Fitch Assigns Expected Ratings to Triton Trust No.7 Bond Series 2016-1

(The following statement was released by the rating agency)Link to Fitch Ratings' Report: Triton Trust No.7 Bond Series 2016-1https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=882792SYDNEY, July 14 (Fitch) Fitch Ratings has assigned expected ratings to Triton Trust No.7 Bond Series 2016-1's residential mortgage-backed floating-rate notes. The issuance consists of notes backed by a pool of first-ranking Australian residential full-documentation mortgage loans originated by Columbus Capital Pty Limited and Australia and New Zealand Banking Group Limited (ANZ, AA-/Stable/F1+) through the Origin Mortgage Management Services (Origin) platform. The ratings are as follows:- AUD50.0m Class A1-a notes: 'AAA(EXP)sf'; Outlook Stable- AUD205.0m Class A1-b notes: 'AAA(EXP)sf'; Outlook Stable- AUD21.0m Class A2 notes: 'AAA(EXP)sf'; Outlook Stable- AUD9.75m Class AB notes: 'AAA(EXP)sf'; Outlook Stable- AUD9.15m Class B notes: 'NR(EXP)sf'- AUD3.0m Class C notes: 'NR(EXP)sf'- AUD1.5m Class D notes: 'NR(EXP)sf'- AUD0.6m Class E notes: 'NR(EXP)sf'The notes will be issued by Perpetual Corporate Trust Limited in its capacity as trustee of Triton Trust No.7 Bond Series 2016-1.KEY RATING DRIVERS Sufficient Credit Support: The class A1 notes have credit enhancement of 15.0%, provided by the class A2, AB, B, C, D and E notes. The class A1 and A2 notes are independent of any credit provided by lenders' mortgage insurance (LMI). The class A2 notes have 8.0% credit enhancement. The rating of the class AB notes is reliant upon the credit support of 4.75% provided by both the subordinated classes and LMI.ANZ Credit Policies: The ANZ-originated Origin loans were underwritten using ANZ credit policies and procedures. ANZ's mortgage performance is in line with the other major lenders of prime residential mortgages in the Australian market, with relatively low arrears and default rates. The Columbus-originated Origin loans are approved in accordance with the Columbus/Origin credit policy.Key Pool Characteristics: The pool consists entirely of full-documentation loans with a weighted-average (WA) seasoning of 70 months. The pool's weighted-average current loan-to-value ratio (CLVR) is 63.9% (indexed CLVR of 57.4%). Interest-only loans make up 37.3% of the pool while loans with LVR of more than 80% comprise 17.7% of the portfolio. LMI is present on 84.5% of the pool provided by QBE Lenders' Mortgage Insurance Limited (45.3%, Insurer Financial Strength Rating: AA-/Stable) and by Genworth Financial (NYSE:GNW) Mortgage Insurance Pty Ltd (39.2%, Insurer Financial Strength Rating: A+/Stable). The average obligor current loan size is AUD230,491. EXPECTED RATING SENSITIVITIES Unexpected decreases in residential property value, increases in the frequency of foreclosures, and loss severity on defaulted mortgages could produce loss levels higher than Fitch's base case, which could result in negative rating actions on the notes.Fitch evaluated the sensitivity of the ratings assigned to Triton Trust No.7 Bond Series 2016-1 to increased defaults and decreased recovery rates over the life of the transaction. Its analysis found that the notes' ratings were not impacted under Fitch's moderate (15% increase) and severe (30% increase) default scenarios, as well as the moderate recovery scenario (15% decrease). The class AB note rating deteriorated to 'AA+sf' under Fitch's severe (30% decrease) recovery scenario.Under Fitch's severe combination stress of 30% increase in defaults and 30% decrease in recoveries, only the class AB notes were impacted, with the rating declining to 'AA-sf'. The transaction structure supports an LMI independent rating for the Class A1-a, Class A1-b, and Class A2 notes. The Class AB notes are sensitive to a four-notch downgrade of the LMI providers.DUE DILIGENCE USAGE No third party due diligence was provided or reviewed in relation to this rating action.DATA ADEQUACYFitch conducted a file review of 15 sample loan files focusing on the underwriting procedures conducted by Columbus compared to their 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.Key Rating Drivers and Expected Rating Sensitivities are further discussed in the corresponding presale report entitled "Triton Trust No.7 Bond Series 2016-1", published today. Included as an appendix to the report are a description of the representations, warranties, and enforcement mechanisms.Contacts: Primary Analyst Brenden Asplin, CFAAssociate Director+612 8256 0340Fitch Australia Pty LtdLevel 15, 77 King St, Sydney, NSW 2000Secondary Analyst James LeungDirector+612 8256 0322Committee Chairperson Natasha VojvodicSenior Director+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.The sources of information identified for this rating action were Columbus Capital Pty Limited as issuer, and the issuer's counsel King & Wood Mallesons. 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=744175Exposure Draft: Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 Apr 2016)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=878412Exposure Draft: Counterparty Criteria for Structured Finance and Covered Bonds - Derivative Addendum (pub. 14 Apr 2016)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=878499Global 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. 27 Jun 2016)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=883130Related Research Triton Trust No.7 Bond Series 2016-1 - Appendixhttps://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=882793Additional Disclosures Dodd-Frank Rating Information Disclosure Form https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr _id=1008932Solicitation Status https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1008932Endorsement 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 PUBLIC WEBSITE '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.