Fitch Affirms 3 Non-Conforming Resimac Transactions; Outlook Stable

(The following statement was released by the rating agency)SYDNEY, February 28 (Fitch) Fitch Ratings has affirmed the ratings of three non-conforming RMBS transactions issued by Perpetual Trustee Company Limited in its capacity as trustee of the RESIMAC Bastille Trusts. The transactions are a securitisation of both conforming and non-conforming residential mortgages originated by RESIMAC Limited (RESIMAC). The rating actions are as listed below (balance as at February 2016 payment date). RESIMAC Bastille Trust - RESIMAC Series 2012-1NC (RESIMAC Series 2012-1NC):AUD33.7m Class A1 notes affirmed at 'AAAsf'; Outlook Stable; andAUD21.9m Class A2 notes affirmed at 'AAAsf'; Outlook Stable.RESIMAC Bastille Trust - RESIMAC Series 2013-1NC (RESIMAC Series 2013-1NC):AUD98.3m Class A1 notes affirmed at 'AAAsf'; Outlook Stable; andAUD21.5m Class A2 notes affirmed at 'AAAsf'; Outlook Stable.RESIMAC Bastille Trust - RESIMAC Series 2015-1NC (RESIMAC Series 2015-1NC):AUD163.2m Class A1 notes affirmed at 'AAAsf'; Outlook Stable; andAUD28.0m Class A2 notes affirmed at 'AAAsf'; Outlook Stable.KEY RATING DRIVERSThe rating actions reflect Fitch's view that available credit enhancement supports the notes' current ratings, the agency's expectations of Australia's economic conditions, strong levels of excess spread, and performance of the underlying loans, which have remained in line with the agency's expectations. The ratings also reflect RESIMAC Limited's mortgage underwriting and servicing capabilities.At 31 January 2016, all three transactions had 30+ days arrears levels below Fitch's Dinkum Non-Conforming RMBS Index of 6.5%. RESIMAC Bastille Trust 2012-1NC recorded arrears of 4.9%, RESIMAC Bastille Trust 2013-1NC recorded 30+ days arrears at 3.5%, while RESIMAC Bastille Trust 2015-1NC recorded 30+ days arrears at 3.1%.Lenders' mortgage insurance (LMI) covers approximately half of the pool for RESIMAC Bastille Trust 2012-1NC and RESIMAC Bastille Trust 2013-1NC, while RESIMAC Bastille Trust 2015-1NC has a significantly lower portion of LMI coverage (6.8%). Policies are provided by Genworth Financial (N:GNW) Mortgage Insurance Pty Ltd (Insurer Financial Strength Rating: A+/Stable), and QBE Lenders' Mortgage Insurance Limited (Insurer Financial Strength Rating: AA-/Stable). RESIMAC Bastille Trust 2012-1NC has experienced low levels of losses, with no claims submitted to LMI, while RESIMAC Bastille Trust 2013-1NC and RESIMAC Bastille Trust 2015-1NC have experienced no losses since closing. All losses have been covered by excess spread.RATING SENSITIVITIESSequential 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 all three transactions' Class A notes are independent of downgrades to the LMI providers' ratings.The 'AAAsf' expected loss ranged from 12.0% (RESIMAC Bastille Trust 2012-1NC) to 19.2% (RESIMAC Bastille Trust 2015-1NC). At the current modelled loss severity, Class A1 notes can withstand additional defaults ranging from 32.8% to 100%, while the Class A2 notes can withstand additional defaults ranging from 12.8% to 65%. This analysis excludes credit to excess spread, which has been strong in each of the transactions. As a result, Fitch considers that the likelihood of any of the notes currently rated 'AAAsf' being downgraded is remote.DUE DILIGENCE USAGENo third party due diligence was provided or reviewed in relation to this rating action.DATA ADEQUACY Fitch conducted a file review of 10 sample loan files focusing on the underwriting procedures conducted by RESIMAC Limited compared to its credit policy at the time of underwriting. Fitch has checked the consistency and plausibility of the information and no material discrepancies were noted that would impact Fitch's rating analysis.A 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 under Related Research below.Contacts: Lead Surveillance Analyst James ZanesiDirector+61 2 8256 0306Fitch Australia Pty Ltd., Level 15, 77 King St, Sydney, NSW 2000, Australia.Committee Chairperson Natasha VojvodicSenior Director+61 2 8256 0350Media 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 (RESIMAC Limited).The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is publicApplicable 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 Lenders’ 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 RESIMAC Bastille Trust Series 2012-1NC - Appendixhttps://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=693392RESIMAC Bastille Trust Series 2013-1NC - Appendixhttps://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=726838RESIMAC Bastille Trust – RESIMAC Series 2015-1NC - Appendixhttps://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=863697Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=876875Additional Disclosures Dodd-Frank Rating Information Disclosure Form https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr _id=1000134Solicitation Status https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1000134Endorsement Policy https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&det ail=31ALL 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.