Fitch Affirms Ratings of Four AFG RMBS Tranches

(The following statement was released by the rating agency)

SYDNEY, January 28 (Fitch) Fitch Ratings has affirmed the ratings of two AFG 
RMBS transactions, as detailed below. The transactions are securitisations of 
conforming residential full-documentation mortgages originated by AFG Securities 
Pty Ltd (AFGS). The rating actions are as follows:

AFG 2013-1 Trust:

AUD204.8m Class A (ISIN AU3FN0018479) affirmed at ‘AAAsf’; Outlook Stable; and

AUD11.0m Class AB (ISIN AU3FN0018487) affirmed at ‘AAAsf’; Outlook Stable.

AFG 2013-2 Trust:

AUD256.0m Class A (ISIN AU3FN0020871) affirmed at ‘AAAsf’; Outlook Stable; and

AUD18.3m Class AB (ISIN AU3FN0020889) affirmed at ‘AAAsf’; Outlook Stable.

KEY RATING DRIVERS

The affirmations reflect Fitch's view that available credit enhancement is 
sufficient to support the notes’ current ratings, and the agency’s expectations 
of Australia’s economic conditions. The credit quality and performance of the 
loans in the collateral pools have remained in line with Fitch’s expectations.

As at end-December 2013, 30+ days arrears made up 0.05% of the pool backing AFG 
2013-1, below Fitch’s latest Dinkum Index measuring industry-wide performance 
(1.19%). No loans were in arrears in AFG 2013-2. No defaults or losses had been 
experienced in either transaction since issuance.

All loans in the pools are covered by lenders’ mortgage insurance (LMI), with 
policies provided by Genworth Financial Mortgage Insurance Pty Ltd and QBE 
Lenders' Mortgage Insurance Limited (Insurer Financial Strength Rating: 
AA-/Stable).

The pools are relatively well geographically distributed and have a weighted 
average seasoning of 17 months and 13 months for AFG 2013-1 and AFG 2013-2 
respectively. As a result, the Fitch-calculated weighted average loan-to-value 
ratio of each pool reduced to 62.4% and 66.6% with indexation, from 62.6% and 
66.7%.

RATING SENSITIVITIES

Unexpected increases in delinquencies, defaults and losses would be necessary 
before any negative rating action would be considered.

Sequential pay-down has increased credit enhancement for the senior notes of 
both transactions, which can withstand multiples of the latest reported arrears. 
The ratings of both transactions’ Class A notes are independent of downgrades of 
the LMI providers’ ratings.

Fitch's initial key rating drivers and rating sensitivities are further 
discussed in the new issue reports entitled ‘AFG 2013-1 Trust’, dated 27 March 
2013, and ‘AFG 2013-2 Trust’, dated 30 October 2013, available on 
www.fitchratings.com.

Contacts: 

Lead Surveillance Analyst

Brenden Asplin

Analyst

+61 2 8256 0340

Fitch Australia Pty Ltd., Level 15, 77 King St, Sydney, NSW 2000

Committee Chairperson

Natasha Vojvodic

Senior Director

+61 2 8256 0350

A comparison of the transaction’s representations, warranties and enforcement 
mechanisms (RW&Es) to those of typical RW&Es for this asset class is available 
by accessing the reports and/or links given under Related Research below.

The source of information used to assess these ratings was provided by AFG 
Securities Pty Ltd. The issuer has informed Fitch that not all relevant 
underlying information used in the analysis of the rated notes is public.  

Applicable criteria, "Global Structured Finance Rating Criteria", dated 24 May 
2013; "Counterparty Criteria for Structured Finance and Covered Bonds", dated 13 
May 2013; "Counterparty Criteria for Structured Finance and Covered Bonds: 
Derivative Addendum", dated 13 May 2013; "Global Criteria for Lenders' Mortgage 
Insurance in RMBS" dated 1 August 2013; "APAC Residential Mortgage Criteria", 
dated 1 August 2013; and "APAC Residential Mortgage Criteria Addendum - 
Australia", dated 1 August 2013, are available at www.fitchratings.com.

Related Research

“Representations, Warranties and Enforcement Mechanisms in Global Structured 
Finance Transactions”, dated April 17 2012

“AFG Series 2013-1 Trust – Appendix”, dated 27 March 2013

“AFG Series 2013-2 Trust – Appendix”, dated 30 October 2013

Media Relations: Iselle Gonzalez, Sydney, Tel: +61 2 8256 0326, Email: 
iselle.gonzalez@fitchratings.com.

Additional information is available at www.fitchratings.com.

Applicable Criteria and Related Research: 

Counterparty Criteria for Structured Finance and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=707155

Counterparty Criteria for Structured Finance and Covered Bonds: Derivative 
Addendum

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=707156

Global Criteria for Lenders’ Mortgage Insurance in RMBS

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=709255

APAC Residential Mortgage Criteria - Amended

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=709855

APAC Residential Mortgage Criteria Addendum – Australia - Amended

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=710259

Representations, Warranties, and Enforcement Mechanisms in Global Structured 
Finance Transactions -- Amended

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=676496

AFG Series 2013-1 Trust - Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=704295

AFG 2013-2 New Issue - Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=722157

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=708661

Additional Disclosure 

Solicitation Status 

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=817692

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. 
PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: 
HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING 
DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S 
FREE WEB SITE AT WWW.FITCHRATINGS.COM. PUBLISHED RATINGS, CRITERIA, AND 
METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF 
CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE, 
AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE CODE OF 
CONDUCT SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE 
SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS 
SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED 
ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH 
WEBSITE.

Fitch Australia Pty Ltd holds an Australian financial services licence (AFS 
licence no. 337123) which authorises it to provide credit ratings to wholesale 
clients only. Credit ratings information published by Fitch is not intended to 
be used by persons who are retail clients within the meaning of the Corporations 
Act 2001.