The FINANCIAL — Fitch Ratings has on August 23 affirmed six classes of notes from five PUMA Series of Australian RMBS and assigned Loss Severity ratings as detailed below.
"These transactions are backed by pools of Australian conforming residential mortgages originated by mortgage managers and brokers under the PUMA securitisation programme," Fitch informed.
PUMA Global Trust No. 3 (Global No. 3):
USD87m class A (ISIN US74588RAA32) affirmed at 'AAA'; Outlook Stable; Loss Severity Rating assigned at 'LS-1'; and
AUD54m class B (ISIN AU000PTG3018) affirmed at 'A+'; Outlook Negative; Loss Severity Rating assigned at 'LS-1'.
PUMA Masterfund P-15 (P-15):
AUD240m class A (ISIN AU3FN0006144) affirmed at 'AAA'; Outlook Stable; Loss Severity Rating assigned at 'LS-1'.
PUMA Masterfund S-6 (S-6):
AUD182m class A (ISIN AU0000PUDHA6) affirmed at 'AAA'; Outlook Stable; Loss Severity Rating assigned at 'LS-1'.
PUMA Masterfund S-7 (S-7):
AUD364m class A (ISIN AU3FN0006250) affirmed at 'AAA'; Outlook Stable; Loss Severity Rating assigned at 'LS-1'.
PUMA Sub-Fund B-1 (SFB1):
AUD801m class A affirmed at 'AAA'; Outlook Stable; Loss Severity Rating assigned at 'LS-1'.
The rating affirmations and Stable Outlooks on the class A notes for all transactions reflect Fitch's view that the credit quality and performance of the loans contained in the collateral pools remain in line with the agency's expectations. All loans in the underlying portfolios have lenders' mortgage insurance in place, with policies mainly provided by QBE Lenders Mortgage Insurance Ltd (Insurer Financial Strength rating: 'AA-'/Stable Outlook) and Genworth Financial Mortgage Insurance Pty Ltd. Claims against mortgage insurance have remained low, at less than 0.05% of the closing collateral pools for Global No. 3 and SFB1, or remained at zero for P-15, S-6 and S-7.
"Although S-6 and S-7 are backed by entirely low-documentation residential mortgage loans, their 30+ day delinquencies have remained stable and performed better compared to Fitch's Dinkum 30+ day conforming low-doc index," notes April Chen, Associate Director in Fitch's Structured Finance team.
As of June 2009, 30+ day delinquencies accounted for 1.33% (Global No. 3), 0.13% (P-15), 0.58% (S-6), 1.56% (S-7) and 1.66% (SFB1) of the respective pools. In terms of the number and amount, delinquencies have remained steady throughout the life of these transactions.
The class A notes from Global No.3, P-15 and S-7 have paid down by 91%, 20%, and 42% of their original issuance amounts, respectively. Thus, credit enhancement levels for these notes have increased and their ratings are now independent of those of the mortgage insurers. For S-6 and SFB1, due to the pro-rata pay-down of notes, credit enhancement for the class A notes remain the same as at closing and remain commensurate with the 'AAA' rating.
Rating Outlooks have been published for all newly issued Asia Pacific Structured Finance tranches since June 2008, and concurrently with rating actions for tranches issued prior to June 2008. Unlike a Rating Watch which notifies investors that there is a reasonable probability of a rating change in the short term as a result of a specific event, rating Outlooks indicate the likely direction of any rating change over a one- to two-year period.
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