(The following statement was released by the rating agency)
Oct 3 - Fitch Ratings has assigned Mornington 2012-1 plc's (Mornington or Issuer) notes the following rating:
Up to AUD450,000,000 notes due October 2048: 'AAAsf', Outlook Stable
The proceeds of the issuance of notes by Mornington will be used to acquire the rights and obligations of the senior loan lender A in the Paragon Fourth Funding Limited (PFFL) secured credit facility agreement from Macquarie Bank Limited (MBL). The senior loan A along with funds held in bank accounts in the name of the issuer will act as security for the notes.
PFFL is a secured credit facility used to fund the purchase of buy-to-let mortgage loans originated by Paragon Mortgages (2010) Ltd. The senior loan A acquired by the issuer benefits from subordination of the mezzanine loan provided by MBL and the subordinated loan provided by Paragon Mortgages (2010) Ltd. The senior loan A is rated 'AAAsf' with a Stable Outlook.
The principal and interest funds generated by the senior loan A are denominated in GBP; therefore, the issuer has entered into a cross currency swap agreement with Deutsche Bank AG, London Branch ('A+'/'F1+') to hedge against currency exposure between GBP funds generated by the senior loan A and AUD payments on the notes. The notes will also benefit from a liquidity reserve of GBP75,000, which will be funded by excess revenue receipts.
The notes' ratings are based on the senior loan A's rating ('AAAsf'), Deutsche Bank AG, London Branch's rating as cross currency swap provider and the provisions contained in the swap agreement upon a downgrade of Deutsche Bank AG, and the liquidity that will be provided by the GBP75,000 cash reserve.
Details of ratings sensitivity to changes to key rating drivers will be included in the new issue report, which will shortly be available at
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The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.
The source of information identified for this rating action was informed by information from the Paragon Group of Companies; Macquarie Bank Limited, as the arranger; and the issuer's legal advisor Allen & Overy LLP.
Applicable criteria, 'Global Structured Finance Rating Criteria', dated 6 June 2012, 'Counterparty Criteria for Structured Finance Transactions', dated 30 May 2012, 'EMEA Residential Mortgage Loss Criteria' dated 7 June 2012 and 'EMEA Criteria Addendum - United Kingdom - Mortgage Loss and Cash Flow Assumptions', dated 9 August 2012, are available at
. Applicable Criteria and Related Research: Global Structured Finance Rating Criteria Counterparty Criteria for Structured Finance Transactions EMEA Residential Mortgage Loss Criteria EMEA Criteria Addendum - United Kingdom - Mortgage and Cashflow Assumptions (New York Ratings Team)