TORRENS Series 2017-3 Trust Prime RMBS Assigned Preliminary Ratings

Stocks and Financial Services Press Releases Wednesday August 2, 2017 09:30
MELBOURNE--2 Aug--S&P Global Ratings

MELBOURNE (S&P Global Ratings) Aug. 2, 2017--S&P Global Ratings today assigned its preliminary ratings to five classes of prime residential mortgage-backed securities (RMBS) to be issued by Perpetual Trustee Co. Ltd. as trustee for TORRENS Series 2017-3 Trust (see list).

The preliminary ratings reflect: Our view of the credit risk of the underlying collateral portfolio, including the fact that this is a closed portfolio, which means no further loans will be assigned to the trust after the closing date.

Our view that the credit support is sufficient to withstand the stresses we apply.

This credit support comprises note subordination and lenders' mortgage insurance to 16.2% of the portfolio, which covers 100% of the face value of these loans, accrued interest, and reasonable costs of enforcement.

Our expectation that the various mechanisms to support liquidity within the transaction, including an excess revenue reserve funded by available excess spread (subject to conditions), a liquidity facility equal to 0.85% of the invested amount of all notes and principal draws, are sufficient under our stress assumptions to ensure timely payment of interest.

The availability of a A$150,000 extraordinary expense reserve funded upfront by Bendigo and Adelaide Bank Ltd. to support trust expenses.

This reserve will be topped up with available excess spread if drawn on.The benefit of a standby fixed-to-floating interest-rate swap to be provided by National Australia Bank Ltd. to hedge the mismatch between receipts from any fixed-rate mortgage loans and the variable-rate RMBS.

The legal structure of the trust, which is established as a special-purpose entity, and meets our criteria for insolvency remoteness.

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