Securitised Australian Mortgage Trust 2008-2 Class A Notes Rating Affirmed

Stocks and Financial Services Press Releases Wednesday June 20, 2018 09:49
MELBOURNE--20 Jun--S&P Global Ratings

MELBOURNE (S&P Global Ratings) June 20, 2018--S&P Global Ratings today affirmed its rating on the class A residential mortgage-backed securities (RMBS) issued by Perpetual Trustee Co. Ltd. as trustee for Securitised Australian Mortgage Trust 2008-2.

The rating affirmation follows the acquisition of approximately A$351 million of residential mortgage assets into Securitised Australian Mortgage Trust 2008-2, which will be funded by further note issuance. This takes the total amount of class A notes to A$677.7 million. Through the top-up mechanism in the transaction documents, the trustee can issue new notes to fund the acquisition of additional loans into the trust.

The rating affirmation reflects the following factors:
  • The level of credit support provided to the class A notes, in the form of subordination provided by the class B notes, is in excess of the minimum credit support required before giving credit to lenders' mortgage insurance (LMI). We view the credit support provided to the class A notes to be sufficient to withstand the stresses commensurate with the current rating.
  • The underlying asset pool currently consists of 4,166 consolidated loans, with a weighted-average current loan-to-value (LTV) ratio of 54.7% and a weighted-average seasoning of 117.3 months.
  • Our credit support calculation takes into account the 39.5% exposure to line-of-credit loans, which allows borrowers to draw up to the facility limit, which would increase the LTV ratio as borrowers draw additional funds up to the predetermined limit.
  • About 24.4% of the pool is made up of loans that have interest-only periods before converting to fully amortizing for the remainder of the term. We have increased the default frequency on these loans to take into account the potential for payment shock when the payments revert to fully amortizing. The majority of these loans will convert to fully amortizing within the next five years.
  • The support provided by LMI policies, with Genworth Financial Mortgage Insurance Pty Ltd., that cover 18.4% of the pool of mortgages. The LMI policies on the insured loans cover 100% of the outstanding principal of the loans insured, including accrued interest during the recovery period and reasonable realization costs.
  • Our expectation that the amortizing liquidity facility, equal to 1.4% of the bonds outstanding, is adequate under our stress assumptions to cover timely payment of interest.
  • S&P Global Ratings' assessment of credit risk takes into account originator and servicer Citibank's underwriting standards, processes, and servicing quality, which are consistent with industry-wide practices.

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