Fitch Ratings has affirmed the rating of
The transaction is backed by
RATING ACTIONS
Entity / Debt
Rating
Prior
Class B2 NZKNZD1022G6
LT
AAAsf
Affirmed
AAAsf
Page
of 1
VIEW ADDITIONAL RATING DETAILS
KEY RATING DRIVERS
Resilient Asset Performance:
The arrears figures are inclusive of hardship status loans and there have been no losses in the trust since the last rating action and minimal losses since closing.
Credit Enhancement Supports Ratings: The transaction is paying principal sequentially, with the ability to switch to pro rata pay down when pro rata criteria are satisfied. Asset and cash flow modelling were not performed for this review, in line with Fitch's APAC Residential Mortgage Rating Criteria. The rated notes have subordination of at least 2.2x the 'AAAsf' portfolio loss from the most recent model run. The transaction has a five-year revolving period, with one year remaining.
Low Operational Risk: ANZNZ has extensive experience originating, servicing and managing its mortgage portfolio, mitigating the operational risk of the transaction. Fitch undertook an operational review and found that the operations of the originator and servicer were comparable with those of other
Economic Rebound Supports Outlook: The Stable Outlook is supported by
Rated Above Sovereign Local-Currency IDR Structured finance notes can be rated up to six notches above
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative rating action/downgrade:
The transaction's performance may be affected by changes in market conditions and economic environment. Weakening asset performance is strongly correlated with increasing levels of delinquencies and defaults that could reduce credit enhancement available to the notes.
Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than Fitch's base case and are likely to result in a decline in credit enhancement and remaining loss-coverage levels available to the notes. Decreased credit enhancement may make certain note ratings susceptible to negative rating action, depending on the extent of the coverage decline. Hence, Fitch conducts sensitivity analysis by stressing a transaction's initial base-case assumptions.
The rating sensitivity section provides insight into the model-implied sensitivities the transaction faces when assumptions - WAFF or WARR - are modified, while holding others equal. The modelling process uses the modification of default and loss assumptions to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors.
For more information on rating sensitivities, please refer to the rating action commentary for
Factors that could, individually or collectively, lead to positive rating action/upgrade:
The rated notes are at 'AAAsf', which is the highest level on Fitch's scale. The rating cannot be upgraded.
Best/Worst Case Rating Scenario
International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.
DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information. As part of its ongoing monitoring, Fitch reviewed a small targeted sample of the originator's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio.
Fitch did not undertake a review of the information provided about the underlying asset pool ahead of the transaction's initial closing.
Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.
REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING
The principal sources of information used in the analysis are described in the Applicable Criteria.
The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is public.
ESG Considerations
Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg
Additional information is available on www.fitchratings.com
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