The FINANCIAL — Fitch Ratings has affirmed three PUMA Masterfund S-10 mortgage-backed floating-rate notes.
The transaction is backed by Australian conforming residential mortgages originated by mortgage managers and brokers under the PUMA securitisation programme, according to Fitch Ratings, Inc.
The rating actions reflect Fitch's view that available credit enhancement levels are sufficient to support the notes' current ratings, and that the credit quality and performance of the loans 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) and Genworth Financial Mortgage Insurance Pty Ltd. No claim against mortgage insurance had been recorded from closing until end-February 2013.
As of end-February 2013, 30+ day and 90+ day delinquencies accounted for 4.46% and 2.97% of the outstanding mortgage pool, respectively. The level of arrears is high relative to the overall Australian mortgage market, due to the high portion of reduced documentation mortgages, at 44.7% as of end-February 2013.
PUMA Masterfund S-10 notes are currently paying down pro-rata, with Class B1 notes receiving the Class B2 share of principal collections. Credit enhancement has remained stable for Class A (19.90%) and AB notes (4.60%), and has increased for Class B1 notes to 1.71% as at the March 2013 payment date, from 1.30% at the transaction's closing date.
The transaction is currently amortising pro-rata with principal collections allocated to note holders, according to the outstanding balance of the Class A, AB and B notes. As long as the Class B1 notes are outstanding, Class B1 notes will receive the Class B2 notes share of principal collections. When Class B1 are paid in full, then the Class AB notes will receive the Class B2 notes' share of principal collection. The principal repayment method would switch to sequential when either the collateral balance reaches 10% of the original collateral balance or the trust has sustained a loss which, in the opinion of the trust manager, will not be mitigated in a timely manner.
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