June 29, 2017 / 8:05 AM / 3 months ago

Fitch Affirms Three Pinnacle RMBS Series

(The following statement was released by the rating agency) SYDNEY, June 29 (Fitch) Fitch Ratings has affirmed four classes of notes from three Pinnacle series. The transactions are securitisations of Australian conforming residential mortgages originated by Police & Nurses Limited, trading as P&N Bank. A full list of rating actions follows at the end of this commentary. KEY RATING DRIVERS The affirmations reflect Fitch's view that available credit enhancement supports the notes' current ratings, the agency's expectations of Australia's economic conditions, and that the credit quality and performance of the loans in the collateral pools remain within the agency's expectations. All transactions, except Pinnacle Series Trust 2014-SST, had arrears above Fitch's 4Q16 Dinkum RMBS Index at end-April 2017, although there has only been one loss from Pinnacle Series Trust 2010-T1. The Pinnacle Series Trust 2013-T1 and Pinnacle 2014-SST transactions have not experienced any losses since closing. All three pools are highly concentrated in Western Australia, with more than 90% of mortgages in the portfolio secured over properties in the state. The default model was not re-run for Pinnacle 2010-T1 and Pinnacle 2013-T1, as the outstanding ratings are only 'AAAsf'; the transactions do not have a revolving period; and a review of pre-determined performance triggers indicates the transactions display stable asset performance. Pinnacle 2014-SST has a 10-year revolving period, of which less than seven years remain. Fitch believes the risks associated with the long revolving period are commensurate with the ratings because the transaction has portfolio parameters, the portfolio stratifications have not changed significantly since initial issue and the portfolio is performing as expected. RATING SENSITIVITIES The ratings are not expected to be affected by any foreseeable change in performance. The transactions are currently amortising pro rata. They will then move back to sequential amortisation at call, mitigating tail risk. The notes' ratings are independent of lenders' mortgage insurance (LMI) and are therefore not sensitive to downgrades of the LMI providers' ratings. 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 P&N Bank'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 for Pinnacle 2014-SST provided by P&N Bank as at end-May 17 Transaction reporting data provided by P&N Bank as at end-April 2017 Loan enforcement details provided by P&N Bank as at end-April 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 actions is shown below: Pinnacle Series Trust 2010-T1 (as at the May 2017 payment date): AUD33.4 million Class A2 (ISIN AU3FN0012274) affirmed at 'AAAsf'; Outlook Stable AUD4.4 million Class AB (ISIN AU3FN0012282) affirmed at 'AAAsf'; Outlook Stable Pinnacle Series Trust 2013-T1 (as at the May 2017 payment date): AUD72.1 million Class A (ISIN AU3FN0020624) affirmed at 'AAAsf'; Outlook Stable Pinnacle Series Trust 2014-SST (as at the June 2017 payment date): AUD740 million Class A (ISIN AU3FN0022190) affirmed at 'AAAsf'; 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 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. 27 Apr 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 Related Research Pinnacle Series Trust 2010-T1 here Pinnacle Series Trust 2013-T1 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. 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