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Integrity Series 2014-1 Trust RMBS Class A2 And Class B Note Ratings Affirmed

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

Related Research

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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