Fitch Upgrades 2, Affirms 30 Tranches of Bella Trust ABS Transactions

(The following statement was released by the rating agency)

SYDNEY, January 29 (Fitch) Fitch Ratings has affirmed the ratings of two Bella 
Trust Series and four Bella Trust No. 2 Series transactions. The rating actions 
are listed at the end of this commentary.

Bella Trust No. 2 Series 2011-2 and Bella Trust No. 2 Series 2012-1 are 
securitisations of automotive and equipment loan receivables, while the 
remaining Bella Trust No. 2 Series and Bella Trust Series are securitisations of 
automotive loan receivables only, all of which are originated by Capital Finance 
Australia Limited (CFAL).

KEY RATING DRIVERS

The rating actions reflect Fitch's view that the transactions are able to cover 
future losses with available excess income. All of the transactions have 
experienced losses in line with, or lower than, Fitch estimates at closing, and 
have been covered by excess spread. The rating actions also reflect Fitch's view 
that, in line with expectations of Australia's economic conditions, available 
credit enhancement (CE) is sufficient to support the notes' current ratings.

As of the payment date in December 2013, the Bella Trust Series 2010-1 notes had 
amortised by 88% and CE available to noteholders had increased by 3.3x since 
closing in July 2010. Collateral characteristics had not changed materially 
since closing, and cumulative net losses amounted to AUD7,201,583, or 1.19% of 
the initial collateral balance, as at 30 November 2013, less than Fitch's base 
case estimate.

As of the payment date in December 2013, the Bella Trust Series 2010-2 notes had 
amortised by 83% and CE available to noteholders had increased by 2.9x since 
closing in December 2010. Collateral characteristics had not changed materially 
since closing and cumulative net losses amounted to AUD6,579,370, or 1.3% of the 
initial collateral balance, as at 30 November 2013, less than Fitch's base case 
estimate.

As of the payment date in December 2013, the Bella Trust No. 2 Series 2011-1 
notes had amortised by 74% and CE available to noteholders had increased by 2.5x 
since closing in June 2011. Collateral characteristics had not changed 
materially since closing and cumulative net losses amounted to AUD5,147,671, or 
0.94% of the initial collateral balance, as at 30 November 2013, less than 
Fitch's base case estimate.

As of the payment date in December 2013, the Bella Trust No. 2 Series 2011-2

notes had amortised by 77% and CE available to noteholders had increased by 2.6x 
since closing in September 2011. Collateral characteristics had not changed 
materially since closing and cumulative net losses amounted to AUD6,393,246, or 
0.94% of the initial collateral balance, as at 30 November 2013, less than 
Fitch's base case estimate.

As of the payment date in December 2013, the Bella Trust No. 2 Series 2011-3 
notes had amortised by 61.9% and CE available to noteholders had increased by 
2.2x since closing in December 2011. Collateral characteristics had not changed 
materially since closing and cumulative net losses amounted to AUD6,208,005, or 
1.1% of the initial collateral balance, as at 30 November 2013, less than 
Fitch's base case estimate.

As of the payment date in December 2013, the Bella Trust No. 2 Series 2012-1 
notes had amortised by 58% and CE available to noteholders had increased by 2.2x 
since closing in May 2012. Collateral characteristics had not changed materially 
since closing and cumulative net losses amounted to AUD2,897,585, or 0.65% of 
the initial collateral balance, as at 30 November 2013, also less than Fitch's 
base case estimate.

RATING SENSITIVITIES

All the Bella transactions have been building CE, which is largely driven by 
asset performance, positive excess spread and the low cost of the subordinated 
notes. Fitch has analysed default scenarios for each Bella transaction, above 
and beyond current rating levels, and concludes that each has adequate 
subordination and excess spread to absorb any significant potential losses. The 
agency therefore believes that the possibility of performance-driven downgrades 
is remote. Although performance remains strong, the underlying assets remain 
susceptible to economic shocks while the CE provided by the lower notes is 
controlled by pro rata mechanisms, meaning prospects for upgrades remain 
limited.

INITIAL KEY RATING DRIVERS

The final ratings and outlooks assigned to the notes are based on: the quality 
of the collateral; the CE provided by the respective subordinate notes; a strong 
flow of excess spread; the liquidity reserve account sized at 1.0% of the 
invested amount of the notes at closing funded by issue proceeds, the interest 
rate swap arrangements the trustee has entered into; and CFAL’s underwriting and 
servicing capabilities. The ratings on the Class B, C, D and E notes are based 
on all the strengths supporting the Class A notes except their CE levels.

INITIAL RATING SENSITIVITIES

The unanticipated increases in the frequency of defaults and loss severity on 
defaulted receivables could produce loss levels higher than Fitch’s base case, 
and would likely result in a decline in CE and remaining loss-coverage levels 
available to the notes. Decreased CE may make certain note ratings susceptible 
to potential negative rating actions, depending on the extent of the decline in 
coverage.

The rating actions are as follows:

Bella Trust Series 2010-1:

AUD27.4m Class A2 affirmed at 'AAAsf'; Outlook Stable;

AUD10.2m Class B affirmed at 'Asf'; Outlook Stable;

AUD2m Class C upgraded to ‘Asf’ from 'BBBsf'; Outlook Stable;

AUD4m Class D affirmed at 'BBsf'; Outlook Stable; and

AUD8m Class E affirmed at 'Bsf'; Outlook Stable.

Bella Trust Series 2010-2:

AUD97.7m Class A2 affirmed at 'AAAsf'; Outlook Stable;

AUD37.5m Class B affirmed at 'Asf'; Outlook Stable;

AUD7m Class C upgraded to ‘Asf’ from 'BBBsf'; Outlook Stable;

AUD4m Class D affirmed at 'BBsf'; Outlook Stable; and

AUD7m Class E affirmed at 'Bsf'; Outlook Stable.

Bella Trust No. 2 Series 2011-1:

GBP52.4m Class A2a affirmed at 'AAAsf'; Outlook Stable;

AUD77m Class A2b affirmed at 'AAAsf'; Outlook Stable;

AUD53.5m Class B affirmed at 'Asf'; Outlook Stable;

AUD16.9m Class C affirmed at 'BBBsf'; Outlook revised to Positive from Stable;

AUD4.2m Class D affirmed at 'BBsf'; Outlook Stable; and

AUD10.4m Class E affirmed at 'Bsf'; Outlook Stable.

Bella Trust No. 2 Series 2011-2:

AUD177.7m Class A affirmed at 'AAAsf'; Outlook Stable;

AUD75.9m Class B affirmed at 'Asf'; Outlook Stable;

AUD19.4m Class C affirmed at 'BBBsf'; Outlook revised to Positive from Stable;

AUD5.5m Class D affirmed at 'BBsf'; Outlook Stable; and

AUD14.4m Class E affirmed at 'Bsf'; Outlook Stable.

Bella Trust No. 2 Series 2011-3:

GBP64.3m Class A2a affirmed at 'AAAsf'; Outlook Stable;

AUD142.8m Class A2b affirmed at 'AAAsf'; Outlook Stable;

AUD58m Class B affirmed at 'Asf'; Outlook Stable;

AUD18.2m Class C affirmed at 'BBBsf'; Outlook Stable;

AUD4.5m Class D affirmed at 'BBsf'; Outlook Stable; and

AUD10.8m Class E affirmed at 'Bsf'; Outlook Stable.

Class A1 was paid in full in May 2012.

Bella Trust No. 2 Series 2012-1:

USD100.8m Class A affirmed at 'AAAsf'; Outlook Stable;

AUD57.7m Class B affirmed at 'Asf'; Outlook Stable;

AUD8.7m Class C affirmed at 'BBBsf'; Outlook Stable;

AUD10m Class D affirmed at 'BBsf'; Outlook Stable; and

AUD4.5m Class E affirmed at 'Bsf'; Outlook Stable.

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.

Contacts:

Lead Surveillance Analyst

Spencer Wilson

Associate Director

+61 2 8256 0320

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

Committee Chairperson

Natasha Vojvodic

Senior Director

+612 825 350

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

The source of information used to assess these ratings were Westpac Banking 
Corporation. The issuer has informed Fitch that not all relevant underlying 
information used in the analysis of the rated notes is public.

Additional information is available at www.fitchratings.com. 

Applicable criteria, “Global Structured Finance Rating Criteria”, dated 24 May 
2013; “Counterparty Criteria for Structured Finance Transactions”, dated 13 May 
2013; and “Counterparty Criteria for Structured Finance Transactions: Derivative 
Addendum”, dated 13 May 2013, "APAC Consumer ABS Rating Criteria", dated 24 July 
2013, are all available at www.fitchratings.com. 

Related research 

Representations, Warranties, and Enforcement Mechanisms in Global Structured 
Finance Transactions” dated 17 April 2012 the related 17g-7 R&W appendix is 
available for Bella Trust No. 2 Series 2012-1 at www.fitchratings.com

Individual representations, warranties, and enforcement mechanisms reports are 
available for all structured finance transactions initially rated on or after 26 
September 2011 at www.fitchratings.com.

Applicable Criteria and Related Research: 

Global Structured Finance Rating Criteria

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

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

APAC Consumer ABS Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=711196

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

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

Additional Disclosure 

Solicitation Status 

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=817810

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.

(Repeat for additional subscribers)

Jan 29 (Reuters) - (The following statement was released by the rating agency)

Fitch Ratings has affirmed the ratings of two Bella Trust Series and four Bella Trust No. 2 Series transactions. The rating actions are listed at the end of this commentary.

Bella Trust No. 2 Series 2011-2 and Bella Trust No. 2 Series 2012-1 are securitisations of automotive and equipment loan receivables, while the remaining Bella Trust No. 2 Series and Bella Trust Series are securitisations of automotive loan receivables only, all of which are originated by Capital Finance Australia Limited (CFAL).

KEY RATING DRIVERS

The rating actions reflect Fitch's view that the transactions are able to cover future losses with available excess income. All of the transactions have experienced losses in line with, or lower than, Fitch estimates at closing, and have been covered by excess spread. The rating actions also reflect Fitch's view that, in line with expectations of Australia's economic conditions, available credit enhancement (CE) is sufficient to support the notes' current ratings. As of the payment date in December 2013, the Bella Trust Series 2010-1 notes had amortised by 88% and CE available to noteholders had increased by 3.3x since closing in July 2010. Collateral characteristics had not changed materially since closing, and cumulative net losses amounted to AUD7,201,583, or 1.19% of the initial collateral balance, as at 30 November 2013, less than Fitch's base case estimate.

As of the payment date in December 2013, the Bella Trust Series 2010-2 notes had amortised by 83% and CE available to noteholders had increased by 2.9x since closing in December 2010. Collateral characteristics had not changed materially since closing and cumulative net losses amounted to AUD6,579,370, or 1.3% of the initial collateral balance, as at 30 November 2013, less than Fitch's base case estimate.

As of the payment date in December 2013, the Bella Trust No. 2 Series 2011-1 notes had amortised by 74% and CE available to noteholders had increased by 2.5x since closing in June 2011. Collateral characteristics had not changed materially since closing and cumulative net losses amounted to AUD5,147,671, or 0.94% of the initial collateral balance, as at 30 November 2013, less than Fitch's base case estimate.

As of the payment date in December 2013, the Bella Trust No. 2 Series 2011-2 notes had amortised by 77% and CE available to noteholders had increased by 2.6x since closing in September 2011. Collateral characteristics had not changed materially since closing and cumulative net losses amounted to AUD6,393,246, or 0.94% of the initial collateral balance, as at 30 November 2013, less than Fitch's base case estimate.

As of the payment date in December 2013, the Bella Trust No. 2 Series 2011-3 notes had amortised by 61.9% and CE available to noteholders had increased by 2.2x since closing in December 2011. Collateral characteristics had not changed materially since closing and cumulative net losses amounted to AUD6,208,005, or 1.1% of the initial collateral balance, as at 30 November 2013, less than Fitch's base case estimate.

As of the payment date in December 2013, the Bella Trust No. 2 Series 2012-1 notes had amortised by 58% and CE available to noteholders had increased by 2.2x since closing in May 2012. Collateral characteristics had not changed materially since closing and cumulative net losses amounted to AUD2,897,585, or 0.65% of the initial collateral balance, as at 30 November 2013, also less than Fitch's base case estimate.

RATING SENSITIVITIES

All the Bella transactions have been building CE, which is largely driven by asset performance, positive excess spread and the low cost of the subordinated notes. Fitch has analysed default scenarios for each Bella transaction, above and beyond current rating levels, and concludes that each has adequate subordination and excess spread to absorb any significant potential losses. The agency therefore believes that the possibility of performance-driven downgrades is remote. Although performance remains strong, the underlying assets remain susceptible to economic shocks while the CE provided by the lower notes is controlled by pro rata mechanisms, meaning prospects for upgrades remain limited.

INITIAL KEY RATING DRIVERS

The final ratings and outlooks assigned to the notes are based on: the quality of the collateral; the CE provided by the respective subordinate notes; a strong flow of excess spread; the liquidity reserve account sized at 1.0% of the invested amount of the notes at closing funded by issue proceeds, the interest rate swap arrangements the trustee has entered into; and CFAL's underwriting and servicing capabilities. The ratings on the Class B, C, D and E notes are based on all the strengths supporting the Class A notes except their CE levels.

INITIAL RATING SENSITIVITIES

The unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than Fitch'€™s base case, and would likely result in a decline in CE and remaining loss-coverage levels available to the notes. Decreased CE may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage.

The rating actions are as follows:

Bella Trust Series 2010-1:

AUD27.4m Class A2 affirmed at 'AAAsf'; Outlook Stable;

AUD10.2m Class B affirmed at 'Asf'; Outlook Stable;

AUD2m Class C upgraded to a€˜Asfa€™ from 'BBBsf'; Outlook Stable;

AUD4m Class D affirmed at 'BBsf'; Outlook Stable; and

AUD8m Class E affirmed at 'Bsf'; Outlook Stable.

Bella Trust Series 2010-2:

AUD97.7m Class A2 affirmed at 'AAAsf'; Outlook Stable;

AUD37.5m Class B affirmed at 'Asf'; Outlook Stable;

AUD7m Class C upgraded to a€˜Asfa€™ from 'BBBsf'; Outlook Stable;

AUD4m Class D affirmed at 'BBsf'; Outlook Stable; and

AUD7m Class E affirmed at 'Bsf'; Outlook Stable.

Bella Trust No. 2 Series 2011-1:

GBP52.4m Class A2a affirmed at 'AAAsf'; Outlook Stable;

AUD77m Class A2b affirmed at 'AAAsf'; Outlook Stable;

AUD53.5m Class B affirmed at 'Asf'; Outlook Stable;

AUD16.9m Class C affirmed at 'BBBsf'; Outlook revised to Positive from Stable;

AUD4.2m Class D affirmed at 'BBsf'; Outlook Stable; and

AUD10.4m Class E affirmed at 'Bsf'; Outlook Stable.

Bella Trust No. 2 Series 2011-2:

AUD177.7m Class A affirmed at 'AAAsf'; Outlook Stable;

AUD75.9m Class B affirmed at 'Asf'; Outlook Stable;

AUD19.4m Class C affirmed at 'BBBsf'; Outlook revised to Positive from Stable;

AUD5.5m Class D affirmed at 'BBsf'; Outlook Stable; and

AUD14.4m Class E affirmed at 'Bsf'; Outlook Stable.

Bella Trust No. 2 Series 2011-3:

GBP64.3m Class A2a affirmed at 'AAAsf'; Outlook Stable;

AUD142.8m Class A2b affirmed at 'AAAsf'; Outlook Stable;

AUD58m Class B affirmed at 'Asf'; Outlook Stable;

AUD18.2m Class C affirmed at 'BBBsf'; Outlook Stable;

AUD4.5m Class D affirmed at 'BBsf'; Outlook Stable; and

AUD10.8m Class E affirmed at 'Bsf'; Outlook Stable.

Class A1 was paid in full in May 2012.

Bella Trust No. 2 Series 2012-1:

USD100.8m Class A affirmed at 'AAAsf'; Outlook Stable;

AUD57.7m Class B affirmed at 'Asf'; Outlook Stable;

AUD8.7m Class C affirmed at 'BBBsf'; Outlook Stable;

AUD10m Class D affirmed at 'BBsf'; Outlook Stable; and

AUD4.5m Class E affirmed at 'Bsf'; Outlook Stable.

A comparison of the transactiona€™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.

((Bangalore Ratings Team, Hotline: +91 80 6677 2513 Debanjali.Ghosh@thomsonreuters.com, Group id: BangaloreRatings@thomsonreuters.com, Reuters Messaging: Debanjali.Ghosh.reuters.com@reuters.net))

Keywords: Fitch Upgrades 2, Affirms 30 Tranches of Bella Tru