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Fitch Affirms Three Harvey RMBS Tranches at 'AAAsf'; Outlook Stable.

Sydney: Fitch Ratings has affirmed three tranches from two Harvey RMBS transactions, which are securitisations of Australian conforming residential full-documentation mortgages originated by Credit Union Australia Limited.

The rating actions are as follows:

Series 2015-1 Harvey Trust

AUD324.1 million Class A notes affirmed at 'AAAsf'; Outlook Stable

Series 2017-1 Harvey Trust

AUD699.2 million Class A1 notes affirmed at 'AAAsf'; Outlook Stable

AUD17.5 million Class A2 notes affirmed at 'AAAsf'; Outlook Stable


The affirmation reflects Fitch's view that available credit enhancement is sufficient to support the notes' current rating and the agency's expectations of Australia's economic conditions. The credit quality and performance of the loans in the collateral pool have remained strong.

In accordance with Fitch's criteria, the default model was not re-run for these transactions as the outstanding ratings are only 'AAAsf'; the transactions do not have a revolving period; and a review of pre-determined performance triggers indicates the transactions display stable asset performance.

At 31 October 2017, 30+ days arrears were low for both transactions, at 0.2% for Series 2015-1 and 0.1% for Series 2017-1, compared with Fitch's 3Q17 RMBS Dinkum index of 1.0%. The reported weighted average loan/value ratios were 60.7% and 61.8%, respectively, and there have been no defaults since the transactions closed.

The transactions have 100% lenders' mortgage insurance coverage, with cover provided by QBE Lenders' Mortgage Insurance Limited (Insurer Financial Strength Rating: AA-/Stable) and Genworth Financial Mortgage Insurance Pty Limited (Insurer Financial Strength Rating: A+/Stable).


Fitch does not expect the ratings to be affected by any foreseeable change in performance. The prospect of downgrade is remote in light of the subordination available to all rated notes, pool performance, Fitch's economic outlook and adequate excess spread. The rating is independent of downgrades to the lenders' mortgage insurance providers' ratings.


Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.


Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. There were no findings that were material to this analysis.

Fitch has not reviewed the results of any third-party assessment of the asset portfolio as part of its ongoing monitoring.

As part of its ongoing monitoring, Fitch reviewed a small targeted sample of Credit Union Australia Limited's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio.

Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.


The information below was used in the analysis:

Transaction reporting data provided by Credit Union Australia Limited as at 31 October 2017

The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is public.
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Publication:Daily the Pak Banker (Lahore, Pakistan)
Date:Feb 28, 2018
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