(The following statement was released by the rating agency) Fitch Ratings-Sydney-January 16: Fitch Ratings has affirmed 16 note classes from seven ConQuest transactions, which consist of notes backed by pools of first-ranking Australian residential full-documentation mortgage loans. All mortgages were originated by MyState Bank Limited and the notes were issued by Perpetual Trustee Company Limited in its capacity as trustee. ConQuest 2010-1R Trust ----A AU3FN0024428; Long Term Rating; Affirmed; AAAsf; RO:Sta ConQuest 2013-1 Trust ----Class A AU3FN0019907; Long Term Rating; Affirmed; AAAsf; RO:Sta ----Class AB AU3FN0019915; Long Term Rating; Affirmed; AAAsf; RO:Sta ConQuest 2014-2 Trust ----A1 AU3FN0026076; Long Term Rating; Affirmed; AAAsf; RO:Sta ----A2 AU3FN0026084; Long Term Rating; Affirmed; AAAsf; RO:Sta ----AB AU3FN0026092; Long Term Rating; Affirmed; AAAsf; RO:Sta ----B1 AU3FN0026100; Long Term Rating; Affirmed; AAAsf; RO:Sta ----B2 AU3FN0026118; Long Term Rating; Affirmed; BBB+sf; RO:Sta ConQuest 2016-2 Trust ----A1 AU3FN0033254; Long Term Rating; Affirmed; AAAsf; RO:Sta ----A2 AU3FN0033262; Long Term Rating; Affirmed; AAAsf; RO:Sta ConQuest 2017-1 Trust ----A1 AU3FN0035804; Long Term Rating; Affirmed; AAAsf; RO:Sta ----A2 AU3FN0035812; Long Term Rating; Affirmed; AAAsf; RO:Sta ConQuest 2018-1 Trust ----A1 AU3FN0041190; Long Term Rating; Affirmed; AAAsf; RO:Sta ----A2 AU3FN0041208; Long Term Rating; Affirmed; AAAsf; RO:Sta ConQuest 2019-2 Trust ----A1 AU3FN0049813; Long Term Rating; Affirmed; AAAsf; RO:Sta ----A2 AU3FN0049821; Long Term Rating; Affirmed; AAAsf; RO:Sta KEY RATING DRIVERS Operational Risk: MyState is an authorised deposit-taking institution headquartered in Hobart, Tasmania. Fitch undertook an onsite operational review and found that the operations of the servicer were comparable with market standards and that there were no material changes that may affect MyState's ongoing ability to undertake administration and collection activities. Asset Analysis: The asset model was not re-run for all trusts except ConQuest 2010-1R Trust, in accordance with Fitch's criteria, as the notes are rated at the highest possible level (AAAsf or non-model related cap), asset composition and performance have not changed materially since the last asset-model analysis, cash-flow distributions have been within Fitch's expectations since the last cash-flow model analysis and there have been no material changes to asset assumptions since the last asset-model analysis. The asset model was rerun for ConQuest 2010-1R Trust using the pool cut as of 3 December 2019. The 'AAAsf' weighted-average (WA) foreclosure frequency of 15.2% is driven by the WA unindexed loan/value ratio (LVR) of 69.3%, interest-only loans of 11.4% and, under Fitch's methodology, investment loans of 24.4%. For modelling purposes, all hardship loans were re-classified as three months in arrears under Fitch's methodology. The 'AAAsf' lenders' mortgage insurance (LMI) dependent WA recovery rate of 73.8% is driven by the portfolio's WA indexed scheduled LVR of 66.7%, 35.8% of the pool benefiting from LMI and the portfolio's 'AAAsf' WA market value decline of 52.4 %. At end-November 2019, 30+ and 90+ day arrears for all trusts either tracked below or were comparable with Fitch's 3Q19 Dinkum RMBS Index of 1.07% and 0.58%, respectively; 30+ day arrears ranged from 0.0% (ConQuest 2013-1 Trust) to 1.0% (ConQuest 2014-2 Trust), while 90+ day arrears ranged from 0.00% (ConQuest 2013-1 Trust) to 0.8% (ConQuest 2014-2 Trust). Loans that have a current hardship status but are not in arrears are not included in MyState's arrears figures. There have been 11 losses to date between the seven transactions totalling AUD751,683, all of which have been covered by LMI and excess spread. Liability Analysis: Cash flow analysis was not performed for all trusts in accordance with Fitch's criteria, as the notes are rated at the highest possible level (AAAsf or non-model related cap), asset composition and performance have not changed materially since the last asset-model analysis, cash-flow distributions have been within Fitch's expectations since the last cash-flow model analysis and there have been no material changes to cash-flow assumptions since the last cash flow model analysis. ConQuest 2010-1R Trust has a 10-year revolving period, of which 4.5 years remain. Fitch is comfortable with the long revolving period because of MyState's stable product history, the portfolio parameters and the eligibility criteria that maintain portfolio characteristics during the revolving period. Macroeconomic Factors: Fitch expects stable mortgage performance supported by sustained economic growth in Australia and Tasmania. Fitch forecasts steady GDP growth of 2.3% for 2020, a stable labour market and low interest rates in Australia to support the Outlook on the rated notes. All trusts are concentrated geographically in Tasmania, reflecting MyState's geographic presence in the region, where the state government forecasts gross state product growth of 2.75% over the financial year ending June 2020. RATING SENSITIVITIES Fitch does not expect the ratings to be affected by any foreseeable change in performance. The prospect of downgrade is remote, given the level of subordination available to all rated notes, pool performance and adequate excess spread. Class A notes from ConQuest 2010-1R Trust and Class AB, B1 and B2 notes from ConQuest 2014-2 Trust are LMI dependent and therefore sensitive to downgrades in the LMI providers' ratings. All other rated notes are independent of downgrades in the LMI providers' ratings. Where models were run, Fitch conducted sensitivity analysis by stressing the transaction's base-case assumptions. The results of rating-sensitivity testing, using the asset model, are shown below. ConQuest 2010-1R Trust Notes: A Rating: AAAsf Rating sensitivity to increased defaults: Increase defaults by 15%: AAAsf Increase defaults by 30%: AA+sf Rating sensitivity to decreased recoveries: Reduce recoveries by 15%: AAAsf Reduce recoveries by 30%: AA+sf Rating sensitivity to multiple factors: Increase defaults by 15%, reduce recoveries by 15%: AA+sf Increase defaults by 30%, reduce recoveries by 30%: AAsf 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 portfolios as part of its ongoing monitoring. Fitch did not review the information provided about the underlying asset pools ahead of ConQuest 2010-1R Trust's initial closing. Prior to the closing of ConQuest 2013-1 Trust and ConQuest 2014-2 Trust, Fitch did not review the results of a third-party assessment conducted on the asset-portfolio information. Prior to the closing of ConQuest 2016-2 Trust, ConQuest 2017-1 Trust, ConQuest 2018-1 Trust and ConQuest 2019-2 Trust, Fitch sought to receive a third-party assessment conducted on the asset-portfolio information, but none was available for these transactions. As part of its ongoing monitoring, Fitch reviewed a small targeted sample of MyState'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 MyState; - Loan enforcement details as of the November payment date and provided by MyState; and - Discussions and updates from MyState in December 2019 and January 2020. The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is public. Contacts: Surveillance Rating Analyst Eugene Wang, Analyst +61 2 8256 0373 Fitch Australia Pty Ltd Level 15 77 King Street Sydney NSW 2000 Committee Chairperson Chris Stankovski, Senior Director +61 2 8256 0341
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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/10107559 Solicitation Status https://www.fitchratings.com/site/pr/10107559#solicitation Endorsement Policy https://www.fitchratings.com/regulatory ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. 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