(The following statement was released by the rating agency) Link to Fitch Ratings' Report(s): https://www.fitchratings.com/site/re/10115515 https://www.fitchratings.com/site/re/10115519 Fitch Ratings-Sydney-March 26: Fitch Ratings has affirmed the ratings on twelve tranches from two Flexi ABS trusts. The transactions are securitisations of small-balance unsecured consumer loans originated by Certegy Ezi-Pay Pty Ltd, whose ultimate parent is FlexiGroup Limited (flexigroup). The notes were issued by Perpetual Corporate Trust Limited in its capacity as trustee of the respective trusts. Outstanding note balances for Flexi ABS Trust 2018-1 and Flexi ABS Trust 2019-1 were AUD62.9 million and AUD155.8 million, respectively, at the December 2019 payment date. Flexi ABS Trust 2018-1 ----A2 AU3FN0041968; Long Term Rating; Affirmed; AAAsf; RO:Sta ----A2-G AU3FN0041976; Long Term Rating; Affirmed; AAAsf; RO:Sta ----B-G AU3FN0041984; Long Term Rating; Affirmed; AAAsf; RO:Sta ----C AU3FN0041992; Long Term Rating; Affirmed; AA-sf; RO:Sta ----D AU3FN0042008; Long Term Rating; Affirmed; BBB+sf; RO:Sta ----E AU3FN0042016; Long Term Rating; Affirmed; BB+sf; RO:Sta Flexi ABS Trust 2019-1 ----A2 AU3FN0046868; Long Term Rating; Affirmed; AAAsf; RO:Sta ----A2-G AU3FN0046876; Long Term Rating; Affirmed; AAAsf; RO:Sta ----B-G AU3FN0046884; Long Term Rating; Affirmed; AA+sf; RO:Sta ----C-G AU3FN0046892; Long Term Rating; Affirmed; A+sf; RO:Sta ----D AU3FN0046900; Long Term Rating; Affirmed; BBB+sf; RO:Sta ----E AU3FN0046918; Long Term Rating; Affirmed; BB+sf; RO:Sta KEY RATING DRIVERS Obligor Default Risk: The coronavirus and the measures put in place to reduce its spread are affecting Australia's economy, with many businesses temporarily shut down with little or no income. We expect this to affect Flexi ABS transactions. Fitch has increased the base default probability of both transactions by 1.6x based on consumer delinquencies in the US in 2008 as a result of the global financial crisis for the purpose of this review. We have also reviewed the ability of transactions to survive a significant proportion of borrowers being offered and taking up a payment holiday. Both deals benefit from significant excess spread and can withstand 65% of borrowers receiving payment holidays before needing to draw on liquidity support. The liquidity reserve for both transactions are sufficient to cover more than four months of expenses, swap payments and interest costs for the class A to E notes at the current bank-bill spot rate should there be no interest collections. The base-case gross-loss default expectation over the remaining life applied in Fitch's cash-flow modelling is 4.6% for 2018-1 (from 3.1% at the last review) and 6.5% for 2019-1 (up from 4.5% at closing). Recovery assumptions are unchanged at 0%. Performance of the underlying assets and losses have been tracking lower than Fitch's base-case expectations to date. Cumulative losses at end-2019 were 2.6% and 1.7% for 2018-1 and 2019-1, respectively, while 30+ day arrears were 2.2% and 2.1%; above Fitch's 4Q19 Dinkum ABS Index of 1.9%. The Stable Outlook is based on the notes' ability to withstand the higher default rate applied to take into account the effects of the coronavirus pandemic. These transactions will be part of a larger transaction review for the ongoing impact of the pandemic. Cash Flow Dynamics: Fitch completed full cash-flow modelling for 2018-1 and 2019-1, and determined that full and timely payment of principal and interest was made to the notes in all modelled scenarios at the proposed rating levels. The aggregate note balance of each transaction has amortised down by AUD76.9 million and AUD144.2 million, for 2018-1 and 2019-1, respectively, as at end-2019 since the previous review. Credit enhancement available for Flexi 2019-1 has increased for each note, with the class A2 credit enhancement percentage at 37.7%, up from 24.2% at closing. Flexi 2018-1's credit enhancement percentages have not changed materially since the previous review, as it continues to pay principal collections on a pro rata basis. This limits additional build-up of subordination and exposes the transaction to default at the tail end. Conditions for switch back to sequential payment would be met if the average 60+ day arrears rate over six months is greater than 4% of the pool, a charge-off occurs or the transactions are not called on their respective call dates. Excess spread for both transactions has been strong and relatively stable since closing. Net annualised excess spreads of 18.7% and 7.7% have been generated by 2018-1 and 2019-1, respectively, as of end-2019. Excess spread has covered all losses incurred to date. Servicer, Operational Risks: Fitch reviewed Certegy's servicing capabilities and found that the operations were comparable with those of other consumer-finance lenders. Certegy's servicing and collections teams in Adelaide and Manila are currently working remotely, with no disruption to servicing procedures at present. Certegy is not rated and servicer disruption risk is mitigated through back-up arrangements. The nominated back-up servicer is illion Australia Pty Ltd, which has live access to Certegy's systems and can step in immediately upon servicer termination. Structural Risk: Structural risk has been evaluated in the initial transaction analysis through the review of transaction documentation, legal opinion and structural features. There have been no changes to either transaction since closing. Counterparty Risk: Counterparty risk has been evaluated in the initial transaction analysis through the review of transaction documentation, legal opinion and structural features. There have been no changes to either transaction since closing. Residual Value Risk: There is no residual value risk. RATING SENSITIVITIES Fitch conducted sensitivity analysis by increasing gross default levels over the life of the transaction. Flexi ABS Trust 2018-1 Notes class: A2/A2-G/B-G/C/D/E Current rating: AAAsf/AAAsf/AAAsf/AA-sf/BBB+sf/BB+sf Impact on note ratings of increased defaults: Increase defaults by 10%: AAAsf/AAAsf/AAAsf/AA-sf/BBB+sf/BB+sf Increase defaults by 25%: AAAsf/AAAsf/AAAsf/AA-sf/BBB+sf/BBsf Increase defaults by 50%: AAAsf/AAAsf/AAAsf/Asf/BBB-sf/B+sf Flexi ABS Trust 2019-1 Notes class: A2/A2-G/B-G/C-G/D/E Current rating: AAAsf/AAAsf/AA+sf/A+sf/BBB+sf/BB+sf Impact on note ratings of increased defaults: Increase defaults by 10%: AAAsf/AAAsf/AA+sf/A+sf/BBBsf/BBsf Increase defaults by 25%: AAAsf/AAAsf/AA+sf/Asf/BBB-sf/B+sf Increase defaults by 50%: AAAsf/AAAsf/A+sf/BBBsf/BBsf/B-sf 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 as part of its ongoing monitoring. Prior to closing, Fitch sought to receive a third-party assessment conducted on the asset portfolio information, but none was made available to Fitch for the transactions. As part of its ongoing monitoring, Fitch reviewed a small targeted sample of flexigroup'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. SOURCES OF INFORMATION The data used to develop the rating included the following information from the following sources: -Issuer and servicer reports as of the interest payment date in December 2019 and provided by flexigroup. -Aggregate and loan level data dated 31 December 2019 used to run the relevant model, provided by flexigroup. -Discussions and updates from the servicer in February and March 2020. 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 James Leung, Director +61 2 8256 0322 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 Consumer ABS Rating Criteria (pub. 11 Dec 2019) https://www.fitchratings.com/site/re/10101290 Fitch Ratings Interest Rate Stress Assumptions for Structured Finance and Covered Bonds (Excel) (pub. 06 Dec 2019) https://www.fitchratings.com/site/re/10104368 Global Structured Finance Rating Criteria (pub. 02 May 2019) https://www.fitchratings.com/site/re/10073280 Structured Finance and Covered Bonds Counterparty Rating Criteria (pub. 29 Jan 2020) https://www.fitchratings.com/site/re/10108544 Structured Finance and Covered Bonds Counterparty Rating Criteria: Derivative Addendum (pub. 29 Jan 2020) https://www.fitchratings.com/site/re/10108546 Structured Finance and Covered Bonds Interest Rate Stresses Rating Criteria (pub. 06 Dec 2019) https://www.fitchratings.com/site/re/10103887 Additional Disclosures Dodd-Frank Rating Information Disclosure Form https://www.fitchratings.com/site/dodd-frank-disclosure/10114093 Solicitation Status https://www.fitchratings.com/site/pr/10114093#solicitation Endorsement Policy https://www.fitchratings.com/regulatory ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. 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