(The following statement was released by the rating agency) Fitch Ratings-Sydney-December 02: Fitch Ratings has affirmed the ratings of 15 note classes from seven National RMBS transactions, which consist of notes backed by pools of first-ranking Australian residential full-documentation mortgage loans. The mortgages for National RMBS Trust 2011-2, National RMBS Trust 2015-1, National RMBS Trust 2015-2 and National RMBS Trust 2018-1 were originated by National Australia Bank Limited (NAB, AA-/Negative/F1+) and the mortgages for National RMBS Trust 2011-1, National RMBS Trust 2012-1 and National RMBS Trust 2012-2 were originated via NAB's Advantedge Financial Services Pty Ltd distribution channel. The notes were issued by Perpetual Trustee Company Limited in its capacity as trustee. National RMBS Trust 2011-1 ----A1 AU0000NAFHA8; Long Term Rating; Affirmed; AAAsf; RO:Sta ----A2-R AU3FN0023198; Long Term Rating; Affirmed; AAAsf; RO:Sta ----B AU3FN0013272; Long Term Rating; Affirmed; AAAsf; RO:Sta National RMBS Trust 2011-2 ----A1-R AU0000NAOHC6; Long Term Rating; Affirmed; AAAsf; RO:Sta ----A2 AU0000NABHD1; Long Term Rating; Affirmed; AAAsf; RO:Sta ----B AU3FN0014221; Long Term Rating; Affirmed; AA+sf; RO:Sta National RMBS Trust 2012-1 ----A AU3FN0016549; Long Term Rating; Affirmed; AAAsf; RO:Sta National RMBS Trust 2012-2 ----A1 AU0000NAHHA4; Long Term Rating; Affirmed; AAAsf; RO:Sta ----A2-R AU3FN0029799; Long Term Rating; Affirmed; AAAsf; RO:Sta National RMBS Trust 2015-1 ----A AU0000NAJHA0; Long Term Rating; Affirmed; AAAsf; RO:Sta ----B AU3FN0026506; Long Term Rating; Affirmed; AA+sf; RO:Sta National RMBS Trust 2015-2 ----A AU3FN0031068; Long Term Rating; Affirmed; AAAsf; RO:Sta National RMBS Trust 2018-1 ----A1-A AU3FN0040614; Long Term Rating; Affirmed; AAAsf; RO:Sta ----A1-G AU3FN0040622; Long Term Rating; Affirmed; AAAsf; RO:Sta ----A2 AU3FN0040630; Long Term Rating; Affirmed; AAAsf; RO:Sta KEY RATING DRIVERS Operational Risk: NAB is an authorised deposit-taking institution headquartered in Melbourne. Fitch undertook an onsite operational review and found that the operations of the originator and servicer were comparable with market standards and that there were no material changes that may affect NAB's ongoing ability to undertake administration and collection activities. NAB's collection timelines, policies and procedures are in line with those of other conforming lenders in Australia. Asset Analysis: The asset model has not been run for these transactions, as asset composition and performance have not deteriorated materially since the last asset-model analyses, there have been no material changes to asset assumptions since the last asset-model analyses and all rated notes are either rated at the highest possible level (AAAsf or constrained by non-model-related tail-risk tests) or the transactions are still within their revolving periods. Arrears of 30+ days (National RMBS Trust 2011-1: 3.3%, National RMBS Trust 2011-2: 1.2%, National RMBS Trust 2012-1: 0.9%, National RMBS Trust 2012-2: 1.1%, National RMBS Trust 2015-1: 1.9%, National RMBS Trust 2015-2: 1.0%, National RMBS Trust 2018-1: 1.0%) and 90+ days (National RMBS Trust 2011-1: 2.6%, National RMBS Trust 2011-2: 1.0%, National RMBS Trust 2012-1: 0.5%, National RMBS Trust 2012-2: 0.6%, National RMBS Trust 2015-1: 1.0%, National RMBS Trust 2015-2: 0.5%, National RMBS Trust 2018-1: 0.6%) are comparable with, or higher than, Fitch's 3Q19 Dinkum RMBS Index (30+ days: 1.07%; 90+ days: 0.58%). Loans that have a current hardship status but are not in arrears are not included in NAB's arrears figures. The arrears balances for National RMBS Trust 2011-1 have remained within the most recent three-year range while the arrears as a percentage of outstanding collateral balances have been increasing due to the low bond factor of 11.0%. The elevated arrears have resulted in the transaction reverting back to sequential principal payment of notes, which is credit positive for the ratings due to the additional build-up of credit enhancement. The increasing proportion of 90+ days arrears also reflects Fitch's expectation that the subdued property market in New South Wales and Victoria observed over the last two years would lead to properties taking longer to sell, which would, in turn, cause loans to remain in late-stage arrears for longer. The higher arrears ratios have not led to increased losses, with 156 losses as of the November payment dates between the seven transactions (AUD26.4 million in total, or less than 0.1% of the aggregate collateral), all of which have been covered by lenders' mortgage insurance (LMI) and excess spread. The aggregate LMI payment ratio for claims made by the seven trusts is 95.6%. National RMBS Trust 2012-1 and 2015-2 have five and 10-year revolving periods ending in September 2022 and August 2026, respectively. Fitch is of the view that the risks associated with the long revolving periods are mitigated by a stable product history, steady portfolio composition and eligibility criteria that maintain the portfolio characteristics during the revolving period. Liability Analysis: Cash-flow analysis has not been performed for these transactions, as cash-flow distributions have been within Fitch's expectations, there have been no material changes to cash-flow assumptions since the last cash-flow analyses and all rated notes are either rated at the highest possible level (AAAsf or constrained by non-model-related tail-risk tests) or the transactions are still within their revolving periods. Macroeconomic Factors: Fitch expects stable mortgage performance, supported by sustained economic growth in Australia. Fitch forecasts strengthening GDP growth of 2.3% for 2020 with a stable labour market and low interest rates to support the Stable Outlook on the rated notes. RATING SENSITIVITIES Fitch does not expect the ratings to be affected by any foreseeable change in performance. The prospect of a downgrade is remote, given the level of subordination to all rated notes, pool performance and adequate excess spread. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. 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 information as part of its ongoing monitoring. Prior to National RMBS Trust 2011-1 and 2011-2 closing, Fitch reviewed the results of a third-party assessment conducted on the asset portfolio information and concluded that there were no findings that affected the rating analysis. Prior to National RMBS Trust 2012-1, 2012-2, 2015-1 and 2015-2 closing, Fitch did not review the results of a third-party assessment conducted on the asset portfolio information. Prior to National RMBS Trust 2018-1 closing, Fitch sought to receive a third-party assessment conducted on the asset portfolio information, but none was available for this transaction. As part of its ongoing monitoring, Fitch conducted a review of a small targeted sample of NAB's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio. Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. SOURCES OF INFORMATION The information below was used in the analysis: - issuer and servicer reports as of the November payment date and provided by NAB; - loan enforcement details as of the November payment date and provided by NAB; and - discussions and updates from NAB dated 15 November 2019. The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is public. ESG Considerations Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of 3 - ESG issues are credit neutral or have only a minimal credit impact on the transactions, either due to their nature or the way in which they are being managed. For more information on our ESG Relevance Scores, visit www.fitchratings.com/esg. Contacts: Surveillance Rating Analyst Bradley Isaac, Analyst +61 2 8256 0306 Fitch Australia Pty Ltd Level 15 77 King Street Sydney NSW 2000 Committee Chairperson Chris Stankovski, Senior Director +61 2 8256 0341
Media Relations: Leslie Tan, Singapore, Tel: +65 6796 7234, Email: leslie.tan@thefitchgroup.com; Peter Hoflich, Singapore, Tel: +65 6796 7229, Email: peter.hoflich@thefitchgroup.com. Additional information is available on www.fitchratings.com Applicable Criteria APAC Residential Mortgage Rating Criteria (pub. 04 Jun 2019) https://www.fitchratings.com/site/re/10076316 Global Structured Finance Rating Criteria (pub. 02 May 2019) https://www.fitchratings.com/site/re/10073280 RMBS Lenders' Mortgage Insurance Rating Criteria (pub. 17 Mar 2019) https://www.fitchratings.com/site/re/10066008 Structured Finance and Covered Bonds Counterparty Rating Criteria (pub. 18 Apr 2019) https://www.fitchratings.com/site/re/10068780 Structured Finance and Covered Bonds Counterparty Rating Criteria: Derivative Addendum (pub. 18 Apr 2019) https://www.fitchratings.com/site/re/10069072 Additional Disclosures Dodd-Frank Rating Information Disclosure Form https://www.fitchratings.com/site/dodd-frank-disclosure/10103512 Solicitation Status https://www.fitchratings.com/site/pr/10103512#solicitation Endorsement Policy https://www.fitchratings.com/regulatory ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. 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