June 13, 2017 / 8:55 AM / 6 months ago

Fitch Affirms 10 TORRENS RMBS Classes

(The following statement was released by the rating agency) SYDNEY, June 13 (Fitch) Fitch Ratings affirms 10 classes of notes from three transactions from the TORRENS Series. The transactions are backed by pools of Australian conforming residential mortgages originated by Bendigo and Adelaide Bank Limited (A-/Stable/F2). A full list of rating actions follows at the end of this Ratings Action Commentary. KEY RATING DRIVERS The affirmations reflect Fitch's view that available credit enhancement (CE) supports the notes' current ratings, the agency's expectations for Australia's economic conditions, and that the credit quality and performance of the loans in the collateral pools have remained within the agency's expectations. As per Fitch's APAC Residential Mortgage criteria, the default model was not run for TORRENS Series 2014-1 Trust, as a review of pre-determined performance triggers indicates that the transaction displays stable asset performance. The default model was run for the two remaining transactions. The available CE of the rated notes for TORRENS Series Trust 2014-2 has increased for the class B and C notes. However, they are constrained by concentration and are sensitive to deterioration in recovery rates. We expect the transactions to switch to pro-rata, ending the CE build-up. All loans in the underlying portfolios have lenders' mortgage insurance (LMI) in place, provided mainly by QBE Lenders Mortgage Insurance Limited (Insurer Financial Strength Rating: AA-/Stable) and Genworth Financial Mortgage Insurance Pty Limited (Insurer Financial Strength Rating: A+/Stable). Losses have remained low since closing, with just one loss of AUD164,381 in TORRENS 2014-1 for which 99.8% was covered by LMI. RATING SENSITIVITIES Initial sequential pay-down has resulted in an increase in CE for the senior notes of all transactions, with the rated notes able to withstand multiples of the latest reported arrears. We do not expect the ratings to be affected by modest changes in performance. The class A notes of TORRENS 2014-1, class A and AB notes of TORRENS 2014-2, and class A1 and A2 of TORRENS Series 2017-1 Trust are independent of downgrades to the LMI provider's ratings. The remaining notes of TORRENS 2014-2 and 2017-1 are LMI dependent. 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 our ongoing monitoring. We conducted a file review of a small targeted sample of Bendigo and Adelaide Bank Limited's origination files, and found the information 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 our 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 Bendigo and Adelaide Bank Limited as of 30 April 2017 Transaction reporting data provided by Bendigo and Adelaide Bank Limited as of 30 April 2017 Loan-enforcement details provided by Bendigo and Adelaide Bank Limited as of 30 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 (note balances as of April 2017 reporting): TORRENS SERIES Trust 2014-1 (TORRENS 2014-1): AUD165.1 million class A notes affirmed at 'AAAsf'; Outlook Stable; TORRENS SERIES Trust 2014-2 (TORRENS 2014-2): AUD252.7 million class A notes affirmed at 'AAAsf'; Outlook Stable; AUD34.8 million class AB notes affirmed at 'AAAsf'; Outlook Stable; AUD8.4 million class B notes affirmed at 'AAsf'; Outlook Stable. AUD2.4 million class C notes affirmed at 'Asf'; Outlook Stable. TORRENS SERIES Trust 2017-1 (TORRENS 2017-1): AUD751.9 million class A1 notes affirmed at 'AAAsf'; Outlook Stable; AUD27.0 million class A2 notes affirmed at 'AAAsf'; Outlook Stable; AUD17.9 million class AB notes affirmed at 'AAAsf'; Outlook Stable. AUD11.9 million class B notes affirmed at 'AAsf'; Outlook Stable. AUD6.0 million class C 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; Wai-Lun Wan, Hong Kong, Tel: +852 2263 9935, Email: wailun.wan@fitchratings.com. Additional information is available on www.fitchratings.com Applicable Criteria APAC Residential Mortgage Rating Criteria (pub. 27 Apr 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. 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