Fitch Assigns Final Ratings to Triton Trust No.7 Bond Series 2015-1 Class B and Class C Notes

(The following statement was released by the rating agency)SYDNEY, April 01 (Fitch) Fitch Ratings has assigned final ratings to Triton Trust No.7 Bond Series 2015-1's Class B and Class C residential mortgage-backed floating-rate notes as follows:- AUD8.7m Class B notes: 'AAsf'; Outlook Stable- AUD3.5m Class C notes: 'BBBsf'; Outlook Stable.The issuance consists of notes backed by Australian residential mortgages originated by Columbus Capital (Columbus) and is issued by Perpetual Corporate Trust Limited in its capacity as trustee of Triton Trust No.7 Bond Series 2015-1. Fitch has also confirmed the ratings of the Class A1 and A2 notes following the issuance the Class B and C notes as follows:- AUD150.0m Class A1 notes confirmed at 'AAAsf'; Outlook Stable- AUD0m Class A2 notes confirmed at 'AAAsf'; Outlook Stable.The facility limit for the Class A1 and A2 notes will total AUD150m, being the Class A Note facility.KEY RATING DRIVERSSufficient Credit Support: The Class B notes have sufficient credit enhancement of 3.64%, provided by the Class C and D notes. The Class C notes have sufficient credit enhancement of 1.52%, provided by the Class D notes.Flexible Portfolio Size: The transaction documents allow for the addition of new receivables to the trust in accordance with the portfolio parameters. Minimum Subordination Amounts: The transaction requires minimum dollar amount of subordination to 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 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 higher losses than Fitch's base case. This could result in negative rating action 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. The analysis found that collectively, the Class B notes' ratings were impacted under Fitch's severe default (30% increase) scenarios, while Class A1, A2 and C notes were not impacted. The analysis of the recovery scenarios found that collectively, decreases in recoveries impacted the ratings of the Class B and C notes. The class A1 & A2 notes' rating remained stable except under a severe multiple stress scenario (both 30% increase in defaults and 30% decrease in recoveries), where the ratings would be lowered by two notches to 'AAsf'. The class B and C notes showed more sensitivity to a combination of increased defaults and reduced recovery rates.The transaction structure supports a lenders mortgage insurance (LMI) independent rating for the Class A1 and A2 notes after the third payment date, when the minimum subordination steps up from AUD5.5m to AUD10m. The Class B and C notes are LMI dependent. 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 Columbus compared to their credit policy at the time of underwriting. Fitch 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 SurveillancePrimary Analyst Hai Duong LeAssociate Director Phone +612 8256 0358Fitch Australia Pty Ltd., Level 15, 77 King St, Sydney, NSW 2000Secondary Analyst Ben Newey Director+61 2 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.comSources of Information: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=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 Representations, 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=1001851Solicitation Status https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1001851Endorsement 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.