Fitch Assigns Expected Rating to Series 2010-2 SWAN Trust's Class A3-R Notes

(The following statement was released by the rating agency)SYDNEY, November 09 (Fitch) Fitch Ratings has assigned expected ratings to Series 2010-2 SWAN Trust's Class A3-R mortgage-backed floating-rate notes. The ratings are as follows:AUD190m Class A3-R notes: 'AAAsf(EXP)'; Outlook Stable. The Class A3-R notes are being issued to refinance the soft bullet Class A3 notes on the refinance date of 25 November 2015. The Class A3 notes (AUD210m) will be repaid from the monies held in the Guaranteed Investment Contract account (which totalled AUD20.4m at the payment date in October 2015), and the proposed issuance of Class A3-R notes. The Class A3 notes were originally issued in November 2010 as part of an AUD1bn RMBS issue by Bank of Western Australia Limited (Bankwest), a division of Commonwealth Bank of Australia (CBA, AA-/Stable). The refinance of the Class A3 notes was contemplated in the original issuance and is detailed in Fitch's new issue report, dated 29 November 2010.The transaction continues to perform in line with Fitch's expectations at origination. The transaction has paid down since issuance from AUD1bn to approximately AUD237m.Ratings for the remaining rated notes are unchanged, and were affirmed on 2 July 2015 as follows (balances as at October 2015): AUD17.8m Class AB notes affirmed at 'AAAsf'; Outlook Stable; andAUD9.1m Class AC notes affirmed at 'AAAsf'; Outlook Stable.The Class A3-R notes will be issued by Perpetual Trustee Company Limited in its capacity as trustee of Series 2010-2 SWAN Trust. KEY RATING DRIVERSThe 'AAAsf(EXP)' expected rating assigned to the Class A3-R notes is supported by the credit enhancement provided by the subordinate Class AB, AC, and B notes; the lender's mortgage insurance (LMI) policies, the liquidity facility, which is equivalent to 1.6% of the outstanding note balance; and the mortgage underwriting and servicing capabilities of Bankwest and Commonwealth Bank of Australia. EXPECTED RATING SENSITIVITIESUnexpected decreases in residential property value, increases in the frequency of foreclosures, and loss severity on defaulted mortgages could produce loss levels higher than Fitch's base case, which could in turn result in a negative rating action on the notes.Fitch's initial rating drivers and rating sensitivities analysis are discussed in the new issue report entitled, "Series 2010-2 SWAN Trust", available at www.fitchratings.com. DUE DILIGENCE USAGENo third party due diligence was provided or reviewed in relation to this rating action.DATA ADEQUACYFitch conducted a file review of 10 sample loan files focusing on the underwriting procedures conducted by Bankwest compared to Bankwest's 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.Contacts: Primary AnalystBen NeweyDirector+61 2 8256 0341;Fitch Australia Pty Ltd., Level 15, 77 King Street, Sydney NSW 2000, Australia.Secondary Analyst Spencer Wilson, Associate Director+61 2 8256 0320Committee Chairperson Ben McCarthyManaging Director+612 8256 0388Media Relations: Leni Vu, Sydney, Tel: +61 2 8256 0304, Email: leni.vu@fitchratings.com.Additional information is available at www.fitchratings.com.The sources of information identified for this rating action were Commonwealth Bank of Australia, as arranger, and the issuer's counsel, King & Wood Mallesons. The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is public.Applicable Criteria APAC Residential Mortgage Criteria (pub. 23 Jun 2015)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867437Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum (pub. 14 May 2014)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744175Global Criteria for Lenders’ Mortgage Insurance in RMBS (pub. 23 Jun 2015)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=865195Global Structured Finance Rating Criteria (pub. 06 Jul 2015)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952Additional Disclosures Dodd-Frank Rating Information Disclosure Form https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr _id=993722Solicitation Status https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=993722Endorsement Policy https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&det ail=31ALL 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.