(The following statement was released by the rating agency)
Aug 21 - Fitch Ratings has assigned expected ratings to Progress 2012-2 Trust's mortgage-backed floating-rate notes ratings as follows:
AUD463.7m Class A notes: 'AAA(EXP)sf'; Outlook Stable
AUD22.6m Class AB notes: 'AAA(EXP)sf'; Outlook Stable
AUD12.5m Class B1 notes: Not rated.
AUD1.3m Class B2 notes: Not rated.
The notes will be issued by Perpetual Trustee Company Limited in its capacity as trustee of Progress 2012-2 Trust.
"The transaction benefits from overcollateralisation of AUD1.75m, funded by AMP Bank Limited ," said Anthea Clark, Associate Director of the agency's Structured Finance team.
At the pool cut-off date, the total collateral pool consisted of 2,416 residential mortgages originated by AMP Bank Limited totaling approximately AUD495.8m. Fitch's calculated weighted average current loan-to-value ratio was 67.5%, and the weighted average seasoning was 19.8 months. Investment loans comprise 27.7% of the pool. The pool was comprised of 100% full-documentation mortgages. Of the mortgages in the portfolio 45.5% are interest-only loans and 24.0% are fixed-rate mortgages. The agency has incorporated all the abovementioned factors into its credit analysis of the transaction.
The Long-Term 'AAA(EXP)sf' rating with Stable Outlook assigned to the Class A and AB notes are based on the quality of the collateral; the 2.76% credit enhancement provided by the subordinate Class B1 and B2 notes, the 0.35% credit enhancement provided by overcollateralisation, excess spread; and the liquidity reserve account sized at 1.5% of the aggregate invested amount of the notes at closing. The rating also reflects the 100% mortgage insurance policies provided by QBE Lenders' Mortgage Insurance Limited ('AA-'/Stable) and Genworth Financial Mortgage Insurance Pty Limited ; the interest rate swap arrangements in place; and AMP Bank Limited's mortgage underwriting and servicing capabilities.
Fitch's stress and rating sensitivity analysis is discussed in the presale report entitled "Progress 2012-1 Trust", available at www.fitchratings.com or by clicking on the below link. Included as an appendix to the report are a description of the representations, warranties, and enforcement mechanisms.
Link to Fitch Ratings' Report: Progress 2012-2 Trust