SYDNEY, May 29 (Fitch) Fitch Ratings has affirmed two Mobius NCM
RMBS transactions and revised one Recovery Estimate (RE). The
notes were issued by BNY Trust Company of Australia Limited in
its capacity as trustee of the Mobius Trusts. The Mobius NCM-03
and NCM-04 transactions are securitisations of Australian
non-conforming residential mortgages. The rating actions are as
follows:
Mobius NCM 03 Trust (NCM 03):
AUD5.29m Class C (AU300MOB2044) affirmed at ‘Asf’; Outlook
Stable
AUD12.1m Class D (AU300MOB2051) affirmed at ‘BBsf’; Outlook
Stable
AUD6.6m Class E (AU300MOB2069) affirmed at ‘CCCsf’; RE
revised to 90% from 100%
Mobius NCM-04 Trust (NCM 04):
AUD17.72m Class D (AU3FN0000907) affirmed at ‘BBBsf’;
Outlook Stable
AUD8.6m Class E (AU3FN0000915) affirmed at ‘BBsf’; Outlook
Stable
AUD7.7m Class F (AU3FN0000923) affirmed at ‘CCCsf’; RE100%
Class C was paid in full on 16 May 2012.
The rating actions reflect Fitch’s view the credit quality
and performance of the loans in the respective collateral pools
will remain commensurate with the respective ratings.
As at April 2012, NCM 03’s total 30+ days arrears, stood at
17.44%, with a high percentage of loans 90+ days in arrears at
9.58%. As at March 2012, NCM 04’s total 30+ days arrears stood
at 22.58% with a large percentage of loans 90+ days in arrears
at 11.87%.
The arrears balance for each transaction has remained
relatively stable in the past 12 months, resulting in high
arrears percentages as the pools decrease in size. Pepper
Australia Pty Ltd, the servicer, has demonstrated strong
capabilities to significantly help reduce and clear long-dated
arrears.
“The strong credit enhancement levels for NCM 03 and 04 at
each rating level exceed the breakeven levels calculated by
Fitch. Additionally, these transactions feature an excess spread
reserve that provides credit enhancement should excess income
become insufficient to reimburse any principal charge-offs,”
said Kim Bui, Analyst in Fitch’s Structured Finance Team.
Since closing, 135 and 163 loans have been foreclosed in NCM
03 and NCM 04 respectively, resulting in cumulative losses of
AUD23.65m and AUD25.81m. Losses have been mainly charged off
against the lower rated notes and where excess income has been
insufficient to reimburse the charge offs, amounts have been
drawn from the excess spread reserve.
As at 30 April 2012, the excess spread reserve was nil for
NCM 03 and as at 31 March 2012 was AUD3.91m for NCM 04. NCM 03
experienced a loss of AUD1.06m in September 2011 that cleared
out the balance of the reserve account (then AUD715k) and
resulted in a charge-off on the Class F Note. This charge-off is
yet to be reimbursed with excess income. Fitch expects further
losses as further properties are sold.
Although the current credit enhancement levels are
commensurate with higher ratings, as the mortgage portfolios
reduce in size, the risk of principal losses resulting from the
concentrated default of large loans becomes the primary driver
of Fitch’s analysis.
