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Fitch Affirms Three SWAN Trust RMBS Transactions at 'AAAsf'/Stable
May 8, 2017 / 2:11 AM / 3 months ago

Fitch Affirms Three SWAN Trust RMBS Transactions at 'AAAsf'/Stable

(The following statement was released by the rating agency) SYDNEY, May 07 (Fitch) Fitch Ratings has affirmed the ratings of seven classes from three SWAN Trust RMBS transactions. The transactions are backed by pools of Australian conforming residential mortgages originated by the Bank of Western Australia, now part of the Commonwealth Bank of Australia (CBA, AA-/Stable). A full list of rating action is at the end of this commentary. KEY RATING DRIVERS The affirmations reflect Fitch's view that available credit enhancement is sufficient to support the notes' current ratings and the agency's expectations of Australia's economic conditions. Credit quality and performance of the underlying loans remain within Fitch's expectations. The default model was not run for the transactions in accordance with Fitch's criteria, as the outstanding ratings are 'AAAsf', the transactions do not have revolving periods and a review of pre-determined performance triggers indicates the transactions display stable asset performance. At end-March 2017, Series 2011-1 SWAN Trust had the highest level of 30+ arrears at 2.0%. This was above the Fitch Dinkum Index of 1.1%. Series 2010-2 SWAN Trust had the lowest level of 30+ arrears, at 0.5%, and Series 2010-1 SWAN Trust had arrears of 1.0%. Losses have remained low since closing, totalling AUD233,599 across two of the three transactions. Series 2011-1 SWAN Trust has not experienced any losses since closing. All losses to date have been covered by lenders' mortgage insurance (LMI), excess spread or the servicer. The underlying pools are fully covered by LMI, provided by QBE Lenders' Mortgage Insurance Limited (Insurer Financial Strength Rating: AA-/Stable). RATING SENSITIVITIES The ratings are not expected to be affected by any foreseeable change in performance. The pro-rata amortisation will switch to sequential when the call-option triggers are met, mitigating tail-risk. Other than the class AB notes of Series 2010-1 SWAN Trust, the notes' ratings are independent of downgrades to the LMI provider's ratings. The class AB notes could withstand a three-notch downgrade to the LMI insurer. 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 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. Fitch did not undertake a review of the information provided about the underlying asset pools ahead of the initial closing of Series 2010-1 SWAN Trust and Series 2010-2 SWAN Trust. The subsequent performance of the transactions over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its rating analysis was adequately reliable. Prior to Series 2011-1 SWAN Trust closing, Fitch reviewed a small targeted sample of Bank of Western Australia'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 end-March 2017; - transaction reporting data provided by CBA as at end-March 2017; and - loan enforcement details provided by CBA as at end-March 2017. The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is public. Full list of rating action with balances as at end-March 2017: Series 2010-1 SWAN Trust: AUD86.9 million Class A notes (ISIN AU3FN0010435) affirmed at 'AAAsf'; Outlook Stable AUD7.4 million Class AB notes (ISIN AU3FN0010443) affirmed at 'AAAsf'; Outlook Stable Series 2010-2 SWAN Trust: AUD124.8 million Class A3-R notes (ISIN AU3FN0029492) affirmed at 'AAAsf'; Outlook Stable AUD11.7 million Class AB notes (ISIN AU3FN0012217) affirmed at 'AAAsf'; Outlook Stable AUD6.0 million Class AC notes (ISIN AU3FN0012225) affirmed at 'AAAsf'; Outlook Stable Series 2011-1 SWAN Trust: AUD82.7 million Class A2-R notes (ISIN AU3FN0032546) affirmed at 'AAAsf'; Outlook Stable AUD4.7 million Class AB notes (ISIN AU3FN0014395) affirmed at 'AAAsf'; Outlook Stable Contacts: Lead Surveillance Analyst Hai Duong Le Associate Director Phone +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 Criteria for Lenders’ Mortgage Insurance in RMBS (pub. 28 Jul 2016) here Global Structured Finance Rating Criteria (pub. 03 May 2017) here Structured Finance and Covered Bonds Counterparty Rating Criteria (pub. 20 Mar 2017) here Structured Finance and Covered Bonds Counterparty Rating Criteria: Derivative Addendum (pub. 20 Mar 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

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