Fitch Affirms La Trobe Financial Capital Markets Trust 2015-1 at 'AAAsf'; Outlook Stable

(The following statement was released by the rating agency) Fitch Ratings-Sydney-April 23: Fitch Ratings has affirmed the rating on La Trobe Financial Capital Markets Trust 2015-1's floating-rate class A notes. The transaction is a securitisation of Australian non-conforming residential mortgages originated by La Trobe Financial Services Pty Limited. The notes are issued by Perpetual Corporate Trust Limited in its capacity as trustee of La Trobe Financial Capital Markets Trust 2015-1. The rating actions are as follows (balance as at 31 March 2018 reporting): AUD48.6 million A1 notes affirmed at 'AAAsf'; Outlook Stable; and AUD13.3 million A2 notes affirmed at 'AAAsf'; Outlook Stable KEY RATING DRIVERS The affirmation reflects Fitch's view that the available credit enhancement is sufficient to support the notes' current ratings and can withstand deterioration from Australia's current economic conditions in line with the agency's expectations. The credit quality and performance of the loans in the collateral pools also remain within expectations. In accordance with Fitch criteria, the cash flow model was not re-run for this rating action, as the collateral pool has performed within Fitch's expectations and there has been no significant deviation of asset performance or a change in transaction structure since closing. As at 31 March 2018, the transaction's 30+ days arrears were 6.4%, slightly above Fitch's 4Q17 Non-Conforming RMBS Index of 6.3%. There have been losses totalling AUD473,529 for the transaction, all of which were covered by excess spread. The origination and servicing processes for the trust is in line with other lenders in the Australian non-conforming market. RATING SENSITIVITIES Credit enhancement for the class A1 and A2 notes can support many multiples of the arrears levels reported in the latest investor reports. We do not expect the ratings to be affected by modest changes in performance. Fitch conducted sensitivity analysis by stressing the transaction's base-case assumptions. The results of rating sensitivity testing, excluding credit to excess spread, are shown below. Fitch also undertakes defined sensitivity testing to show the model-implied sensitivities the transaction faces when recovery rate assumption stresses are increased to a level that is required to reduce note rating by one full category, to non-investment grade and to 'CCCsf'. Class A1/Class A2 Rating AAAsf/AAAsf Rating sensitivity to decreased recovery rates: Reduce recoveries by 15%: AAAsf/AAAsf Reduce recoveries by 30%: AAAsf/AAAsf Rating sensitivity to increase in default rates: Increase foreclosure stress by 15%: AAAsf/AAAsf Increase foreclosure stress by 30%: AAAsf/AAAsf Rating sensitivity to increased foreclosure and decreased recovery rates: Increase foreclosure stress by 15% and reduce recoveries by 15%: AAAsf/AAAsf Increase foreclosure stress by 30% and reduce recoveries by 30%: AAAsf/AAAsf Decrease in recovery rate required to: Reduce the rating by one full category: Not possible, even if recovery rate is reduced to 0%/ 99% Reduce the rating to non-investment grade: Not possible, even if recovery rate is reduced to 0%/ Not possible, even if recovery rate is reduced to 0% Reduce the rating to 'CCCsf': Not possible, even if recovery rate is reduced to 0%/ Not possible, even if recovery rate is reduced to 0% 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 pool and the transaction. 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 La Trobe Financial Services Pty Limited'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 La Trobe Financial Services Pty Limited as at 31 March 2018. Transaction reporting data provided by La Trobe Financial Services Pty Limited as at 31 March 2018 The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is public. Contacts: Lead Surveillance Analyst James Hollamby Analyst +61 2 8256 0347 Fitch Australia Pty Ltd Level 15, 77 King St, Sydney, NSW 2000 Committee Chairperson Claire Heaton Senior Director +612 8256 0361 Media Relations: Leslie Tan, Singapore, Tel: +65 67 96 7234, Email: leslie.tan@fitchratings.com. Additional information is available on www.fitchratings.com Applicable Criteria APAC Residential Mortgage Rating Criteria (pub. 14 Jul 2017) https://www.fitchratings.com/site/re/901072 Global Structured Finance Rating Criteria (pub. 03 May 2017) https://www.fitchratings.com/site/re/897411 Structured Finance and Covered Bonds Counterparty Rating Criteria (pub. 23 May 2017) https://www.fitchratings.com/site/re/898537 Additional Disclosures Dodd-Frank Rating Information Disclosure Form https://www.fitchratings.com/site/dodd-frank-disclosure/10027705 Solicitation Status https://www.fitchratings.com/site/pr/10027705#solicitation Endorsement Policy https://www.fitchratings.com/regulatory ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTPS://WWW.FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. 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. 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. DIRECTORS AND SHAREHOLDERS RELEVANT INTERESTS ARE AVAILABLE AT HTTPS://WWW.FITCHRATINGS.COM/SITE/REGULATORY. 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. Copyright © 2018 by Fitch Ratings, Inc., Fitch Ratings Ltd. and its subsidiaries. 33 Whitehall Street, NY, NY 10004. Telephone: 1-800-753-4824, (212) 908-0500. Fax: (212) 480-4435. Reproduction or retransmission in whole or in part is prohibited except by permission. All rights reserved. In issuing and maintaining its ratings and in making other reports (including forecast information), Fitch relies on factual information it receives from issuers and underwriters and from other sources Fitch believes to be credible. Fitch conducts a reasonable investigation of the factual information relied upon by it in accordance with its ratings methodology, and obtains reasonable verification of that information from independent sources, to the extent such sources are available for a given security or in a given jurisdiction. The manner of Fitch's factual investigation and the scope of the third-party verification it obtains will vary depending on the nature of the rated security and its issuer, the requirements and practices in the jurisdiction in which the rated security is offered and sold and/or the issuer is located, the availability and nature of relevant public information, access to the management of the issuer and its advisers, the availability of pre-existing third-party verifications such as audit reports, agreed-upon procedures letters, appraisals, actuarial reports, engineering reports, legal opinions and other reports provided by third parties, the availability of independent and competent third- party verification sources with respect to the particular security or in the particular jurisdiction of the issuer, and a variety of other factors. Users of Fitch's ratings and reports should understand that neither an enhanced factual investigation nor any third-party verification can ensure that all of the information Fitch relies on in connection with a rating or a report will be accurate and complete. Ultimately, the issuer and its advisers are responsible for the accuracy of the information they provide to Fitch and to the market in offering documents and other reports. In issuing its ratings and its reports, Fitch must rely on the work of experts, including independent auditors with respect to financial statements and attorneys with respect to legal and tax matters. Further, ratings and forecasts of financial and other information are inherently forward-looking and embody assumptions and predictions about future events that by their nature cannot be verified as facts. As a result, despite any verification of current facts, ratings and forecasts can be affected by future events or conditions that were not anticipated at the time a rating or forecast was issued or affirmed. The information in this report is provided “as is” without any representation or warranty of any kind, and Fitch does not represent or warrant that the report or any of its contents will meet any of the requirements of a recipient of the report. A Fitch rating is an opinion as to the creditworthiness of a security. This opinion and reports made by Fitch are based on established criteria and methodologies that Fitch is continuously evaluating and updating. Therefore, ratings and reports are the collective work product of Fitch and no individual, or group of individuals, is solely responsible for a rating or a report. The rating does not address the risk of loss due to risks other than credit risk, unless such risk is specifically mentioned. Fitch is not engaged in the offer or sale of any security. All Fitch reports have shared authorship. Individuals identified in a Fitch report were involved in, but are not solely responsible for, the opinions stated therein. The individuals are named for contact purposes only. A report providing a Fitch rating is neither a prospectus nor a substitute for the information assembled, verified and presented to investors by the issuer and its agents in connection with the sale of the securities. Ratings may be changed or withdrawn at any time for any reason in the sole discretion of Fitch. Fitch does not provide investment advice of any sort. Ratings are not a recommendation to buy, sell, or hold any security. Ratings do not comment on the adequacy of market price, the suitability of any security for a particular investor, or the tax-exempt nature or taxability of payments made in respect to any security. Fitch receives fees from issuers, insurers, guarantors, other obligors, and underwriters for rating securities. Such fees generally vary from US$1,000 to US$750,000 (or the applicable currency equivalent) per issue. In certain cases, Fitch will rate all or a number of issues issued by a particular issuer, or insured or guaranteed by a particular insurer or guarantor, for a single annual fee. Such fees are expected to vary from US$10,000 to US$1,500,000 (or the applicable currency equivalent). The assignment, publication, or dissemination of a rating by Fitch shall not constitute a consent by Fitch to use its name as an expert in connection with any registration statement filed under the United States securities laws, the Financial Services and Markets Act of 2000 of the United Kingdom, or the securities laws of any particular jurisdiction. Due to the relative efficiency of electronic publishing and distribution, Fitch research may be available to electronic subscribers up to three days earlier than to print subscribers. For Australia, New Zealand, Taiwan and South Korea only: Fitch Australia Pty Ltd holds an Australian financial services license (AFS license no. 337123) which authorizes 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 Fitch Ratings, Inc. is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (the "NRSRO"). While certain of the NRSRO's credit rating subsidiaries are listed on Item 3 of Form NRSRO and as such are authorized to issue credit ratings on behalf of the NRSRO (see https://www.fitchratings.com/site/regulatory), other credit rating subsidiaries are not listed on Form NRSRO (the "non-NRSROs") and therefore credit ratings issued by those subsidiaries are not issued on behalf of the NRSRO. However, non-NRSRO personnel may participate in determining credit ratings issued by or on behalf of the NRSRO.