AFG 2018-1 Trust In Respect Of Series 2018-1 Prime RMBS Assigned Preliminary Ratings

Stocks and Financial Services Press Releases Monday June 4, 2018 09:16
MELBOURNE--4 Jun--S&P Global Ratings

MELBOURNE (S&P Global Ratings) June 4, 2018--S&P Global Ratings today assigned its preliminary ratings to eight of the nine classes of prime residential mortgage-backed securities (RMBS) to be issued by Perpetual Corporate Trust Ltd. as trustee for AFG 2018-1 Trust in respect of Series 2018-1 (see list).

The preliminary ratings reflect:
  • Our view of the credit risk of the underlying collateral portfolio, including our view that the credit support is sufficient to withstand the stresses we apply. The credit support for the rated notes comprises note subordination, excess spread and lenders' mortgage insurance (LMI) on 46.9% of the portfolio.
  • Our expectation that the various mechanisms to support liquidity within the transaction, including a liquidity facility equal to 1.0% of the aggregate outstanding amount of the notes, and the principal draw function are sufficient to ensure timely payment of interest.
  • The extraordinary expense reserve of A$150,000 funded by AFG Securities Pty Ltd. on the closing date to meet extraordinary expenses. The reserve is to be topped up from excess spread, if any, to the extent it has been drawn.
  • The counterparty exposure to National Australia Bank Ltd. as liquidity facility provider and Australia and New Zealand Banking Group Ltd. as bank account provider. The transaction documents for the liquidity facility and bank account include downgrade language consistent with S&P Global Ratings' counterparty criteria.

A copy of S&P Global Ratings' complete report for AFG 2018-1 Trust in respect of Series 2018-1 can be found on RatingsDirect, S&P Global Ratings' Web-based credit analysis system, at http://www.capitaliq.com.

PRELIMINARY RATINGS ASSIGNED
Class Rating Amount (mil. A$)
A1 AAA (sf) 65.00
A2 AAA (sf) 250.00
A3 AAA (sf) 14.7
AB AAA (sf) 8.75
B AA (sf) 5.075
C A (sf) 3.675
D BBB (sf) 1.225
E BB (sf) 0.875
F NR 0.70

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