MELBOURNE (S&P Global Ratings) Nov. 10, 2023--S&P Global Ratings today affirmed its ratings on seven classes of notes issued by New Zealand Guardian Trust Co. Ltd. as trustee for Bluestone NZ Prime 2021-1 Trust (see list).
The rating actions reflect our view of the credit support available, which is sufficient to withstand the stresses we apply. Credit support comprises note subordination for all rated notes, which has increased compared with what it was on closing, and excess spread, if any.
The asset pool has continued to amortize, which as of Aug. 31, 2023, has a pool factor of 40.4%. There are currently no loans more than 30 days in arrears and there have been no losses to date. The portfolio has generally strengthened, with a weighted-average loan seasoning of 30.2 months and a current weighted-average loan-to-value ratio of 68.8%. These positive factors have been partly offset by an increase in borrower concentrations.
Our ratings are limited by the increasing borrower concentrations in the pool and the risk that it poses as the pool continues to amortize. As of Aug. 31, 2023, the 10 largest borrowers in the portfolio each comprise more than 1% of the pool and in aggregate make up around 14.7% of the total pool balance. The potential for tail-end risks increases as the pool shrinks, with the subordinated note classes being more susceptible to potential losses. We have assessed pool concentrations by applying an additional minimum loss projection when determining the expected loss for the pool. The expected loss for the pool is the higher of the additional minimum loss projection and the number sized when applying our standard credit analysis, as per our "Australian RMBS Rating Methodology And Assumptions" criteria, published Sept. 1, 2011.
The rated classes of notes are currently paying on a sequential basis; however, we expect it to meet the trigger for the second anniversary since closing date in the coming months. Once all performance triggers are met, the transaction will switch to pro-rata paydown.
Our expectation is that the various mechanisms to support liquidity within the transaction, including principal draws, and an amortizing liquidity facility are sufficient to ensure timely payment of interest.
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Bluestone NZ Prime 2021-1 Trust
- Class A1: AAA (sf)
- Class A2: AAA (sf)
- Class B: AA (sf)
- Class C: A (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:||Justin Rockman, Melbourne + 61 3 9631 2183;|
|Secondary Contact:||Narelle Coneybeare, Sydney + 61 2 9255 9838;|
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