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Various Rating Actions Taken On Two SMHL Series Securitisation Fund Transactions

SYDNEY (S&P Global Ratings) June 27, 2022--S&P Global Ratings today raised its rating on one class of RMBS notes issued by Perpetual Ltd. as trustee of SMHL Series Securitisation Fund 2019-1. At the same time, we affirmed our ratings on 10 classes of notes issued out of SMHL Series Securitisation Fund 2018-2 and SMHL Series Securitisation Fund 2019-1 (see list).

The rating actions reflect:

  • Our view of the credit risk of the underlying collateral portfolios. The asset pools have continued to amortize and have a pool factor of around 24% for SMHL 2018-2 and 44% for SMHL 2019-1 as of April 19, 2022. Current loan-to-value ratios for both pools are relatively low, at 47.8% for the SMHL 2018-2 transaction and 55.3% for the SMHL 2019-1 transaction, lowering our expectation of losses for the pools.
  • That we have factored into our analysis the arrears performance of the loans in the pools, which have generally been higher relative to the Standard & Poor's Performance Index (SPIN) for prime loans. As of April 19, 2022, loans greater than 30 days in arrears represent 1.93% for SMHL 2018-2, of which 1.24% is more than 90 days in arrears, and 1.51% for SMHL 2019-1, of which 0.63% is more than 90 days in arrears. There have been no charge-offs to any of the notes.
  • That the credit support provided to each class of notes is sufficient to withstand the stresses we apply at each respective rating level. For both transactions, this credit support comprises subordination from junior notes and lenders' mortgage insurance for a portion of the loans in each portfolio.
  • That the transactions' cash flows support the timely payment of interest and ultimate payment of principal to the noteholders under our rating stress assumptions.
  • That the various mechanisms to support liquidity within the transactions, including principal draws, amortizing liquidity facilities, and spread reserves which will build up after the call date, are sufficient to ensure timely payment of interest.
  • That there are fixed- to floating-rate interest-rate swaps provided by appropriately rated counterparties to hedge the mismatch between receipts from fixed-rate mortgage loans and the variable-rate RMBS in both transactions.

Related Criteria

Related Research

Rating Raised

SMHL Series Securitisation Fund 2019-1
  • Class E: to BBB (sf) from BBB- (sf)

Ratings Affirmed

SMHL Series Securitisation Fund 2018-2
  • Class A: AAA (sf)
  • Class AB: AAA (sf)
  • Class B: AAA (sf)
  • Class C: AA- (sf)
  • Class D: A (sf)
SMHL Series Securitisation Fund 2019-1
  • Class A: AAA (sf)
  • Class AB: AAA (sf)
  • Class B: AAA (sf)
  • Class C: AA (sf)
  • Class D: A (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:James Page, Sydney + 61 29255 9847;
james.page@spglobal.com
Secondary Contact:Elizabeth A Steenson, Melbourne + 61 3 9631 2162;
elizabeth.steenson@spglobal.com

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