articles Ratings /ratings/en/research/articles/231117-blackwattle-series-rmbs-trust-2021-2-ratings-raised-on-five-note-classes-two-affirmed-12920717 content esgSubNav
In This List
NEWS

Blackwattle Series RMBS Trust 2021-2 Ratings Raised On Five Note Classes; Two Affirmed

Covered Bonds Uncovered: Dutch Covered Bond Insights and Blockchain Meets Covered Bonds

COMMENTS

U.S. BSL CLO Obligors: Corporate Rating Actions Tracker 2025 (As Of April 11)

NEWS

Report Explains How Irish RMBS Performance Is Diverging

COMMENTS

Credit FAQ: ABS Frontiers: Sharia-Compliant Mortgages And RMBS Explained


Blackwattle Series RMBS Trust 2021-2 Ratings Raised On Five Note Classes; Two Affirmed

MELBOURNE (S&P Global Ratings) Nov. 17, 2023--S&P Global Ratings today raised its ratings on five classes of prime residential mortgage-backed securities (RMBS) issued by Permanent Custodians Ltd. as trustee for Blackwattle Series RMBS Trust 2021-2. At the same time, we affirmed our ratings on two classes of notes issued out of the same trust (see list).

The rating actions reflect that although arrears are above the Standard & Poor's Performance Index (SPIN) for Australian prime mortgage loans, the relatively high prepayment rate on the portfolio, coupled with the sequential note principal repayment structure to date, has resulted in a rapid buildup of credit enhancement for the rated notes. The credit support available, which comprises note subordination for all rated notes, lenders' mortgage insurance covering 1.5% of the loan pool, and excess spread, if any, is sufficient to withstand the stresses we apply.

The overall credit quality of the underlying collateral pool, which as of Sept. 30, 2023, has a pool factor of 40%, remains sound, with weighted-average seasoning of 29 months and a current weighted-average loan-to-value ratio of 67%. Borrower concentration is starting to increase, with the top 10 borrowers currently comprising about 11% of the pool; however, this has been factored into our credit analysis.

The pool has generally performed within expectations, although total arrears for the transaction increased during 2023. As of Sept. 30, 2023, loans in arrears exceed the SPIN, and those more than 90 days in arrears comprise 1.4% of the pool. We note, however, that to date there have been no loan losses and no charge-offs to any class of notes.

The transaction's cash flows support the timely payment of interest and ultimate payment of principal to the rated classes of notes under our rating stress assumptions.

Although the note principal repayment structure has been sequential to date, we expect the transaction to convert to pro-rata payments next month. We have taken this and other qualitative factors into account in our analysis and limited our ratings on the class D, class E, and class F notes below model-implied outcomes.

Our expectation is that the various mechanisms to support liquidity within the transactions, including principal draws, loss reserve and amortizing liquidity facility are sufficient to ensure timely payment of interest.

Related Criteria

Related Research

Ratings Raised

Blackwattle Series RMBS Trust 2021-2
  • Class B: to AAA (sf) from AA (sf)
  • Class C: to AA (sf) from A (sf)
  • Class D: to A- (sf) from BBB (sf)
  • Class E: to BB+ (sf) from BB (sf)
  • Class F: to B+ (sf) from B (sf)

Ratings Affirmed

Blackwattle Series RMBS Trust 2021-2
  • Class A1: AAA (sf)
  • Class A2: AAA (sf)

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:Vi Dinh, Melbourne 498610243;
vi.dinh@spglobal.com
Secondary Contact:Elizabeth A Steenson, Melbourne + 61 3 9631 2162;
elizabeth.steenson@spglobal.com

No content (including ratings, credit-related analyses and data, valuations, model, software, or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced, or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor’s Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees, or agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness, or availability of the Content. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an “as is” basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE UNINTERRUPTED, OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advised of the possibility of such damages.

Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. S&P’s opinions, analyses, and rating acknowledgment decisions (described below) are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment, and experience of the user, its management, employees, advisors, and/or clients when making investment and other business decisions. S&P does not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. Rating-related publications may be published for a variety of reasons that are not necessarily dependent on action by rating committees, including, but not limited to, the publication of a periodic update on a credit rating and related analyses.

To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain regulatory purposes, S&P reserves the right to assign, withdraw, or suspend such acknowledgement at any time and in its sole discretion. S&P Parties disclaim any duty whatsoever arising out of the assignment, withdrawal, or suspension of an acknowledgment as well as any liability for any damage alleged to have been suffered on account thereof.

S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the confidentiality of certain nonpublic information received in connection with each analytical process.

S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites, www.spglobal.com/ratings (free of charge), and www.ratingsdirect.com (subscription), and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available at www.spglobal.com/usratingsfees.

 

Create a free account to unlock the article.

Gain access to exclusive research, events and more.

Already have an account?    Sign in