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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)


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:Vi Dinh, Melbourne 498610243;
Secondary Contact:Elizabeth A Steenson, Melbourne + 61 3 9631 2162;

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