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Mortgage House Capital Mortgage Trust No.1 - Mortgage House RMBS Series 2020-1 Ratings Raised On Two Note Classes


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Mortgage House Capital Mortgage Trust No.1 - Mortgage House RMBS Series 2020-1 Ratings Raised On Two Note Classes

MELBOURNE (S&P Global Ratings) Sept. 15, 2022--S&P Global Ratings today raised its ratings on two classes of notes issued by Perpetual Trustee Co. Ltd. as trustee for Mortgage House Capital Mortgage Trust No.1 in respect of the Mortgage House RMBS Series 2020-1. At the same time, we affirmed our ratings on six classes of notes (see list).

The rating actions reflect our view of the credit risk of the underlying collateral portfolio. The asset pool has continued to amortize and has a pool factor of around 47% as of July 31, 2022. Loans more than 30 days in arrears make up 0.18% of the current balance and there have been no losses to date. Furthermore, the portfolio has strengthened, with a weighted-average current loan-to-value ratio of 56.0% and weighted-average seasoning of 48.6 months.

Under the current sequential pay structure, there has been a significant buildup of subordination and credit support provided to each class of notes. Credit support is provided by subordination and excess spread.

We believe it is likely that the pro rata triggers will be met soon, after which the transaction will convert to a pro rata payment structure. Under the pro rata payment structure, the class G allocated principal is paid to the class F notes until the class F notes are fully repaid, followed by the remaining subordinated notes once the class F notes have fully repaid. The class F notes therefore will continue to benefit from an increase in the percentage of credit support provided as the pool amortizes under a pro rata structure, while the percentage of credit support will remain static for the remaining rated notes.

A constraining factor on the degree of upgrades is the increasing risk of borrower concentration as the pool continues to amortize, the relatively small size of the lower-rated notes in the transaction, and loan size distributions relative to the absolute amounts of the lower-rated notes. Our view is that the lower-rated notes are more susceptible to increasing borrower concentration risk. The largest 10 borrowers make up 6.99% of the pool.

We have also considered in our analysis the effects of the current increasing interest-rate environment and the high proportion of fixed-rate loans in the pool.

These qualitative factors constrain our ratings beyond quantitative factors alone.

Related Criteria

Related Research

Ratings Raised

Mortgage House Capital Mortgage Trust No.1 in respect of the Mortgage House RMBS Series 2020-1
  • Class B: to AAA (sf) from AA (sf)
  • Class C: to A+ (sf) from A (sf)

Ratings Affirmed

Mortgage House Capital Mortgage Trust No.1 in respect of the Mortgage House RMBS Series 2020-1
  • Class A1: AAA (sf)
  • Class A2: AAA (sf)
  • Class AB: AAA (sf)
  • Class D: BBB (sf)
  • Class E: BB (sf)
  • Class F: B (sf)


Please refer to the initial rating report for any additional regulatory disclosures that may apply to a transaction.


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:Michelle Hsiung, Melbourne + 61 (3) 96312111;
Secondary Contact:Alisha Treacy, Melbourne + 61 3 9631 2182;

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