Interstar NZ Millennium Series 2004-A Trust Tranche 2 And Tranche 3 Ratings Lowered

Stocks and Financial Services Press Releases Tuesday November 29, 2016 09:16
MELBOURNE--29 Nov--S&P Global Ratings

MELBOURNE (S&P Global Ratings) Nov. 29, 2016--S&P Global Ratings today lowered its ratings on two classes of notes issued by Trustees Executors Ltd. as trustee for Interstar NZ Millennium Series 2004-A Trust. We lowered our rating on the tranche 2 notes to 'AA (sf)' from 'AAA (sf)' and the tranche 3 notes to 'BB (sf)' from 'BBB (sf)'.

The rating actions are a consequence of further analysis of the exposure to long-dated arrears, combined with an increasingly concentrated pool. The timing and level of interest and principal recoveries is uncertain for the long-dated arrears portfolio because Challenger Mortgage Management Pty Ltd. has amended the original terms and conditions for a portion of the loans.

The pool has become increasingly concentrated. A total of 91 consolidated loans remain in the pool, with a total loan balance of approximately NZ$13.1 million. Currently, the 10 largest borrowers by current balance account for about 32% of the total pool, and the largest exposure to a single loan is 6%. The long-dated arrears portfolio in which the timing and level of recoveries is uncertain amounts to about 18% and NZ$2.2 million of the remaining pool balance.

The current ratings on the tranche 2 and tranche 3 notes reflect our view of the credit risk of the performing loans, low weighted-average loan-to-value ratio and significant seasoning of the loans, the provision of lenders' mortgage insurance policies on the performing loans, and, for the tranche 2 notes, the 34.6% of subordination provided by the tranche 3 notes. The current ratings also reflects the ability of the tranche 2 and tranche 3 notes to withstand losses that could occur from loans with long-dated arrears due to the current generation of sufficient excess spread to cover any losses or interest shortfalls.

Our lowering of the ratings reflects our view of the notes' increasing sensitivity to the timing of recoveries from the long-dated arrears, and the ability to cover losses at the tail end of the transaction if excess spread is eroded because of the amortization profile of the assets and the level of outstanding recoveries.

Downward pressure on the ratings would increase if long-dated arrears were to remain outstanding and no recoveries were to eventuate, particularly if lenders' mortgage insurance is unavailable and the availability of excess spread to cover any loss amounts were tested by the amortization of the asset pool.

We have assessed pool concentrations by sizing an alternate loss scenario for the pool. Under this scenario, the top 10 loans, at the 'AAA' rating level, default and are recovered upon. The loss severity for each loan is the higher of 50%, the loan's loss severity, and the pool's weighted-average loss severity. The expected loss for the pool is the higher of that number, and the number sized applying our "Australian RMBS Rating Methodology And Assumptions" criteria, published Sept. 1, 2011. This approach is consistent with the "U.S. RMBS Surveillance Credit And Cash Flow Analysis For Pre-2009 Originations" criteria, published March 2, 2016.

RATINGS LOWERED
Class Rating To Rating From
Tranche 2 AA (sf) AAA (sf)
Tranche 3 BB (sf) BBB (sf)

Latest Press Release

Fitch Affirms Standard Chartered Bank (Thai) at #A-#; Outlook Stable

Fitch Ratings has affirmed Standard Chartered Bank (Thai) Public Company Limited's (SCBT) Long-Term Foreign- and Local-Currency Issuer Default Ratings (IDR) at 'A-' with a Stable Outlook. At the same time, the agency has affirmed SCBT's National...

Photo Release: KBank recognized as having the highest corporate brand value in the banking business category 2nd consecutive year

At Sukree Kaewcharoen Auditorium, the Stock Exchange of Thailand (SET), Ms. Kattiya Indaravijaya, KBank President, recently represented KBank to receive the "Thailand's Top Corporate Brand Values 2018" award in the banking business category from...

MicroBitcoin Open Source Community เซ็นสัญญากับสมาพันธ์แรงงานในเกาหลี เปิดโอกาสให้แรงงาน 1.5 ล้านคนได้ใช้เงินดิจิทัล

MicroBitcoin Open Source Community เซ็นสัญญากับสมาพันธ์แรงงาน Korea Association of Care Workers (KACW) เพื่อนำสกุลเงินดิจิทัล MicroBitcoin มาใช้ สัญญานี้ลงนามร่วมกันสามฝ่าย ได้แก่ MicroBitcoin Open Source Community, KACW และ Bluequotient...

MicroBitcoin Open Source Community Signs an Exclusive Contract with the Korea Association of Care Workers (KACW) to Expand its Usability to One and a Half Million Users

The MicroBitcoin Open Source Community has signed a contract with Korea Association of Care Workers (KACW) to adapt the MicroBitcoin blockchain network protocol. The trilateral contract was made between the MicroBitcoin Open Source Community, the Korea...

WICE establishes a joint-venture, EUROASIA TOTAL LOGISTICS, with its holding 40% of shares to provide cross-border transport services between China, Hong Kong

WICE establishes a joint-venture, "EUROASIA TOTAL LOGISTICS", with its holding 40% of shares to provide cross-border transport services between China, Hong Kong, and South East Asia with the expectation to achieve the first year's revenue at 200 million...

Related Topics