MELBOURNE (S&P Global Ratings) Feb. 14, 2023--S&P Global Ratings today affirmed its ratings on the class A2 and class B prime residential mortgage-backed securities (RMBS) issued by Perpetual Trustee Co. Ltd. as trustee of Integrity Series 2014-1 Trust (see list). Integrity Series 2014-1 Trust is a securitization of prime residential mortgages by Cuscal Ltd.
The rating affirmations follow the repurchase of approximately A$18.6 million of mortgages from the trust. The funds from the sale will be used to repay notes in line with the principal waterfall.
The ratings reflect:
- Our view of the credit risk of the underlying collateral portfolio, after the repurchase of the loans. As of Dec. 31, 2022, the portfolio has a weighted-average seasoning of 200 months, and the weighted-average current loan-to-value ratio is 40.08%.
- That credit support provided to the notes exceeds the credit support required at their rating levels. This credit support includes subordination and mortgage insurance to 100% of the portfolio, which covers 100% of the face value of the loans, accrued interest, and reasonable costs of enforcement.
- Integris Securitisation Services Pty Ltd. as master servicer, which oversees the nominated sellers in the management of the loans in arrears. Arrears to date have performed above Standard & Poor's Performance Index (SPIN) for Australian prime RMBS transactions. As of Dec. 31, 2022, 1.00% of the pool balance is more than 30 days in arrears. There have been no significant losses to date.
- Our expectation that the various mechanisms to support liquidity within the transaction, including principal draws and an amortizing liquidity facility initially equal to 1.8% of the initial aggregate principal outstanding of all mortgage loans, are sufficient under our stress assumptions to support timely payment of interest.
A constraining factor on the ratings assigned to the class B notes is the increasing level of borrower concentrations in the pool. The largest 10 borrowers make up 9.49% of the pool, with the largest borrower accounting for 1.75%.
Related Criteria
- General Criteria: Environmental, Social, And Governance Principles In Credit Ratings, Oct. 10, 2021
- Criteria | Structured Finance | General: Global Framework For Payment Structure And Cash Flow Analysis Of Structured Finance Securities, Dec. 22, 2020
- Criteria | Structured Finance | General: Methodology To Derive Stressed Interest Rates In Structured Finance, Oct. 18, 2019
- Criteria | Structured Finance | General: Counterparty Risk Framework: Methodology And Assumptions, March 8, 2019
- Legal Criteria: Structured Finance: Asset Isolation And Special-Purpose Entity Methodology, March 29, 2017
- Criteria | Structured Finance | RMBS: Methodology For Assessing Mortgage Insurance And Similar Guarantees And Supports In Structured And Public Sector Finance And Covered Bonds, Dec. 7, 2014
- Criteria | Structured Finance | General: Global Framework For Assessing Operational Risk In Structured Finance Transactions, Oct. 9, 2014
- Criteria | Structured Finance | RMBS: Assumptions: Australian RMBS Postcode Classification Assumptions, July 10, 2013
- General Criteria: Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012
- Criteria | Structured Finance | RMBS: Australian RMBS Rating Methodology And Assumptions, Sept. 1, 2011
- General Criteria: Principles Of Credit Ratings, Feb. 16, 2011
- Criteria | Structured Finance | RMBS: Methodology And Assumptions For Analyzing The Cash Flow And Payment Structures Of Australian And New Zealand RMBS, June 2, 2010
- Criteria | Structured Finance | General: Methodology For Servicer Risk Assessment, May 28, 2009
Related Research
- 2023 Outlook Assumptions For The Australian RMBS Market, Jan. 6, 2023
- An Overview Of Australia’s Housing Market And Residential Mortgage-Backed Securities, Nov. 28, 2022
- ESG Industry Report Card: Residential Mortgage-Backed Securities, March 31, 2021
- Australian Prime And Nonconforming RMBS: What's The Difference? Nov. 17, 2019
- Australia And New Zealand Structured Finance Scenario And Sensitivity Analysis: Understanding The Effects Of Macroeconomic Factors On Credit Quality, April 17, 2017
- Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016
- RMBS Performance Watch: Australia, published quarterly
- RMBS Arrears Statistics: Australia, published monthly
Ratings Affirmed
Integrity Series 2014-1 Trust
- Class A2: AAA (sf)
- Class B: AA (sf)
REGULATORY DISCLOSURES
Please refer to the initial rating report for any additional regulatory disclosures that may apply to a transaction.
AUSTRALIA
S&P Global Ratings Australia Pty Ltd holds Australian financial services license number 337565 under the Corporations Act 2001. S&P Global Ratings' credit ratings and related research are not intended for and must not be distributed to any person in Australia other than a wholesale client (as defined in Chapter 7 of the Corporations Act).
Primary Credit Analyst: | Mallika Khare, Melbourne +61 3 9631 2135; mallika.khare@spglobal.com |
Secondary Contact: | Alisha Treacy, Melbourne + 61 3 9631 2182; alisha.treacy@spglobal.com |
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