APOLLO Series 2008-1R Trust RMBS Note Ratings Affirmed

MELBOURNE (S&P Global Ratings) March 27, 2020--S&P Global Ratings today 
affirmed its 'AAA (sf)' ratings on the class A and class B residential 
mortgage-backed securities (RMBS) issued by Perpetual Trustee Co. Ltd. as 
trustee for APOLLO Series 2008-1R Trust.

The rating affirmations follow the acquisition of additional loans to be 
funded by the issuance of A$5,295.40 million in class A notes and A$294.60 
million in class C notes, bringing the total note balance to A$12,100.00 

The affirmations reflect:
  • Our view of the credit risk of the underlying collateral portfolio, which has a weighted-average current loan-to-value ratio of 65.4% and weighted-average loan seasoning of 62.2 months.
  • That 51.4% of the properties in the portfolio are in Queensland. We view clustered geographic distributions as being potentially at greater risk of being adversely affected by a localized economic downturn. We have applied adjustments in our credit assessment to account for this concentration.
  • That 33.4% of security properties in the portfolio are nonmetropolitan, according to our classification. Our view is that defaults on nonmetropolitan properties would be more frequent during periods of economic stress because of population and economic factors. We have increased the default frequency in the pool to reflect these concentrations and assumed a longer realization period for loans secured by nonmetropolitan properties to reflect the weaker employment trends and longer selling periods that tend to occur in nonmetropolitan areas.
  • That the level of credit support provided to the class A and class B notes exceeds the minimum assessed credit support at the 'AAA' rating level after giving credit to lenders' mortgage insurance (LMI). The support is provided by subordination and LMI policies, with QBE Lenders' Mortgage Insurance Ltd. covering 31.9% of the pool of mortgages. The LMI policies on the insured loans cover 100% of the outstanding principal of the loans insured, including accrued interest during the recovery period and reasonable realization costs.
  • Our expectation that the liquidity facility, equal to 1.5% of the notes outstanding within the transaction, is adequate under our stress assumptions to cover timely payment of interest.
  • The interest-rate swap agreement with Suncorp-Metway Ltd. to hedge any receipts from fixed-rate mortgage loans against the floating-rate obligations of the issuer trust.
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