing, excluding credit to excess spread, are shown below. Fitch also undertakes defined sensitivity testing to show the model-implied sensitivities the transaction faces when recovery rate assumption stresses are increased to a level that is required to reduce note rating by one full category, to non-investment grade and to 'CCCsf'. Medallion Trust Series 2015-1 Class A1/Class B Rating AAAsf/AAAsf Rating sensitivity to increase in default rates: Increase foreclosure stress by 15%: AAAsf/AAAsf Increase foreclosure stress by 30%: AAAsf/AAAsf Rating sensitivity to decreased recovery rates: Reduce recoveries by 15%: AAAsf/AAAsf Reduce recoveries by 30%: AAAsf/AAAsf Rating sensitivity to increased foreclosure and decreased recovery rates: Increase foreclosure stress by 15% and reduce recoveries by 15%: AAAsf/AAAsf Increase foreclosure stress by 30% and reduce recoveries by 30%: AAAsf/AAsf Decrease in recovery rate required to: Reduce the rating by one full category: 71%/35% Reduce the rating to non-investment grade: Not possible, even if recovery rate is reduced to 0%/ Not possible, even if recovery rate is reduced to 0% Reduce the rating to 'CCCsf': Not possible, even if recovery rate is reduced to 0%/ Not possible, even if recovery rate is reduced to 0% Medallion Trust Series 2015-2 Class A1/Class B Rating AAAsf/AAAsf Rating sensitivity to increase in default rates: Increase foreclosure stress by 15%: AAAsf/AAAsf Increase foreclosure stress by 30%: AAAsf/AAAsf Rating sensitivity to decreased recovery rates: Reduce recoveries by 15%: AAAsf/AAAsf Reduce recoveries by 30%: AAAsf/AAAsf Rating sensitivity to increased foreclosure and decreased recovery rates: Increase foreclosure stress by 15% and reduce recoveries by 15%: AAAsf/AAAsf Increase foreclosure stress by 30% and reduce recoveries by 30%: AAAsf/AAsf Decrease in recovery rate required to: Reduce the rating by one full category: 73%/34% Reduce the rating to non-investment grade: Not possible, even if recovery rate is reduced to 0%/ Not possible, even if recovery rate is reduced to 0% Reduce the rating to 'CCCsf': Not possible, even if recovery rate is reduced to 0%/ Not possible, even if recovery rate is reduced to 0% Medallion Trust Series 2016-1 Class A1a/Class B Rating AAAsf/AAAsf Rating sensitivity to increase in default rates: Increase foreclosure stress by 15%: AAAsf/AAAsf Increase foreclosure stress by 30%: AAAsf/AA+sf Rating sensitivity to decreased recovery rates: Reduce recoveries by 15%: AAAsf/AAAsf Reduce recoveries by 30%: AAAsf/AAsf Rating sensitivity to increased foreclosure and decreased recovery rates: Increase foreclosure stress by 15% and reduce recoveries by 15%: AAAsf/AA+sf Increase foreclosure stress by 30% and reduce recoveries by 30%: AAAsf/A+sf Decrease in recovery rate required to: Reduce the rating by one full category: 63%/17% Reduce the rating to non-investment grade: Not possible, even if recovery rate is reduced to 0%/97% Reduce the rating to 'CCCsf': Not possible, even if recovery rate is reduced to 0%/ Not possible, even if recovery rate is reduced to 0% Medallion Trust Series 2016-2 Class A1a/Class B Rating AAAsf/AAAsf Rating sensitivity to increase in default rates: Increase foreclosure stress by 15%: AAAsf/AAAsf Increase foreclosure stress by 30%: AAAsf/AA+sf Rating sensitivity to decreased recovery rates: Reduce recoveries by 15%: AAAsf/AA+sf Reduce recoveries by 30%: AAAsf/AAsf Rating sensitivity to increased foreclosure and decreased recovery rates: Increase foreclosure stress by 15% and reduce recoveries by 15%: AAAsf/AAsf Increase foreclosure stress by 30% and reduce recoveries by 30%: AAAsf/A+sf Decrease in recovery rate required to: Reduce the rating by one full category: 57%/11% Reduce the rating to non-investment grade: Not possible, even if recovery rate is reduced to 0%/99% Reduce the rating to 'CCCsf': Not possible, even if recovery rate is reduced to 0%/ Not possible, even if recovery rate is reduced to 0% USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third-party assessment of the asset portfolio as part of its ongoing monitoring. As part of its ongoing monitoring, Fitch reviewed a small targeted sample of CBA's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio. Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. SOURCES OF INFORMATION The information below was used in the analysis: Loan-by-loan data provided by CBA as at 30 September 2017 Transaction reporting data provided by CBA as at 30 September 2017 Loan enforcement details provided by CBA as at 30 September 2017 The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is public. The full list of rating action is shown below, with note balances as of the October 2017 payment date. Medallion Trust Series 2008-1R (November 2017 payment date) AUD40,000.0 million Class A (ISIN AU3FN0005617) notes affirmed at 'AAAsf'; Outlook Stable; and AUD2,975.0 million Class B notes affirmed at 'AAsf'; Outlook Stable. Medallion Trust Series 2011-1: AUD46.5 million Class A1 (ISIN AU3FN0012944) notes affirmed at 'AAAsf'; Outlook Stable; AUD525.0 million Class A2-R (ISIN AU3FN0030771) notes affirmed at 'AAAsf'; Outlook Stable; AUD26.3 million Class AB (ISIN AU3FN0012951) notes affirmed at 'AAAsf'; Outlook Stable; and AUD13.1 million Class AC (ISIN AU3FN0012969) notes affirmed at 'AAAsf'; Outlook Stable. Medallion Trust Series 2012-1: AUD254.3 million Class A (ISIN AU3FN0016176) notes affirmed at 'AAAsf'; Outlook Stable; and AUD28.8 million Class B (ISIN AU3FN0016184) notes affirmed at 'AAAsf'; Outlook Stable. Medallion Trust Series 2013-1: AUD103.4 million Class A1 (ISIN AU3FN0018024) notes affirmed at 'AAAsf'; Outlook Stable; AUD299.0 million Class A2 (ISIN AU3FN0018032) notes affirmed at 'AAAsf'; Outlook Stable; AUD250.0 million Class A3 (ISIN AU3CB0205789) notes affirmed at 'AAAsf'; Outlook Stable; and AUD76.7 million Class B (ISIN AU3FN0018040) notes affirmed at 'AAAsf'; Outlook Stable. Medallion Trust Series 2013-2: AUD386.3 million Class A1 (ISIN AU3FN0019972) notes affirmed at 'AAAsf'; Outlook Stable; AUD171.2 million Class A2 (ISIN AU3FN0019980) notes affirmed at 'AAAsf'; Outlook Stable; AUD400.0 million Class A3 (ISIN AU3CB0212702) notes affirmed at 'AAAsf'; Outlook Stable; and AUD127.2 million Class B (ISIN AU3FN0019998) notes affirmed at 'AAAsf'; Outlook Stable. Medallion Trust Series 2014-1: AUD320.6 million Class A1 (ISIN AU3FN0022109) notes affirmed at 'AAAsf'; Outlook Stable; AUD222.7 million Class A2 (ISIN AU3FN0022117) notes affirmed at 'AAAsf'; Outlook Stable; AUD300.0 million Class A3 (ISIN AU3CB0218733) notes affirmed at 'AAAsf'; Outlook Stable; AUD0.0 million Class A3-R notes affirmed at 'AAAsf'; Outlook Stable; and AUD115.3 million Class B (ISIN AU3FN0022208) notes affirmed at 'AAAsf'; Outlook Stable. Medallion Trust Series 2014-1P: AUD186.2 million Class A1 (ISIN AU3FN0023081) notes affirmed at 'AAAsf'; Outlook Stable, and AUD24.7 million Class B (ISIN AU3FN0023099) notes affirmed at 'AAAsf'; Outlook Stable. Medallion Trust Series 2014-2: AUD1,514.7 million Class A1 (ISIN AU3FN0024501) notes affirmed at 'AAAsf'; Outlook Stable, and AUD210.2 million Class B (ISIN AU3FN0024519) notes affirmed at 'AAAsf'; Outlook Stable. Medallion Trust Series 2015-1: AUD939.6 million Class A1 (ISIN AU3FN0026464) notes affirmed at 'AAAsf'; Outlook Stable, and AUD120.0 million Class B (ISIN AU3FN0026472) notes upgraded to 'AAAsf', from 'AAsf'; Outlook Stable. Medallion Trust Series 2015-2: AUD1,029.4 million Class A1 (ISIN AU3FN0028726) notes affirmed at 'AAAsf'; Outlook Stable, and AUD120.0 million Class B (ISIN AU3FN0028734) notes upgraded to 'AAAsf', from 'AAsf'; Outlook Stable. Medallion Trust Series 2016-1: AUD957.1 million Class A1a (ISIN AU3FN0030417) notes affirmed at 'AAAsf'; Outlook Stable, and AUD94.5 million Class B (ISIN AU3FN0030433) notes upgraded to 'AAAsf', from 'A+sf'; Outlook Stable. Medallion Trust Series 2016-2: AUD1,500.5 million Class A1a (ISIN AU3FN0032272) notes affirmed at 'AAAsf'; Outlook Stable, and AUD120.0 million Class B (ISIN AU3FN0032298) notes upgraded to 'AAAsf', from 'AAsf'; Outlook Stable. Medallion Trust Series 2017-1: AUD2,024.3 million Class A1 (ISIN AU3FN0035960) notes affirmed at 'AAAsf'; Outlook Stable, and AUD93.6 million Class A2 (ISIN AU3FN0035978) notes affirmed at 'AAAsf'; Outlook Stable. Medallion Trust Series 2017-1P: AUD657.1 million Class A notes affirmed at 'AAAsf'; Outlook Stable, and AUD48.9 million Class B notes affirmed at 'Asf'; Outlook Stable. Contacts: Lead Surveillance Analyst Hai Duong Le Associate Director +61 2 8256 0358 Fitch Australia Pty Ltd Level 15, 77 King St, Sydney NSW 2000 Australia Committee Chairperson Natasha Vojvodic Senior Director +61 2 8256 0350 Media Relations: Leslie Tan, Singapore, Tel: +65 67 96 7234, Email: leslie.tan@fitchratings.com. Additional information is available on www.fitchratings.com Applicable Criteria APAC Residential Mortgage Rating Criteria (pub. 14 Jul 2017) here Fitch's Interest Rate Stress Assumptions for Structured Finance and Covered Bonds - Excel File (pub. 17 Feb 2017) here Global Structured Finance Rating Criteria (pub. 03 May 2017) here RMBS Lenders’ Mortgage Insurance Rating Criteria (pub. 09 Jun 2017) here Structured Finance and Covered Bonds Counterparty Rating Criteria (pub. 23 May 2017) here Structured Finance and Covered Bonds Counterparty Rating Criteria: Derivative Addendum (pub. 23 May 2017) here Structured Finance and Covered Bonds Interest Rate Stresses Rating Criteria (pub. 17 Feb 2017) here Additional Disclosures Dodd-Frank Rating Information Disclosure Form here Solicitation Status here#solicitation Endorsement Policy here ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: here. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEB SITE AT WWW.FITCHRATINGS.COM. PUBLISHED RATINGS, CRITERIA, AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE, AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE CODE OF CONDUCT SECTION OF THIS SITE. DIRECTORS AND SHAREHOLDERS RELEVANT INTERESTS ARE AVAILABLE here. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE. Copyright © 2017 by Fitch Ratings, Inc., Fitch Ratings Ltd. and its subsidiaries. 33 Whitehall Street, NY, NY 10004. Telephone: 1-800-753-4824, (212) 908-0500. Fax: (212) 480-4435. Reproduction or retransmission in whole or in part is prohibited except by permission. All rights reserved. In issuing and maintaining its ratings and in making other reports (including forecast information), Fitch relies on factual information it receives from issuers and underwriters and from other sources Fitch believes to be credible. Fitch conducts a reasonable investigation of the factual information relied upon by it in accordance with its ratings methodology, and obtains reasonable verification of that information from independent sources, to the extent such sources are available for a given security or in a given jurisdiction. The manner of Fitch’s factual investigation and the scope of the third-party verification it obtains will vary depending on the nature of the rated security and its issuer, the requirements and practices in the jurisdiction in which the rated security is offered and sold and/or the issuer is located, the availability and nature of relevant public information, access to the management of the issuer and its advisers, the availability of pre-existing third-party verifications such as audit reports, agreed-upon procedures letters, appraisals, actuarial reports, engineering reports, legal opinions and other reports provided by third parties, the availability of independent and competent third- party verification sources with respect to the particular security or in the particular jurisdiction of the issuer, and a variety of other factors. Users of Fitch’s ratings and reports should understand that neither an enhanced factual investigation nor any third-party verification can ensure that all of the information Fitch relies on in connection with a rating or a report will be accurate and complete. Ultimately, the issuer and its advisers are responsible for the accuracy of the information they provide to Fitch and to the market in offering documents and other reports. In issuing its ratings and its reports, Fitch must rely on the work of experts, including independent auditors with respect to financial statements and attorneys with respect to legal and tax matters. Further, ratings and forecasts of financial and other information are inherently forward-looking and embody assumptions and predictions about future events that by their nature cannot be verified as facts. As a result, despite any verification of current facts, ratings and forecasts can be affected by future events or conditions that were not anticipated at the time a rating or forecast was issued or affirmed. The information in this report is provided “as is” without any representation or warranty of any kind, and Fitch does not represent or warrant that the report or any of its contents will meet any of the requirements of a recipient of the report. A Fitch rating is an opinion as to the creditworthiness of a security. This opinion and reports made by Fitch are based on established criteria and methodologies that Fitch is continuously evaluating and updating. Therefore, ratings and reports are the collective work product of Fitch and no individual, or group of individuals, is solely responsible for a rating or a report. The rating does not address the risk of loss due to risks other than credit risk, unless such risk is specifically mentioned. Fitch is not engaged in the offer or sale of any security. All Fitch reports have shared authorship. Individuals identified in a Fitch report were involved in, but are not solely responsible for, the opinions stated therein. The individuals are named for contact purposes only. A report providing a Fitch rating is neither a prospectus nor a substitute for the information assembled, verified and presented to investors by the issuer and its agents in connection with the sale of the securities. Ratings may be changed or withdrawn at any time for any reason in the sole discretion of Fitch. Fitch does not provide investment advice of any sort. Ratings are not a recommendation to buy, sell, or hold any security. Ratings do not comment on the adequacy of market price, the suitability of any security for a particular investor, or the tax-exempt nature or taxability of payments made in respect to any security. Fitch receives fees from issuers, insurers, guarantors, other obligors, and underwriters for rating securities. Such fees generally vary from US$1,000 to US$750,000 (or the applicable currency equivalent) per issue. In certain cases, Fitch will rate all or a number of issues issued by a particular issuer, or insured or guaranteed by a particular insurer or guarantor, for a single annual fee. Such fees are expected to vary from US$10,000 to US$1,500,000 (or the applicable currency equivalent). The assignment, publication, or dissemination of a rating by Fitch shall not constitute a consent by Fitch to use its name as an expert in connection with any registration statement filed under the United States securities laws, the Financial Services and Markets Act of 2000 of the United Kingdom, or the securities laws of any particular jurisdiction. Due to the relative efficiency of electronic publishing and distribution, Fitch research may be available to electronic subscribers up to three days earlier than to print subscribers. For Australia, New Zealand, Taiwan and South Korea only: Fitch Australia Pty Ltd holds an Australian financial services license (AFS license no. 337123) which authorizes it to provide credit ratings to wholesale clients only. Credit ratings information published by Fitch is not intended to be used by persons who are retail clients within the meaning of the Corporations Act 2001

0 : 0
  • narrow-browser-and-phone
  • medium-browser-and-portrait-tablet
  • landscape-tablet
  • medium-wide-browser
  • wide-browser-and-larger
  • medium-browser-and-landscape-tablet
  • medium-wide-browser-and-larger
  • above-phone
  • portrait-tablet-and-above
  • above-portrait-tablet
  • landscape-tablet-and-above
  • landscape-tablet-and-medium-wide-browser
  • portrait-tablet-and-below
  • landscape-tablet-and-below