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Fitch Upgrades Five, Affirms 26 Medallion RMBS Tranches; Outlook Stable
December 16, 2016 / 2:17 AM / 9 months ago

Fitch Upgrades Five, Affirms 26 Medallion RMBS Tranches; Outlook Stable

(The following statement was released by the rating agency) SYDNEY, December 15 (Fitch) Fitch Ratings has upgraded five and affirmed 26 tranches of 11 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, a wholly owned subsidiary of CBA 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 of Medallion Trust Series 2014-1, Medallion Trust Series 2014-1P, Medallion Trust Series 2014-2, Medallion Trust Series 2015-1 and Medallion Trust Series 2015-2 reflect the build-up of credit enhancement, which is sufficient 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 in line with Fitch's expectations. The default model was not run for Medallion Trust Series 2012-1, Medallion Trust Series 2013-1 and Medallion Trust Series 2013-2, as the outstanding ratings are 'AAAsf' and a review of pre-determined performance triggers indicates the transactions display stable asset performance. At 30 September 2016, only Medallion Trust Series 2011-1 and Medallion Trust Series 2013-2 had 30+ days arrears above Fitch's 30+ days Dinkum Index (2Q16: 1.14%) at 1.20% and 1.31%, respectively. Medallion Trust Series 2008-1R's 30+ days arrears stood at 1.33% as of end-October 2016. Losses across the pools for the term transactions have been low, with the highest at 0.13% of all loans sold into the trust for Medallion Trust Series 2008-1R. Medallion Trust Series 2008-1R has a 10-year revolving period ending in May 2026. Fitch is comfortable with the long revolving period because the portfolio stratifications have not changed significantly since issuance, CBA's product mix has not materially changed over this same period and the portfolio is performing as expected. RATING SENSITIVITIES Sequential pay-down has increased credit enhancement for the senior notes of each transaction, with the 'AAAsf' rated notes able to withstand many multiples of the latest reported arrears. The ratings of the class B notes of Medallion Trust Series 2008-1R, Medallion Trust Series 2014-1, Medallion Trust Series 2014-2, Medallion Trust Series 2015-1, Medallion Trust Series 2015-2 and Medallion Trust Series 2016-1 are dependent on the lender's mortgage insurance 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 on-going monitoring, Fitch conducted a file review of 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 2016 Transaction reporting data provided by CBA as at 30 September 2016 Loan enforcement details provided by CBA as at 30 September 2016 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 ACTIONS Note balances are as of the October 2016 payment date. Medallion Trust Series 2008-1R AUD74,340.0m Class A (ISIN AU3FN0005617) notes affirmed at 'AAAsf'; Outlook Stable; and AUD4,543.0m Class B notes affirmed at 'AAsf'; Outlook Stable Medallion Trust Series 2011-1: AUD197.5m Class A1 (ISIN AU3FN0012944) notes affirmed at 'AAAsf'; Outlook Stable; AUD525.0m Class A2-R (ISIN AU3FN0030771) notes affirmed at 'AAAsf'; Outlook Stable; AUD43.8m Class AB (ISIN AU3FN0012951) notes affirmed at 'AAAsf'; Outlook Stable; and AUD21.9m Class AC (ISIN AU3FN0012969) notes affirmed at 'AAAsf'; Outlook Stable. Medallion Trust Series 2012-1: AUD322.6m Class A (ISIN AU3FN0016176) notes affirmed at 'AAAsf'; Outlook Stable; and AUD41.9m Class B (ISIN AU3FN0016184) notes affirmed at 'AAAsf'; Outlook Stable. Medallion Trust Series 2013-1: AUD204.2m Class A1 (ISIN AU3FN0018024) notes affirmed at 'AAAsf'; Outlook Stable; AUD384.2m Class A2 (ISIN AU3FN0018032) notes affirmed at 'AAAsf'; Outlook Stable; AUD250.0m Class A3 (ISIN AU3CB0205789) notes affirmed at 'AAAsf'; Outlook Stable; and AUD113.0m Class B (ISIN AU3FN0018040) notes affirmed at 'AAAsf'; Outlook Stable. Medallion Trust Series 2013-2: AUD611.1m Class A1 (ISIN AU3FN0019972) notes affirmed at 'AAAsf'; Outlook Stable; AUD220.2m Class A2 (ISIN AU3FN0019980) notes affirmed at 'AAAsf'; Outlook Stable; AUD400.0m Class A3 (ISIN AU3CB0212702) notes affirmed at 'AAAsf'; Outlook Stable; and AUD181.8m Class B (ISIN AU3FN0019998) notes affirmed at 'AAAsf'; Outlook Stable. Medallion Trust Series 2014-1: AUD516.1m Class A1 (ISIN AU3FN0022109) notes affirmed at 'AAAsf'; Outlook Stable; AUD292.8m Class A2 (ISIN AU3FN0022117) notes affirmed at 'AAAsf'; Outlook Stable; AUD300.0m Class A3 (ISIN AU3CB0218733) notes affirmed at 'AAAsf'; Outlook Stable; AUD0.0m Class A3-R notes affirmed at 'AAAsf'; Outlook Stable; and AUD150.7m Class B (ISIN AU3FN0022208) notes upgraded to 'AAAsf', from 'AA+sf'; Outlook Stable. Medallion Trust Series 2014-1P: AUD236.1m Class A1 (ISIN AU3FN0023081) notes affirmed at 'AAAsf'; Outlook Stable, and AUD33.0m Class B (ISIN AU3FN0023099) notes upgraded to 'AAAsf', from 'AAsf'; Outlook Stable. Medallion Trust Series 2014-2: AUD1,996.0m Class A1 (ISIN AU3FN0024501) notes affirmed at 'AAAsf'; Outlook Stable, and AUD240.0m Class B (ISIN AU3FN0024519) notes upgraded to 'AAAsf', from 'AAsf'; Outlook Stable. Medallion Trust Series 2015-1: AUD1,214.3m Class A1 (ISIN AU3FN0026464) notes affirmed at 'AAAsf'; Outlook Stable, and AUD120.0m Class B (ISIN AU3F0026472) notes upgraded to 'AAsf', from 'A+sf'; Outlook Stable. Medallion Trust Series 2015-2: AUD1,363.4m Class A1 (ISIN AU3FN0028726) notes affirmed at 'AAAsf'; Outlook Stable, and AUD120m Class B (ISIN AU3FN0028734) notes upgraded to 'AAsf', from 'AA-sf'; Outlook Stable. Medallion Trust Series 2016-1: AUD1,248.8m Class A1a (ISIN AU3FN0030417) notes affirmed at 'AAAsf'; Outlook Stable, and AUD94.5m Class B (ISIN AU3FN0030433) notes affirmed at 'A+sf'; Outlook Stable. Contacts: Lead Surveillance Analyst Stephen Lo Analyst +612 8256 0379 Fitch Australia Pty Ltd Level 15, 77 King St, Sydney NSW 2000 Australia Committee Chairperson Natasha Vojvodic Senior Director +612 8256 0350 Media Relations: Leslie Tan, Singapore, Tel: +65 67 96 7234, Email: leslie.tan@fitchratings.com. Additional information is available at www.fitchratings.com Applicable Criteria APAC Residential Mortgage Criteria (pub. 30 Aug 2016) here Counterparty Criteria for Structured Finance and Covered Bonds (pub. 01 Sep 2016) here Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum (pub. 18 Jul 2016) here Global Criteria for Lenders' Mortgage Insurance in RMBS (pub. 28 Jul 2016) here Global Structured Finance Rating Criteria (pub. 27 Jun 2016) here Additional Disclosures Dodd-Frank Rating Information Disclosure Form here _id=1016614 Solicitation Status here 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. 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