La Trobe Financial Capital Markets Trust 2018-1 Nonconforming RMBS Assigned Ratings

Stocks and Financial Services Press Releases Thursday April 12, 2018 11:45
MELBOURNE--12 Apr--S&P Global Ratings

MELBOURNE (S&P Global Ratings) April 12, 2018--S&P Global Ratings today assigned its ratings to eight classes of residential mortgage-backed securities (RMBS) issued by Perpetual Corporate Trust Ltd. as trustee for La Trobe Financial Capital Markets Trust 2018-1 (see list). La Trobe Financial Capital Markets Trust 2018-1 is a securitization of nonconforming and prime residential mortgages originated by La Trobe Financial Services Pty Ltd.

The 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.
  • The availability of a retention amount, amortization amount, and yield reserve, which will all be funded by excess spread, but at various stages of the transaction's term. They will have separate functions and timeframes, including reducing the balance of senior notes, reducing the balance of the most subordinated notes, and subject to conditions, pay senior expenses and any interest shortfalls on the class A1S, class A1L, and class A2 notes.
  • Our expectation that the various mechanisms to support liquidity within the transaction, including a liquidity facility equal to 1.5% of the outstanding balance of the notes, and principal draws, are sufficient under our stress assumptions to ensure timely payment of interest.
  • A condition to maintain a minimum margin on the assets.

A copy of S&P Global Ratings' complete report for La Trobe Financial Capital Markets Trust 2018-1 can be found on RatingsDirect, S&P Global Ratings' Web-based credit analysis system, at http://www.capitaliq.com.

The issuer has not informed S&P Global Ratings Australia Pty Ltd. whether the issuer is publically disclosing all relevant information about the structured finance instruments that are subject to this rating report or whether relevant information remains non-public.

RATINGS ASSIGNED
Class Rating Amount (mil. A$)
A1S AAA (sf) 150.00
A1L AAA (sf) 375.00
A2 AAA (sf) 133.50
B AA (sf) 30.00
C A (sf) 23.25
D BBB (sf) 16.50
E BB (sf) 9.75
F B (sf) 6.75
Equity NR 5.25
NR--Not rated.

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