MELBOURNE (S&P Global Ratings) Nov. 15, 2023--S&P Global Ratings assigned its ratings to four classes of notes issued by Trustees Executors Ltd. as trustee of MTF Warehouse Trust No.1. At the same time, we affirmed our rating on the class A notes (previously named Warehouse notes). The notes are backed by consumer credit and finance lease contacts originated by New Zealand-based Motor Trade Finance Ltd.
The assigned ratings follow the execution of an amending deed that introduces multiple changes, including the issuance of class B, class C, class D, and class E notes with associated minimum required credit enhancement factors. Changes to portfolio parameters include increasing the maximum percentage of receivables with a principal balance greater than NZ$70,000 to 10% from 7.0%, increasing the maximum percentage of receivables with an original loan term greater than 48 months to 40% from 35%, and decreasing the maximum percentage of receivables deemed "high risk" to 10% from 15%. The maximum receivable principal balance has also been increased to NZ$200,000 from NZ$100,000.
The liquidity reserve funded via note overissuance has been replaced with a liquidity facility provided by Westpac New Zealand Ltd.
Our ratings reflect the following factors:
- The credit risk of the underlying collateral portfolio and the credit support provided for the rated notes in the form of subordination and excess spread, which is commensurate with that credit risk.
- Documented eligibility criteria, portfolio parameters, and amortization triggers govern the composition of the collateral pool.
- That all contract payments, including the residual or balloon payments, are an obligation of the borrower. As a result, the trust is not exposed to any market-value risk associated with the sale of the motor vehicles (on performing receivables), which is a risk that could be associated with other products, such as operating leases.
- The issuer's capacity to pay interest to the rated note holders in full on each interest payment date, and to repay principal in full no later than the final maturity date, under rating stresses commensurate with the ratings assigned. Timely payment of senior expenses and rated note interest is supported by the use of principal collections and a liquidity facility. Before an amortization event, the liquidity facility is sized at 1.0% of the aggregate commitment of class A, class B, class C, class D, and class E notes, subject to a floor of NZ$100,000. Following an amortization event, the liquidity facility is sized at 1.0% of the invested amount of the class A, class B, class C, class D, class E, and subordinated note, subject to a floor of NZ$100,000.
- The legal structure of the issuer, which is established as a special-purpose entity and meets our criteria for insolvency remoteness.
- Our ratings take into account the counterparty support provided by Bank of New Zealand as bank account provider, Westpac New Zealand Ltd. as liquidity facility provider, as well as Commonwealth Bank of Australia and Westpac Banking Corp. as interest-rate swap providers. Fixed- to floating-rate interest-rate swaps are provided to hedge the mismatch between the fixed-rate payments on the receivables and the floating-rate interest payable on the notes. The transaction documents for the swap and bank accounts include downgrade language consistent with our "Counterparty Risk Framework: Methodology And Assumptions" criteria, published on March 8, 2019, which requires the replacement of the counterparty or other remedy, should its rating fall below the applicable rating.
A copy of S&P Global Ratings' updated report for MTF Warehouse Trust No.1 can be found on RatingsDirect, S&P Global Ratings' web-based credit analysis system, at https://www.capitaliq.com.
- Criteria | Structured Finance | ABS: Global Consumer ABS Methodology And Assumptions, March 31, 2022
- Criteria | Structured Finance | ABS: Global Auto ABS Methodology And Assumptions, March 31, 2022
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MTF Warehouse Trust No.1
- Class B, up to NZ$20.14 million: AA (sf)
- Class C, up to NZ$19.54 million: A (sf)
- Class D, up to NZ$13.62 million: BBB (sf)
- Class E, up to NZ$10.07 million: BB (sf)
MTF Warehouse Trust No.1
- Class A (previously named Warehouse), up to NZ$520.0 million: AAA (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:||Leslie J Wong, Melbourne + (61) 3-9631-2932;|
|Secondary Contact:||Elizabeth A Steenson, Melbourne + 61 3 9631 2162;|
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