(The following statement was released by the rating agency)SYDNEY, July 10 (Fitch) Fitch Ratings affirms 11 classes from three Triton Trust No. 2 Series RMBS transactions. These transactions are backed by pools of Australian residential mortgages. The notes have been issued by Perpetual Corporate Trust Limited as trustee for Triton Trust No. 2 in respect of the three transactionsA full list of rating actions follows at the end of this commentary.KEY RATING DRIVERSThe affirmations reflect Fitch's view that the available credit enhancement is sufficient to support the notes' current ratings, and the agency's expectations of Australia's economic conditions. The credit quality has also remained within the agency's expectations.At 31 May 2015, Triton 2014-P had the highest level of arrears at 6.81%, above Fitch's 1Q15 Dinkum RMBS Index of 1.17%. The transaction consisted of 25.8% low documentation loans and the pool had an average loan to value ratio (LVR) of 67.5% and an indexed LVR of 55.7%. The pool had interest-only loans of 29.3% and investment loans made up 53.4% of the pool by balance. Lender's mortgage insurance (LMI) covered 44.3% of the pool and was provided by Genworth Financial Mortgage Insurance Pty Ltd (Insurer Financial Strength Rating: A+/Stable), MGIC Australia Pty Limited and QBE Lenders' Mortgage Insurance Limited (Insurer Financial Strength Rating: AA-/Stable). Since closing, cumulative losses have totalled 0.9% and LMI has covered 87.7% of all claims submitted.Triton 2013-1 and Triton 2014-1 had arrears level below Fitch's 1Q15 Dinkum RMBS Index of 1.17%. All loans in the underlying portfolios have LMI provided by Genworth Financial Mortgage Insurance Pty Ltd and QBE Lenders' Mortgage Insurance Limited. There have been no losses since closing.RATING SENSITIVITIES Sequential pay-down has increased credit enhancement for the senior notes of each transaction. The ratings of all rated notes are independent of any potential downgrades to the LMI provider's ratings.The 'AAAsf' breakeven stressed default rate for Triton 2013-1 is 10%. The Class A notes can withstand an additional 74.6% in defaults at Fitch's 'AAAsf' loss severity of 20.9%, while the Class AB notes can withstand an additional 13.9% in defaults.The 'AAAsf' breakeven stressed default rate for Triton 2014-1 is 9.1%. The Class A notes can withstand an additional 41.9% in defaults at Fitch's 'AAAsf' loss severity of 19.8%, while the Class AB notes can withstand an additional 2.5% in defaults.The 'AAAsf' breakeven stressed default rate for Triton 2014-P is 25.23%. The Class A1 notes can withstand an additional 46.16% in defaults at Fitch's 'AAAsf' loss severity of 46.36%, while the Class A2 notes can withstand an additional 12.94% in defaults. At their current rating loss severities and breakeven stressed default rate, the remaining rated notes can withstand defaults of between 11.38% - 22.19%. The ratings of the Triton 2014-P notes have not been upgraded, despite increased credit enhancement, as the transaction is currently constrained by concentration, based on the pool composition.There are currently no charge offs on any notes. The prospect for downgrades is considered remote at present, given the level of subordination available to all rated notes, the performance of the pools as well as adequate excess spread. Fitch's analysis excludes credit to excess spread.DUE DILIGENCE USAGE No third party due diligence was provided or reviewed 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 underlying 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 underlying pools' information or conducted a review of loan origination files as part of its ongoing monitoring.The full list of rating actions is below:Triton Trust No.2 Bond Series 2013-1 (Triton 2013-1):AUD209.9m Class A notes affirmed at 'AAAsf'; Outlook Stable; and AUD32m Class AB notes affirmed at 'AAAsf'; Outlook StableTriton Trust No.2 Bond Series 2014-P (Triton 2014-P):AUD72.8m, Class A1 notes affirmed at 'AAAsf'; Outlook Stable;AUD16.4m, Class A2 notes affirmed at 'AAAsf'; Outlook Stable;AUD4.0m, Class B notes affirmed at 'AAsf'; Outlook Stable;AUD3.0m, Class C notes affirmed at 'Asf'; Outlook Stable;AUD3.75m, Class D notes affirmed at 'BBBsf'; Outlook Stable;AUD3.7m, Class E notes affirmed at 'BBsf'; Outlook Stable; and AUD1.0m, Class F notes affirmed at 'Bsf'; Outlook Stable Triton Trust No.2 Bond Series 2014-1 (Triton 2014-1):AUD349m, Class A notes affirmed at 'AAAsf'; Outlook Stable; and AUD30m, Class AB notes affirmed at 'AAAsf'; Outlook StableA comparison of the transaction's representations, warranties and enforcement mechanisms (RW&Es) to those of typical RW&Es for this asset class is available by accessing the reports and/or links provided under Related Research below.Contacts: Lead Surveillance Analyst Hai Duong Le Associate DirectorPhone +61 2 08256 0358Fitch Australia Pty Ltd., Level 15, 77 King St, Sydney, NSW 2000Committee Chairperson Natasha VojvodicSenior DirectorPhone +61 2 8256 0350
Media Relations: Leni Vu, Sydney, Tel: +61 2 8256 0304, Email: leni.vu@fitchratings.com.Additional information is available at www.fitchratings.com.Sources of Information:The source of information used to assess these ratings was the servicer, Columbus Capital Pty Limited. The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is public.Applicable Criteria APAC Residential Mortgage Criteria (pub. 23 Jun 2015)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867437Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum (pub. 14 May 2014)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744175Global Criteria for Lendersâ Mortgage Insurance in RMBS (pub. 23 Jun 2015)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=865195Global Structured Finance Rating Criteria (pub. 06 Jul 2015)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952Related Research Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867166Triton Trust No. 2 Bond Series 2013-1 https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=703635Triton Trust No. 2 Bond Series 2013-1 - Appendix https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=703636Triton Trust No.2 Bond Series 2014-1 https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=753297Triton Trust No.2 Bond Series 2014-1 - Appendix https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=753298Triton Trust No.2 Bond Series 2014-P Appendix https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=750588Additional Disclosures Dodd-Frank Rating Information Disclosure Form /a Solicitation Status https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=987707Endorsement Policy /a br /br ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S FREE 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. 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. Fitch Australia Pty Ltd holds an Australian financial services licence (AFS licence no. 337123) which authorises 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.