Fitch Affirms 3 PUMA Transactions

(The following statement was released by the rating agency)SYDNEY, September 14 (Fitch) Fitch Ratings has affirmed six classes of notes from three PUMA transactions of Australian residential mortgage-back securities (RMBS). The transactions are backed by pools of Australian conforming residential mortgages originated by Macquarie Bank Limited (MBL). The rating actions are listed at the end of this commentary.KEY RATING DRIVERSThe affirmations reflect Fitch's view that the available credit enhancement is sufficient to support the notes' current ratings, and can withstand deterioration from Australia's current economic conditions in line with the agency's expectations. The credit quality and performance of the loans in the collateral pools have also remained in line with expectations. As of July 2016, 30+ days arrears for PUMA Series 2014-3P (PUMA 2014-3P) and PUMA Sub-Fund B1 (PUMA B1) were 1.23% and 1.35% respectively, above the 1Q16 Dinkum RMBS Index of 1.11%. The 30+ days arrears for PUMA Series 2015-5P were 0.71%, which is below the 1Q Dinkum RMBS Index. All loans in the portfolio for PUMA 2015-5P and PUMA 2014-3P have lenders' mortgage insurance (LMI) while 99.3% of the PUMA B1 portfolio has LMI coverage. The LMI are provided by QBE Lenders' Mortgage Insurance Limited (Insurer Financial Strength Rating: AA-/Stable) and Genworth Financial (NYSE:GNW) Mortgage Insurance Pty Limited (Insurer Financial Strength Rating: A+/Stable). No losses have been experienced by PUMA 2014-3P and PUMA 2015-5P. PUMA B1 had losses of AUD11.4m, all of which were submitted to LMI, with 81% of claims paid sand all the claim reductions paid by excess spread.For PUMA 2015-5P and PUMA B1, the transactions remain within their revolving periods. Fitch is comfortable with PUMA B1's long revolving period of 10-years ending on 8 March 2018, as MBL's product mix has not materially changed over this time, and the portfolio is performing as expected. PUMA 2015-5P has an initial 12 month revolving period that may be extended by additional 12 month periods. The transaction includes rating and performance triggers to mitigate potential portfolio deterioration.PUMA 2014-3P's revolving period ended on 13 October 2015. The notes have been amortising since November 2015. RATING SENSITIVITIES Credit enhancement levels for the rated notes across the transactions can support many multiples of the arrears levels reported in the latest investor reports. The ratings are not expected to be affected by modest changes in performance.The class A notes for PUMA B1, PUMA 2015-5P and PUMA 2014-3P can withstand an additional 22.8%, 32.3% and 24.5% of defaults respectively at their 'AAAsf' modelled loss severity. For PUMA B1, the class AB notes can withstand an additional 4.9% of defaults whilst the Class B1 of PUMA 2015-5P and PUMA 2014-3P can withstand an additional 7.4% and 11.0% of defaults respectively.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.REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS A description of the transactions' representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering documents and which relate to the underlying asset pool was not prepared for these transactions because they do not involve the use of offering documents. For further information, please see Fitch's Special Reports titled "Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions," dated 31 May 2016. DATA ADEQUACY Fitch conducted a file review of 10 sample loan files focusing on the underwriting procedures conducted by Macquarie Bank Limited 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.The full list of rating actions is shown below (note balance is as of August 2016 payment date): PUMA Sub-Fund B1AUD12,773.6m (AU3FN0005427) Class A notes affirmed at 'AAAsf'; Outlook Stable. AUD841.9m (AU3FN0021721) Class AB notes affirmed at 'AAAsf'; Outlook Stable. PUMA Series 2014-3PAUD771.9m (AU3FN0024196) Class A notes affirmed at 'AAAsf'; Outlook Stable. AUD32.6m (AU3FN0024204) Class B1 notes affirmed at 'AAAsf'; Outlook Stable. PUMA Series 2015-5PAUD500.0m (AU3FN0028981) Class A notes affirmed at 'AAAsf'; Outlook Stable. AUD39.8m (AU3FN0028999) Class B1 notes affirmed at 'AAAsf'; Outlook Stable. Contacts: Lead Surveillance Analyst Stephen LoAnalyst+61 2 8256 0379Fitch Australia Pty LtdLevel 15, 77 King St, Sydney NSW 2000 AustraliaCommittee Chairperson Natasha VojvodicSenior Director+ 61 2 8256 0350Media Relations: Leslie Tan, Singapore, Tel: +65 67 96 7234, Email: leslie.tan@fitchratings.com.Additional information is available at www.fitchratings.com.Sources of Information:The source of information used to assess these ratings is Macquarie Bank Limited. 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. 30 Aug 2016)https://www.fitchratings.com/site/re/887076Counterparty Criteria for Structured Finance and Covered Bonds (pub. 01 Sep 2016)https://www.fitchratings.com/site/re/886006Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum (pub. 18 Jul 2016)https://www.fitchratings.com/site/re/884964Global Criteria for Lenders’ Mortgage Insurance in RMBS (pub. 28 Jul 2016)https://www.fitchratings.com/site/re/884107Global Structured Finance Rating Criteria (pub. 27 Jun 2016)https://www.fitchratings.com/site/re/883130Related Research PUMA Series 2014-3P Appendixhttps://www.fitchratings.com/site/re/753387Additional Disclosures Dodd-Frank Rating Information Disclosure Form https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr _id=1011630Solicitation Status https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1011630Endorsement 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.