Fitch Affirms Illawarra Series IS Trust at 'AAAsf'; Outlook Stable

(The following statement was released by the rating agency)SYDNEY, April 26 (Fitch) Fitch Ratings has affirmed Illawarra Series IS Trust's Class A notes at 'AAAsf'. The transaction is a securitisation of Australian conforming residential mortgages originated by IMB Limited (IMB). The rating action is as follows: AUD441m Class A notes affirmed at 'AAAsf'; Outlook Stable.KEY RATING DRIVERSThe affirmation reflects 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 and performance of the loans in the collateral pools also remain in line with expectations. The transaction has low levels of defaults and arrears. At 31 March 2016, 30+ days arrears stood at 0.2%, below Fitch's 4Q15 Dinkum Index of 0.95%. There has been one foreclosure since issuance, resulting in a loss of AUD221,591. Lenders' mortgage insurance (LMI) covered approximately 99.9% of the claim submitted, with the remaining amount covered by excess spread. LMI covered 52.1% of the pool as at 31 March 2016; with 40.2% covered by Genworth Financial (NYSE:GNW) Mortgage Insurance Pty Limited (Insurer Financial Strength Rating: A+/Stable) and 11.9% QBE Lenders Mortgage Insurance Ltd (Insurer Financial Strength Rating: AA-/Stable).Illawarra Series IS Trust features a 10-year substitution period, which ends in April 2024. Fitch is comfortable with the long revolving period due to the presence of various eligibility criteria and pool parameters, and the portfolio's performance to date.RATING SENSITIVITIES The class A notes are currently independent of downgrades to the LMI providers' ratings. The class A notes may become dependent on the LMI providers' ratings should the transaction's portfolio materially change during the revolving period. At Fitch's 'AAAsf' breakeven default rate of 14.82%, the class A notes can withstand an additional 19.47% defaults at Fitch's 'AAAsf' loss severity.DUE DILIGENCE USAGE No 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 IMB 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 Stephen LoAnalystPhone +612 8256 0379Fitch Australia Pty Ltd., Level 15, 77 King St, Sydney, NSW 2000Committee Chairperson Natasha VojvodicSenior DirectorPhone +612 8256 0350Media Relations: Leslie Tan, Singapore, Tel: +65 67 96 7234, Email: leslie.tan@fitchratings.com.Additional information is available at www.fitchratings.com.Sources of Information:The source of information used to assess this rating was IMB 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 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 Illawarra Series IS Trust - Appendixhttps://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744775Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=878450Additional Disclosures Dodd-Frank Rating Information Disclosure Form https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr _id=1003219Solicitation Status https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1003219Endorsement 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.