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Fitch Affirms Three AFG RMBS Transactions at 'AAAsf'/ Stable

Published 13/11/2015, 05:13 pm
© Reuters.  Fitch Affirms Three AFG RMBS Transactions at 'AAAsf'/ Stable
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(The following statement was released by the rating agency)SYDNEY, November 13 (Fitch) Fitch Ratings has affirmed the ratings of three AFG RMBS transactions. The transactions are securitisations of Australian conforming residential full-documentation mortgages originated by AFG Securities Pty Ltd (AFGS).The rating actions are as follows (balance as of September 2015 report):AFG 2013-1 Trust:AUD110.5m, Class A (ISIN AU3FN0018479) affirmed at 'AAAsf'; Outlook StableAUD9.1m, Class AB (ISIN AU3FN0018487) affirmed at 'AAAsf'; Outlook StableAFG 2013-2 Trust:AUD124.8m, Class A (ISIN AU3FN0020871) affirmed at 'AAAsf'; Outlook StableAUD18.3m, Class AB (ISIN AU3FN0020889) affirmed at 'AAAsf'; Outlook StableAFG 2014-1 Trust:AUD168.1m, Class A (ISIN AU3FN0022984) affirmed at 'AAAsf'; Outlook StableAUD14.5m, Class AB (ISIN AU3FN0022992) affirmed at 'AAAsf'; Outlook StableThe notes were issued by Perpetual Corporate Trust Limited, in its capacity as trustee of the Series.KEY RATING DRIVERS The affirmations reflect Fitch's view that 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 have remained in line with Fitch's expectations.At end-September 2015, there were no 30+ days arrears for the three transactions, compared with Fitch's latest Dinkum Index of 1.12%. Performance of the three transactions has been within Fitch's expectations with no defaults or losses experienced since issuance. All loans in the pools are covered by lenders' mortgage insurance (LMI), with policies 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).RATING SENSITIVITIES Sequential pay-down has increased credit enhancement for the senior notes of all transactions, with the 'AAAsf' rated notes able to withstand multiples of the latest reported arrears.For AFG 2013-1 Trust, Fitch's 'AAAsf' breakeven default rate is 7.22%. The class A notes can withstand an additional 51.40% in defaults at Fitch's 'AAAsf' loss severity. The class AB notes can withstand an additional 21.24% in defaults at Fitch's 'AAAsf' loss severity.For AFG 2013-2 Trust, Fitch's 'AAAsf' breakeven default rate is 8.13%. The class A notes can withstand an additional 60.60% in defaults at Fitch's 'AAAsf' loss severity. The class AB notes can withstand an additional 16.63% in defaults at Fitch's 'AAAsf' loss severity.For AFG 2014-1 Trust, Fitch's 'AAAsf' breakeven default rate is 8.35%. The class A notes can withstand an additional 35.13% in defaults at Fitch's 'AAAsf' loss severity. The class AB notes can withstand an additional 9.04% in defaults at Fitch's 'AAAsf' loss severity.All the ratings are independent of downgrades to the LMI providers' ratingsDUE 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 AFG Securities Pty Ltd 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 given under Related Research below.Contacts: Lead Surveillance Analyst Hai Duong LeAssociate Director+61 2 8256 0358Fitch Australia Pty Ltd., Level 15, 77 King St, Sydney, NSW 2000, AustraliaCommittee 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, AFG Securities Pty Ltd. 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 AFG 2013-2 New Issue - Appendixhttps://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=722157AFG 2014-1 Trust - in Respect of Series 2014-1 - Appendixhttps://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=746976AFG Series 2013-1 Trust - Appendixhttps://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=704295Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867166Additional Disclosures Dodd-Frank Rating Information Disclosure Form https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr _id=993964Solicitation Status https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=993964Endorsement 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.

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