Fitch Ratings has assigned final ratings to
The issuance consists of notes backed by a pool of Australian conforming and non-conforming residential full- and low-documentation mortgage loans originated by
RATING ACTIONS
Entity / Debt
Rating
Prior
A1 AU3FN0074050
LT
AAAsf
New Rating
A2 AU3FN0074068
LT
AAAsf
New Rating
AB AU3FN0074043
LT
AAAsf
New Rating
B AU3FN0074076
LT
NRsf
New Rating
NR(EXP)sf
C AU3FN0074035
LT
NRsf
New Rating
NR(EXP)sf
D AU3FN0074019
LT
NRsf
New Rating
NR(EXP)sf
E AU3FN0074027
LT
NRsf
New Rating
NR(EXP)sf
F AU3FN0074001
LT
NRsf
New Rating
NR(EXP)sf
G AU3FN0073995
LT
NRsf
New Rating
NR(EXP)sf
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VIEW ADDITIONAL RATING DETAILS
Transaction Summary
The collateral pool is unchanged from the assignment of the expected rating and consisted of 768 obligors and totalled AUD499.9 million at the
KEY RATING DRIVERS
Sufficient Credit Enhancement Mitigates Expected 'AAAsf' Losses: The 'AAAsf' weighted-average (WA) foreclosure frequency of 21.0% is driven by the WA unindexed loan/value ratio (LVR) of 70.2%, non-conforming loans under Fitch's methodology forming 22.3% of the pool, low-documentation loans accounting for 91.8%, self-employed borrowers comprising 93.0% and Fitch-calculated investment loans making up 39.0%.
The 'AAAsf' portfolio loss of 9.6% compares with 7.6% for the previous RESIMAC Bastille transaction - RESIMAC Bastille Trust Series 2022-1NC - due to the higher WA current LVR and greater amount of Fitch-classified non-conforming and investment loans, low documentation loans, loans to self-employed borrowers and interest-only loans. The 'AAAsf' WA recovery rate of 54.0% is driven by the portfolio's WA indexed scheduled LVR of 69.1%. The class A1 and A2 notes benefit from credit enhancement of 25.0% and the class AB from 15.0%.
Limited Liquidity Risk: Structural features include retention and amortisation amounts that redirect excess income to repay the notes' principal balances and a liquidity facility sized at 1.5% of the note balance, with a floor of AUD0.75 million, sufficient to mitigate Fitch's payment interruption risk. The class A1, A2 and AB notes can withstand all relevant Fitch stresses applied in our cash flow analysis.
Low Operational Risk:
Tight Labour Market to Support Outlook: Performance is supported by
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 the economic environment. Weakening asset performance is strongly correlated with increasing levels of delinquencies and defaults that could reduce credit enhancement available to the notes.
Downgrade Sensitivities
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. Fitch applies the recovery rate stress to the recovery rate to isolate the effect of a change in recovery proceeds at the borrower level.
Notes: A1/A2/AB
Final Rating: AAAsf/AAAsf/AAAsf
Increase defaults by 15%: AAAsf/AAAsf/AAAsf
Increase defaults by 30%: AAAsf/AAAsf/AAAsf
Reduce recoveries by 15%: AAAsf/AAAsf/AAAsf
Reduce recoveries by 30%: AAAsf/AAAsf/AAAsf
Increase defaults by 15% and reduce recoveries by 15%: AAAsf/AAAsf/AAAsf
Increase defaults by 30% and reduce recoveries by 30%: AAAsf/AAAsf/AA+sf
The transaction structure supports ratings independent of lenders' mortgage insurance (LMI) for the class A1, A2 and AB notes, as LMI is not required to support the ratings due to the level of credit support provided by the lower ranked notes.
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 ratings 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 sought to receive a third-party assessment conducted on the asset portfolio information, but none was made available for this transaction.
As part of its ongoing monitoring, Fitch reviewed a small targeted sample of
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.
Date of Relevant Committee
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.
REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS
A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by clicking the link to the Appendix. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions'.
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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