MELBOURNE (S&P Global Ratings) June 15, 2023--S&P Global Ratings today affirmed its 'AAA (sf)' rating on the class A residential mortgage-backed securities (RMBS) issued by Perpetual Corporate Trust Ltd. as trustee for CMG Funding Trust No.1 Repo Series No.1.
CMG Funding Trust No.1 Repo Series No.1 is a securitization of Australian-dollar loans, secured by mortgages over Australian properties originated by Regional Australia Bank Ltd. The rating affirmation follows the substitution of approximately A$85 million in mortgage loans funded by cash collections. The aggregate amount of notes issued remains A$615 million. At the same time, the transactions documents were amended to allow, among other changes, an extension of the legal maturity of the notes and the substitution period to September 2065 and September 2029, respectively.
The rating affirmation reflects the following factors:
- Our view that the credit support provided to the class A notes is sufficient to withstand the stresses we apply. Credit support is provided by subordination, excess spread, and lenders' mortgage insurance on about 22.7% of the underlying mortgage portfolio. The credit support provided by note subordination exceeds our minimum assessed credit support at a 'AAA' level.
- That the underlying collateral portfolio as of April 2023 consists of 2,726 consolidated loans totaling A$610.35 million, with a weighted-average current loan-to-value ratio of 62.3% and weighted-average loan seasoning of 42.9 months. The arrears remain relatively low, with a total of 0.4% of the collateral pool more than 30 days in arrears as of April 30, 2023.
- That around 94.2% of the portfolio is secured by loans located in areas that S&P Global Ratings classifies as nonmetropolitan. Our view is that defaults on nonmetropolitan properties would be more frequent during periods of economic stress because of population and economic factors.
- That 91.8% of the portfolio is backed by properties in New South Wales, representing a significant geographic-concentration risk. Our geographic-concentration limit for New South Wales is 60%, as per table 2 of our "Australian RMBS Rating Methodology And Assumptions" criteria, published on Sept. 1, 2011. Our view is that more clustered geographic distributions are at greater risk of being adversely affected by a localized economic downturn.
- That liquidity support for senior expenses and rated note interest includes an amortizing liquidity reserve, equaling 2% of outstanding notes, and the ability to use principal draws.
- That our assessment of credit risk also takes into account Regional Australia Bank's underwriting standards, processes, and servicing quality, which are consistent with industry-wide practices.
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
- 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
Rating Affirmed
CMG Funding Trust No.1 Repo Series No.1
- Class A, A$562 million: AAA (sf)
- Class B, A$53 million: Not rated
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: | Mei Lee Da Silva, Melbourne + 61 3 9631 2053; mei.dasilva@spglobal.com |
Secondary Contact: | Alisha Treacy, Melbourne + 61 3 9631 2182; alisha.treacy@spglobal.com |
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