Securitised Australian Mortgage Trust 2017-1 Prime RMBS Assigned Preliminary Ratings

Stocks and Financial Services Press Releases Thursday October 5, 2017 12:47
MELBOURNE--5 Oct--S&P Global Ratings

MELBOURNE (S&P Global Ratings) Oct. 5, 2017--S&P Global Ratings today assigned its preliminary ratings to two of the three classes of prime residential mortgage-backed securities (RMBS) to be issued by Perpetual Corporate Trust Ltd. as trustee for Securitised Australian Mortgage Trust 2017-1 (see list).

The preliminary ratings reflect: The credit risk of the underlying collateral portfolio and the credit support provided to each class of notes are commensurate with the ratings assigned. Credit support is provided by subordination and lenders' mortgage insurance (LMI) cover for the class A and class AB notes. Subordination provided to the class A and class AB notes is in excess of our opinion of the minimum 'AAA (sf)' level of credit support when giving no credit to LMI.The issuer's capacity to pay interest to the class A and class AB note holders in full on each interest payment date, and to repay principal in full no later than the final maturity date, under their respective rating stresses. For the timely payment of senior expenses, class A and class AB note interest is supported through the ability to draw on principal, then by an amortizing liquidity facility to be provided by Citigroup Pty Ltd. (Citigroup). The amortizing liquidity facility is sized at 1.25% of the note balance on closing, amortizing to a floor of A$1,250,000. Other rating factors include the threshold-rate mechanism, which requires the manager to set the interest rate on the underlying mortgage loans at a level that meets senior expenses, class A and class AB note interest, plus a margin of 0.25% per annum.The assessment of credit risk takes into account Citigroup's underwriting standards and approval process, which are consistent with industry-wide practices, the servicing quality of Citigroup, and the support provided by the LMI policies on 2.0% of the pool. The LMI policies on the insured loans provide 100% cover for the outstanding principal of each insured loan, accrued interest, and reasonable selling costs, excluding subordinate further.The legal structure of the trust, which is established as a special-purpose entity, and meets our criteria for insolvency remoteness.

A copy of S&P Global Ratings' complete report for Securitised Australian Mortgage Trust 2017-1 can be found on RatingsDirect, S&P Global Ratings' web-based credit analysis system, at http://www.spglobal.com/ratingsdirect.

PRELIMINARY RATINGS ASSIGNED
Class Rating Amount (mil. A$)
A AAA (sf) 1,500.0
AB AAA (sf) 49.0
B NR 82.0
NR--Not rated.

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