(The following statement was released by the rating agency) Link to Fitch Ratings' Report(s): https://www.fitchratings.com/site/re/10117303 Fitch Ratings-Sydney-April 06: Fitch Ratings has affirmed the ratings of Pinnacle Series Trust 2014-SST's Class A notes. The transaction is a securitisation of first-ranking prime Australian residential mortgages originated by Police Nurses Limited (PN), trading as PN Bank. The notes are issued by BNY Trust Company of Australia Limited as trustee of the Pinnacle Series Trust 2014-SST. The social and market disruption caused by the coronavirus pandemic and related containment measures have not negatively affected the ratings, because there is sufficient credit enhancement (CE) to Fitch's base case scenario of the impact and adequate liquidity protection to support the current ratings. Pinnacle Series Trust 2014-SST ----A AU3FN0022190; Long Term Rating; Affirmed; AAAsf; RO:Sta KEY RATING DRIVERS Coronavirus-Related Economic Shock: Fitch has made assumptions about the spread of the coronavirus and the economic impact of the related containment measures. As a base-case (most likely) scenario, Fitch assumes a global recession in 1H20 driven by sharp economic contractions in major economies with a rapid spike in unemployment, followed by a recovery that begins in 3Q20 as the health crisis subsides. As a downside (sensitivity) scenario in the Rating Sensitivities section below, Fitch takes into consideration a more severe and prolonged period of stress delaying any meaningful recovery to beyond 2021. Coronavirus-Related Impact: The measures put in place to reduce the spread of the virus are affecting Australia's economy, with many businesses temporarily shut down with little or no income. We expect these measures to affect the performance of mortgages, but we do not expect a rating impact on the 'AAAsf' rated notes in this transaction. This is because the 'AAAsf' can absorb Fitch's base case scenario of the coronavirus-related impacts above and in addition, the rated notes have subordination that is at least 1.3x greater than the 'AAAsf' portfolio loss. Liquidity Risk from Payment Holidays: We have reviewed the ability of the transaction to survive a significant proportion of borrowers taking a payment holiday. The transaction benefits from a liquidity reserve sized at 1.5% of the asset balance and is sufficient to cover more than eight months of required payments at the current bank-bill spot rate should there be no principal or interest collections. In the event there is not 100% take-up of payment holiday, the transaction can also use any principal payments received to pay interest. Operational Risk: PN Bank is an authorised deposit-taking institution, as defined by the Australian Prudential (LON:PRU) Regulation Authority. Fitch undertook an onsite operational review and found that the operations of the originator and servicer were in line with other comparative conforming lenders. The collections and servicing activities have not been disrupted due to the coronavirus outbreak as staff work remotely and are able to access the bank branches and the disaster recovery site, if needed. Asset Analysis: The transaction has a ten-year substitution period, of which about four are remaining. Therefore, Fitch's analysis is based on a portfolio stressed to documented portfolio parameters. The 'AAAsf' weighted-average (WA) foreclosure frequency of 18.0% is driven by the WA unindexed loan/value ratio (LVR) of 66.2% and, under Fitch's methodology, investment loans of 30.3%. The 'AAAsf' lenders' mortgage insurance (LMI) dependent WA recovery rate of 62.2% is driven by the portfolio's WA indexed scheduled LVR of 73.6%, 10.0% of the pool benefiting from LMI and the portfolio 'AAAsf' WA market value decline of 51.9%. The 30+ day arrears (excluding loans with a hardship status that are not in arrears) were 0.52% as of end-February 2020, lower than the Fitch 4Q19 Dinkum RMBS Index of 1.06%. The transaction has experienced no losses since closing. LMI cover is provided by Genworth Financial (NYSE:GNW) Mortgage Insurance Pty Limited (Insurer Financial Strength Rating: A+/Negative) and QBE Lenders' Mortgage Insurance Limited (Insurer Financial Strength Rating: A+/Stable). Liability Analysis: Cash flow analysis was not performed for the transaction, in accordance with Fitch's criteria, as the transaction is still within its revolving period, 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. Macroeconomic Factors: Fitch expects mortgage performance to deteriorate in the near term, but to continue to support the Stable Outlook for the 'AAAsf' notes. Fitch currently forecasts Australia's GDP to shrink 2.2% in 2020 with unemployment rising to 7.7%. This is partially offset by a low official cash rate of 0.25% and the application of both central bank and government stimulus measures. In the medium term, Fitch expects GDP growth to bounce back to 2.9% in 2021 and the unemployment rate to fall to 6.9%. The Stable Outlook is based on the notes' ability to withstand the sensitivity to higher defaults stemming from the pandemic. RATING SENSITIVITIES The transaction is still in its substitution period. Fitch used a stressed portfolio to the specific portfolio limits for the transaction as specified in the transaction documents. Coronavirus Downside Scenario Sensitivity Fitch has added a coronavirus downside sensitivity analysis that contemplates a more severe and prolonged economic stress caused by a re-emergence of infections in the major economies, delaying any meaningful recovery to beyond 2021. The 'AAAsf' rated notes have subordination that is at least 1.3x greater than the 'AAAsf' portfolio loss using the stressed portfolio, and the actual portfolio is well within the stressed portfolio parameters. Factors that could, individually or collectively, lead to positive rating action/upgrade: The Class A notes are rated 'AAAsf', which is the highest level on Fitch's scale. The rating cannot be upgraded. Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades may occur if the build-up of the notes CE following amortisation does not compensate for a worse loss expectation than we anticipate due to unexpected high levels of defaults and portfolio deterioration. The transaction structure supports a LMI-independent rating for classes A notes. LMI is not required to support the rating due to the level of credit support provided by the lower notes. For more information on initial rating sensitivities please refer to the press release at closing of the transaction, which can be accessed by clicking on the link: www.fitchratings.com/research/structured-finance/fitch-assigns-ratings-to-pinnac le-series-trust-2014-sst-24-02-2014 Best/Worst Case Rating Scenario 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 'AAA' to 'D'. 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 www.fitchratings.com/site/re/10111579. 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. Prior to the transaction closing, Fitch did not review the results of a third-party assessment conducted on the asset portfolio information. As part of its ongoing monitoring, Fitch conducted a file review of a small targeted sample of PN Bank'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 interest payment date in March 2020 and provided by PN Bank; loan level data dated end-January were used to run the relevant model and the relevant data sources were PN Bank; and discussions and updates from PN Bank in February and March 2020. 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(ies), either due to their nature or the way in which they are being managed by the entity(ies). For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg. Contacts: Surveillance Rating Analyst Sambit Agasti, Associate Director +61 2 8256 0337 Fitch Australia Pty Ltd Level 15 77 King Street Sydney NSW 2000 Committee Chairperson Natasha Vojvodic, Senior Director +61 2 8256 0350
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 APAC Residential Mortgage Rating Criteria (pub. 04 Jun 2019) (including rating assumption sensitivity) https://www.fitchratings.com/site/re/10076316 Global Structured Finance Rating Criteria (pub. 02 May 2019) (including rating assumption sensitivity) https://www.fitchratings.com/site/re/10073280 RMBS Lenders' Mortgage Insurance Rating Criteria (pub. 12 Mar 2020) (including rating assumption sensitivity) https://www.fitchratings.com/site/re/10110807 Structured Finance and Covered Bonds Counterparty Rating Criteria (pub. 29 Jan 2020) https://www.fitchratings.com/site/re/10108544 Applicable Model Numbers in parentheses accompanying applicable model(s) contain hyperlinks to criteria providing description of model(s). 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