MELBOURNE (S&P Global Ratings) Sept. 15, 2023--S&P Global Ratings today affirmed its 'AAA (sf)' ratings on the class A1 and class B1 residential mortgage-backed securities (RMBS) issued by Perpetual Corporate Trust Ltd. as trustee for La Trobe Australian Warehouse Trust. La Trobe Australian Warehouse Trust is a securitization of nonconforming and prime residential mortgages originated by La Trobe Financial Services Pty Ltd.
The rating affirmations follow the transfer of approximately A$111.1 million of residential mortgage loan assets to La Trobe Australian Warehouse Trust, which will be funded by a further issuance of notes. This takes the total amount of note issuance to A$672.57 million. In the transaction documents, the trustee can issue new notes to fund the acquisition of additional loans by the trust or redeem existing notes when loans are being sold out of the trust.
The rating affirmations reflect:
- Our view of the credit risk of the underlying collateral portfolio following the substitution of mortgages. The revised pool has a weighted-average loan-to-value ratio of approximately 68.70% and borrowers with one or more credit event make up 3.40% of the portfolio. Interest-only loans make up 22.50% of the pool balance, with loans converting to fully amortizing within five years. Our view is that the interest-only feature can create payment shock when the payments convert to fully amortizing during the remaining term of the loan.
- The asset performance, with 1.20% of the pool balance more than 30 days in arrears.
- Our view that the credit support provided to each class of notes is commensurate with the ratings assigned. Credit support is provided by subordination and excess spread. Our assessment of credit risk takes into account La Trobe Financial's underwriting standards, approval process, and servicing quality.
- That the transaction's cash flows can meet timely payment of interest and ultimate repayment of principal to the noteholders under the rating stresses.
- The counterparty support provided by Commonwealth Bank of Australia as bank account provider. The transaction documents for the bank accounts include downgrade language consistent with our "Counterparty Risk Framework: Methodology And Assumptions" criteria, published on March 8, 2019, that requires the replacement of the counterparty if our rating on it falls below the applicable rating.
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- 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 | 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
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- Criteria | Structured Finance | General: Methodology For Servicer Risk Assessment, May 28, 2009
- 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
- Monetary Tightening To Test Australian RMBS, June 15, 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
La Trobe Australian Warehouse Trust
- Class A1, A$397,590,000: AAA (sf)
- Class A2, A$187,710,000: Not rated
- Class B1, A$10,000: AAA (sf)
- Class B2, A$73,800,000: Not rated
- Class B3, A$0: Not rated
- Class B4, A$0: Not rated
- Class Equity, A$13,460,000: Not rated
The issuer has not informed S&P Global Ratings Australia Pty Ltd. whether the issuer is publicly disclosing all relevant information about the structured finance instruments that are subject to this rating report or whether relevant information remains nonpublic.
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:||Timothy J Bartl, CFA, Melbourne + 61 3 9631 2103;|
|Secondary Contact:||Charlie Peng, Melbourne;|
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