OREANDA-NEWS. Fitch Ratings has affirmed the ratings of MTF Valiant Trust 2014 notes. The transaction is a securitisation backed by New Zealand auto loan receivables originated by Motor Trade Finance Ltd (MTF). The rating actions are as follows:

NZD176.4m Class A notes affirmed at 'AAAsf'; Outlook Stable

NZD6.7m Class B notes affirmed at 'AAsf'; Outlook Stable

NZD5.8m Class C notes affirmed at 'Asf'; Outlook Stable

NZD2.7m Class D notes affirmed at 'BBBsf'; Outlook Stable

NZD2.5m Class E notes affirmed at 'BBsf'; Outlook Stable

NZD1.2m Class F notes affirmed at 'Bsf'; Outlook Stable

The notes were issued by Trustees Executors Limited in its capacity as trustee of MTF Valiant Trust 2014. MTF Valiant Trust 2014 is a legally distinct trust established pursuant to a master trust and security trust deed.

KEY RATING DRIVERS

The affirmation reflects Fitch's view that the available credit enhancement is sufficient to support the notes' current rating and the agency's expectations of New Zealand's economic conditions. Credit quality and performance of the underlying receivables also remain within Fitch's expectations. Total net losses have been well below Fitch's base-cases to date and excess spread has been more than sufficient to cover any losses incurred.

At 30 April 2016, 30+ days arrears stood at 0.74%, below Fitch's 4Q15 Dinkum ABS Index for Australia of 1.10%. Gross and net losses related to 90+ days arrears amounted to NZD1.9m and NZD402,709, respectively - below Fitch's modelled expectations. The average recovery rate since closing has also been better than modelled expectations. Strong excess spread, averaging 9.6% since closing, has covered all realised losses.

MTF Valiant Trust 2014 has a two-year revolving period, ending July 2016. Concentration tests are in place and calculated monthly to stop replenishment in the transaction in case of performance deterioration.

RATING SENSITIVITIES

Increases in the frequency of defaults could produce loss levels higher than Fitch's base-case, which could result in negative rating actions on the notes.

Fitch evaluated the sensitivity of MTF Valiant Trust 2014's ratings to increased defaults and decreased recovery rates over the life of the transaction. Its analysis found that collectively, the ratings of the class A notes were susceptible to downgrades under all stress levels tested (defaults increased by 10%, 25% and 50%), while the class B and C notes remain susceptible under medium (25%) to severe (50%) default stress. The class D notes were impacted only after a severe increase in defaults, while the class E and F notes remained steady under all default stresses.

Only the class A and C notes were susceptible to downgrades if recovery rates fall by at least 50%, while all other classes remained stable under all recovery rate stresses.

The rating sensitivity analysis remains unchanged since closing, as the portfolio characteristics have not changed significantly and the transaction still features a revolving pool.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY

Fitch conducted a review of 10 sample loan files focusing on the underwriting procedures conducted by MTF compared to its credit policy at the time of underwriting. Fitch has checked the consistency and plausibility of the information and no material discrepancies were noted that would impact Fitch's rating analysis.