Fitch Affirms PUMA Sub-Fund B1 at 'AAAsf'; Outlook Stable

(The following statement was released by the rating agency)SYDNEY, January 14 (Fitch) Fitch Ratings has affirmed the ratings for PUMA Sub-Fund B1 Class A and AB notes. The transaction is a securitisation of Australian conforming residential mortgages originated by Macquarie Bank Limited. The rating action is as follows:AUD 9,616.2m Class A (ISIN AU3FN0005427) notes affirmed at 'AAAsf'; Outlook Stable; and AUD 633.8m Class AB (ISIN AU3FN0021721) notes affirmed at 'AAAsf'; Outlook Stable.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 the current economic conditions in Australia 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 November 2015, 30+ days arrears were 1.36% compared to Fitch's 3Q15 Dinkum RMBS Prime Index of 0.91%. The November report showed lenders' mortgage insurance (LMI) covered 95.1% of the pool; 90.8% Genworth Financial (N:GNW) Mortgage Insurance Pty Limited (Insurer Financial Strength Rating A+/Stable) and 4.20% QBE Lenders Mortgage Insurance Ltd (Insurer Financial Strength Rating AA-/Stable).The transaction remains within its 10-year substitution period which ends on 8 March 2018, and no amortisation of the notes has occurred to date. Fitch is comfortable with the long revolving period as the portfolio stratifications have not changed significantly since initial issue, Macquarie Bank's product mix has not materially changed over this time, and the portfolio is performing as expected.RATING SENSITIVITIES The Class A notes are currently independent of downgrades to the LMI provider's ratings. Due to the revolving nature of the transaction, Class A notes may become dependent on the LMI provider's ratings should the transaction's portfolio materially change. The Class AB notes can withstand a one notch downgrade to the LMI providers. At Fitch's 'AAAsf' breakeven default rate of 16.18%, the Class A notes can withstand an additional 20.4% defaults at Fitch's 'AAAsf' loss severity. The Class AB notes can withstand an additional 2.4% defaults at Fitch's 'AAAsf' loss severity.DUE DILIGENCE USAGE No third party due diligence was provided or reviewed in relation to this rating action.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.A comparison of the transaction's representations, warranties and enforcement mechanisms (RW&Es) to those of typical RW&Es for this asset class is available by accessing the reports and/or links under Related Research below.Contacts: Lead Surveillance Analyst Hai Duong Le Associate Director Phone +612 8256 0358 Fitch Australia Pty Ltd., Level 15, 77 King St, Sydney, NSW 2000Committee Chairperson Alison HoSenior DirectorPhone +852 2263 9937Media Relations: Leni Vu, Sydney, Tel: +61 2 8256 0304, Email: leni.vu@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. 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=867952Related Research Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=875850Additional Disclosures Dodd-Frank Rating Information Disclosure Form https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr _id=997859Solicitation Status https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=997859Endorsement 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.