(The following statement was released by the rating agency) Link to Fitch Ratings' Report(s): https://www.fitchratings.com/site/re/10118304 Fitch Ratings-Sydney-April 14: Fitch Ratings has placed all rated classes of Thorn ABS Warehouse Trust No. 1 that securitised loans to SME and self-employed borrowers on Rating Watch Negative (RWN) due to the ramifications emanating from the coronavirus pandemic. Fitch identified the SME and self-employed sectors as particularly vulnerable to the economic impact of the pandemic because they have fewer resources to weather a prolonged period of low or no cash flow. Thorn ABS Warehouse Trust No. 1 ----A ; Long Term Rating; Rating Watch On; AAAsf; RW: Neg ----B AU3FN0043949; Long Term Rating; Rating Watch On; AAsf; RW: Neg ----C AU3FN0043956; Long Term Rating; Rating Watch On; Asf; RW: Neg ----D AU3FN0043964; Long Term Rating; Rating Watch On; BBBsf; RW: Neg ----E AU3FN0043972; Long Term Rating; Rating Watch On; BBsf; RW: Neg KEY RATING DRIVERS Coronavirus, Macroeconomic Factors and SME Borrower Credit Risk Fitch reviewed the Thorn ABS Warehouse Trust No. 1 transaction for exposure to industries identified as highly vulnerable to the impact of the coronavirus pandemic, as described in "Fitch Ratings Updates CLO Sensitivity Stress for Coronavirus Vulnerabilities", dated 7 April 2020, at www.fitchratings.com/site/pr/10117450. These industries include: automobiles; energy, oil and gas; gaming, leisure and entertainment; lodging and restaurants; metals and mining; retail; and transportation and distribution. In addition, Fitch looked at SME sectors, such as fitness, and services particularly affected by the containment measures. The RWN reflects the notes' sensitivities to increased vulnerability to credit losses in each of the respective loan portfolios, as a result of pandemic-related disruption to the SME sector. Thorn ABS Warehouse No. 1 is in its revolving period and has not deleveraged since closing in 2017. As a result, we expect the imposition of pandemic-related stress, which is above the stress we expected at closing, to result in a downward revision of the ratings. Fitch expects a sharp economic contraction to hit major economies in 1H20. We forecast GDP to fall by 2.2% in Australia in 2020. Fiscal stimulus and balance-sheet support has been extended to large swathes of the Australian economy. Widening deficits and easing monetary and fiscal policy will limit the depth of the initial downturn, but we only expect these policies to become more effective once the health crisis subsides. The Australian government has implemented specific support for the SME sector; however, this support may not be enough for all small businesses to service their debt. SME Loan Recovery Rates: Minimal credit was given to recoveries for Thorn ABS Warehouse No. 1 at closing due to the nature of the assets in the portfolio. Portfolio Analysis: Fitch will conduct a full transaction analysis within the next six months, including an assessment of asset credit quality, asset security and portfolio composition. This assessment is captured in the default and loss rates produced by Fitch's Portfolio Credit Model (PCM). The PCM output will be based on the current portfolio composition and pandemic sensitivity analysis and will be compared with the PCM output corresponding to the Fitch-stressed portfolio at the initial rating assignment and the rated notes' credit enhancement levels. Obligor Concentration: The transaction has obligor concentration levels that are higher than that usually observed in consumer ABS transactions. Therefore, Fitch has derived default assumptions that take into account lessee concentration and correlation risk, in line with our SME Balance Sheet Securitisation Rating Criteria. RATING SENSITIVITIES Fitch will update the coronavirus stress scenario in line with greater clarity on the unfolding macroeconomic environment, default performance and recovery data and resolve the RWN status within the next six months. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade: Fitch does not anticipate developments with a high likelihood of triggering an upgrade, as per the RWN. The main constraint to the rating is the transaction's exposure to SME and self-employed borrowers, which we view as negative. Should the transaction be upgraded, Fitch will consider the performance history of the portfolio through this stressed period, the amount of deleveraging and whether the cash flow analysis would likely support an upgrade. Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade: Fitch conducted rating sensitivity analysis on the closing date of the transaction, incorporating increased levels of defaults and reduced levels of recovery rates among other sensitivities, as defined in its criteria. For more information on Fitch's stressed portfolio and initial model-implied rating sensitivities, please refer to the presale report of each transaction. Best/Worst Case Rating Scenario International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third-party assessment of the asset portfolio as part of its ongoing monitoring. SOURCES OF INFORMATION The information used to assess these ratings was sourced from periodic servicer reports and the public domain. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is public. ESG CONSIDERATIONS ESG issues are credit neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg. Contacts: Surveillance Rating Analyst Bradley Isaac, Senior Analyst +61 2 8256 0306 Fitch Australia Pty Ltd Level 15 77 King Street Sydney NSW 2000 Committee Chairperson Ben McCarthy, Managing Director +61 2 8256 0388
Media Relations: Peter Hoflich, Singapore, Tel: +65 6796 7229, Email: peter.hoflich@thefitchgroup.com; Leslie Tan, Singapore, Tel: +65 6796 7234, Email: leslie.tan@thefitchgroup.com. Additional information is available on www.fitchratings.com Applicable Criteria Global Structured Finance Rating Criteria (pub. 02 May 2019) (including rating assumption sensitivity) https://www.fitchratings.com/site/re/10073280 SME Balance Sheet Securitisation Rating Criteria (pub. 07 Feb 2020) (including rating assumption sensitivity) https://www.fitchratings.com/site/re/10107078 Additional Disclosures Solicitation Status https://www.fitchratings.com/site/pr/10117788#solicitation Endorsement Status https://www.fitchratings.com/site/pr/10117788#endorsement_status Endorsement Policy https://www.fitchratings.com/regulatory ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. 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