Fitch Assigns Final Ratings to Triton Trust No.7 Bond Series 2015-1

(The following statement was released by the rating agency)SYDNEY, January 28 (Fitch) Fitch Ratings has assigned final ratings to Triton Trust No.7 Bond Series 2015-1's residential mortgage-backed floating-rate notes. The issuance consists of notes backed by Australian residential mortgages originated by Columbus Capital (Columbus). The ratings are as follows:AUD 150.0m Class A1 notes: 'AAAsf'; Outlook Stable;AUD 0m Class A2 notes: 'AAAsf'; Outlook Stable;AUD 10.55m Class B notes: 'NRsf'; AUD 0m Class C notes: 'NRsf'; andAUD 4.11m Class D notes: 'NRsf'.The notes are issued by Perpetual Corporate Trust Limited in its capacity as trustee of Triton Trust No.7 Bond Series 2015-1. The facility limit for the Class A1 & A2 notes will total AUD150m being the Class A Note facility.At the cut-off date, the pool has 46.5% lenders' mortgage insurance (LMI) cover. The weighted-average (WA) seasoning of the portfolio is 6.2 months, with a WA current unindexed loan/value ratio (CLVR) of 63.4%. Loans with an unindexed LVR greater than 80% account for 19.8% of the pool. The average current loan size is AUD348,677; investment loans represent 33.7% of the pool by balance, and interest-only loans represent 44.0%.KEY RATING DRIVERS Sufficient Credit Support: The Class A1 & A2 notes have sufficient credit enhancement of 8.9%, provided by the Class B, C and D notes, and is independent of any credit provided by LMI after the third payment date, whereby the minimum subordination steps up from AUD5.5m to AUD10m Portfolio: The transaction documents allow for the addition of new receivables to the trust in accordance with the portfolio parameters. The Class A2 note will fund intra month new receivables, with the balance being rolled into the Class A1 note on a monthly basis.Minimum Subordination Amounts: The transaction requires that a minimum dollar amount of subordination must be met for each rated note at each payment date before principal can be distributed. This feature is particularly important during the pro-rata period and after pool transfers to ensure that there is sufficient subordination in the tail end to cover for losses of large loans.Adequate Liquidity Support: Liquidity support will be provided via excess spread, a yield reserve, principal draws and a liquidity reserve sized at 0.82% of the mortgage balance which will amortise to a reserve floor of AUD375,000. 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 2015-1 to increased defaults and decreased recovery rates over the life of the transaction. Its analysis found that the Class A1 and A2 notes' Ratings under Fitch's moderate (15% increase) and severe (30% increase) default and recovery scenarios, as well as a combination of both increased defaults and decreased recoveries were not impacted. The transaction structure supports an LMI independent rating for the Class A1 and A2 notes after the third payment date, whereby the minimum subordination steps up from AUD5.5m to AUD10m.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 10 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.Contacts: Primary Analyst James ZanesiDirectorPhone +612 8256 0306Fitch Australia Pty LtdLevel 15, 77 King St, Sydney, NSW 2000Secondary Analyst Ben NeweyDirectorPhone +612 8256 0341Committee Chairperson Natasha VojvodicSenior DirectorPhone +612 8256 0350Media Relations: Leni Vu, Sydney, Tel: +61 2 8256 0304, Email: leni.vu@fitchratings.com.Additional information is available at www.fitchratings.com.The source of information identified for this rating action was 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=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=867952Additional Disclosures Dodd-Frank Rating Information Disclosure Form https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr _id=998503Solicitation Status https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=998503Endorsement 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.