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Fitch Assigns Final Ratings to RESIMAC Triomphe 2018-2.

Sydney: Fitch Ratings has assigned final ratings to RESIMAC Triomphe Trust - RESIMAC Premier Series 2018-2's mortgage-backed soft-bullet notes and pass-through floating-rate notes. The issuance consists of two US dollar and eight Australian dollar-denominated notes backed by a pool of first-ranking, Australian residential full-documentation mortgage loans originated by RESIMAC Limited. The ratings are as follows:

USD243.750 million Class A1a notes: 'AAAsf'; Outlook Stable

USD108.000 million Class A1b notes: 'AAAsf'; Outlook Stable

AUD172.500 million Class A2 notes: 'AAAsf'; Outlook Stable

AUD37.750 million Class AB notes: 'NRsf'

AUD14.000 million Class B notes: 'NRsf'

AUD10.875 million Class C notes: 'NRsf'

AUD5.625 million Class D notes: 'NRsf'

AUD3.000 million Class E notes: 'NRsf'

AUD2.175 million Class F notes: 'NRsf'

AUD1.575 million Class G notes: 'NRsf'

The notes are issued by Perpetual Trustee Company Limited in its capacity as trustee of RESIMAC Triomphe Trust - RESIMAC Premier Series 2018-2.

The total collateral pool consisted of 1,549 obligors, totalling AUD750.0 million, at the 11 October 2018 cut-off date.


Operational Risk: RESIMAC, as a non-bank lender, is obliged to comply with the responsible lending standards set by the Australian Securities and Investments Commission, which are broadly consistent with market standards. RESIMAC's collections' timelines, policies and procedures are in line with other conforming lenders in Australia, as evident from the historical performance of RESIMAC prime RMBS transactions.

Asset Analysis: The 'AAAsf' weighted-average (WA) foreclosure frequency of 11.1% is driven by the WA unindexed loan/value ratio (LVR) of 67.2%, WA seasoning of five months, self-employed borrowers of 13.6%, interest-only loans of 40.2% and, under Fitch's methodology, investment loans of 51.2%. The 'AAAsf' lenders' mortgage insurance (LMI) dependent WA recovery rate of 57.1% is driven by the portfolio's WA indexed scheduled LVR of 71.8% and 'AAAsf' WA market value decline of 59.6%.

Liability Analysis: The class A1a, A1b and A2 notes have 10% subordination. Structural features include a class A1a note with a scheduled amortisation profile supported by a scheduled amortisation facility and fund, a class A1b soft-bullet note and a liquidity facility sized at 0.75% of the invested note balance, with a facility floor of the lesser of AUD562,500 and the performing loan balance prior to the call date and AUD562,500 post-call. The class A1a, A1b and A2 notes can withstand all relevant Fitch 'AAAsf' stresses applied in our cash-flow analysis.

Macroeconomic Factors: Fitch expects stable mortgage performance, supported by sustained economic growth in Australia. Fitch forecasts steady GDP growth of 2.8% and one 25bp cash rate increase in 2019.


Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than Fitch's base case and are likely to result in a decline in credit enhancement and remaining loss-coverage levels available to the notes. Decreased credit enhancement may make certain note ratings susceptible to negative rating action, depending on the extent of the coverage decline. Hence, Fitch conducts sensitivity analysis of the ratings by stressing the transaction's initial base-case assumptions. Fitch applies the recovery rate stress to the pre-LMI recovery rate to isolate the effect of a change in recovery proceeds at the borrower level.

Impact upon the note rating of increased defaults:

Notes: A1a / A1b / A2

Rating: AAAsf / AAAsf / AAAsf

Increase defaults by 15%: AAAsf / AAAsf / AAAsf

Increase defaults by 30%: AAAsf / AA+sf / AA+sf

Impact upon the note rating of decreased recoveries:

Notes: A1a / A1b / A2

Rating: AAAsf / AAAsf / AAAsf

Reduce recoveries by 15%: AAAsf / AAAsf / AAAsf

Reduce recoveries by 30%: AAAsf / AAAsf / AAAsf

Impact upon the note rating of multiple factors:

Notes: A1a / A1b / A2

Rating: AAAsf / AAAsf / AAAsf

Increase defaults by 15% and reduce recoveries by 15%: AAAsf / AA+sf / AA+sf

Increase defaults by 30% and reduce recoveries by 30%: AAAsf / AAsf / AAsf

The transaction structure supports LMI-independent ratings for the class A1a, A1b and A2 notes. LMI is not required to support the rating due to the level of credit support provided by the lower notes.


Fitch was provided with third-party due diligence information from Deloitte & Touche Tohmatsu. The third-party due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison of certain characteristics with respect to 153 sample loans. Fitch considered this information in its analysis and the findings did not have an impact on our analysis. A copy of the ABS Due Diligence Form-15E received by Fitch in connection with this transaction may be obtained through the Dodd-Frank Rating Information Disclosure Form link contained at the bottom of this press release.


A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) disclosed in the offering document that relate to the underlying asset pool is available by accessing the appendix referenced under "Related Research" below. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled "Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions," dated 31 May 2016.


Fitch reviewed a small targeted sample of RESIMAC'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. Fitch reviewed the results of a third-party assessment conducted on the asset portfolio information and concluded that there were no findings that affected the rating analysis.

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:

Loan-by-loan data provided by RESIMAC as at 11 October 2018

Transaction documentation provided by King & Wood Mallesons, the issuer's counsel.

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:Jan 28, 2019
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