(The following statement was released by the rating agency) Link to Fitch Ratings' Report(s): https://www.fitchratings.com/site/re/10098728 https://www.fitchratings.com/site/re/10098729 Fitch Ratings-Sydney-October 28: Fitch Ratings has assigned expected ratings to TORRENS Series 2019-2 Trust's mortgage-backed pass-through floating-rate bonds. The issuance consists of notes backed by a pool of first-ranking Australian residential full-documentation mortgage loans originated by Bendigo and Adelaide Bank Limited (BEN, A-/Stable/F2). The notes will be issued by Perpetual Trustee Company Limited in its capacity as trustee of TORRENS Series 2019-2 Trust, which is a separate and distinct trust created under a master trust deed. The total collateral pool totalled AUD500 million and consisted of 2,195 obligors with a weighted-average (WA) Fitch-indexed current loan/value ratio (LVR) of 57.6% as at the 30 September 2019 cut-off date. TORRENS Series 2019-2 Trust ----A ; Long Term Rating; Expected Rating; AAA(EXP)sf; RO:Sta ----AB ; Long Term Rating; Expected Rating; AAA(EXP)sf; RO:Sta ----B ; Long Term Rating; Expected Rating; NR(EXP)sf ----C ; Long Term Rating; Expected Rating; NR(EXP)sf ----D ; Long Term Rating; Expected Rating; NR(EXP)sf ----E ; Long Term Rating; Expected Rating; NR(EXP)sf KEY RATING DRIVERS Operational Risk: BEN is an authorised deposit-taking institution headquartered in Bendigo, Victoria. 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 BEN's ongoing ability to undertake administration and collection activities. BEN's collection timelines, policies and procedures are in line with those of other conforming lenders in Australia. Asset Analysis: The 'AAAsf' WA foreclosure frequency of 8.3% is driven by the WA unindexed LVR of 59.4% and, under Fitch's methodology, investment loans of 16.0%. The 'AAAsf' lenders' mortgage insurance (LMI) dependent WA recovery rate of 68.0% is driven by the portfolio's WA indexed scheduled LVR of 60.5%, 16.8% of the pool benefiting from LMI and the portfolio 'AAAsf' WA market value decline of 54.6%. Liability Analysis: The class A and AB notes benefit from credit enhancement of 8.0% and 3.7%, respectively. Structural features include a liquidity facility sized at 0.85% of the asset balance with a floor of AUD425,000. The class A and AB notes can withstand all relevant Fitch 'AAAsf' stresses applied in our cash-flow analysis. Macroeconomic Factors: Fitch expects stable mortgage performance supported by sustained economic growth in Australia and specifically, Victoria. Fitch forecasts strengthening GDP growth of 2.3% for 2020, with stable labour markets and low interest rates supporting the Outlook on the rated notes. The pool is concentrated in Victoria, reflecting BEN's history and operational focus in the region. The state government forecasts gross state product growth of 2.8% over the financial year ending June 2020. RATING SENSITIVITIES Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than Fitch's base case and are likely to result in a decline in credit enhancement and remaining loss-coverage levels available to the notes. Decreased credit enhancement may make certain note ratings susceptible to potential negative rating action, depending on the extent of the coverage decline. Hence, Fitch conducts sensitivity analysis by stressing a transaction's initial base-case assumptions. Fitch applies recovery rate stress to the pre-LMI recovery rate to isolate the effect of a change in recovery proceeds at the borrower level. Expected impact on note ratings of increased defaults: Notes: A / AB Expected Rating: AAAsf / AAAsf Increase defaults by 15%: AAAsf / AA+sf Increase defaults by 30%: AAAsf / AA+sf Expected impact on note ratings of decreased recoveries: Notes: A / AB Expected Rating: AAAsf / AAAsf Reduce recoveries by 15%: AAAsf / AAsf Reduce recoveries by 30%: AAAsf / AA-sf Expected impact on note ratings of multiple factors: Notes: A / AB Expected Rating: AAAsf / AAAsf Increase defaults by 15% and reduce recoveries by 15%: AAAsf / AAsf Increase defaults by 30% and reduce recoveries by 30%: AAAsf / Asf The transaction structure supports LMI-independent ratings for the class A notes. LMI is not required to support the rating due to the level of credit support provided by the lower notes. The class AB notes can withstand a one-notch downgrade of the LMI providers' ratings. Key rating drivers and expected rating sensitivities are further discussed in the corresponding presale report entitled "TORRENS Series 2019-2 Trust", published today. 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 Prior to the transaction closing, Fitch sought to receive a third-party assessment conducted on the asset portfolio information, but none was made available for this transaction. As part of its ongoing monitoring, Fitch reviewed a small targeted sample of BEN'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: Loan-by-loan data provided by BEN as at 30 September 2019 Transaction documentation provided by King Wood Mallesons, the issuer's counsel. The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is public. REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by clicking the link to the Appendix. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions'. ESG Considerations Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of 3 - ESG issues are credit neutral or have only minimal credit impact on the transaction, either due to their nature or the way in which they are being manged by the transaction. For more information on our ESG Relevance Scores, visit www.fitchratings.com/site/esg Contacts: Primary Rating Analyst Bradley Isaac, Analyst +61 2 8256 0306 Fitch Australia Pty Ltd Level 15 77 King Street Sydney NSW 2000 Secondary Rating Analyst Chris Stankovski, Senior Director +61 2 8256 0341 Surveillance Rating Analyst Bradley Isaac, Analyst +61 2 8256 0306 Fitch Australia Pty Ltd Level 15 77 King Street Sydney NSW 2000 Committee Chairperson Claire Heaton, Senior Director +61 2 8256 0361
Media Relations: Leslie Tan, Singapore, Tel: +65 6796 7234, Email: leslie.tan@thefitchgroup.com; Peter Hoflich, Singapore, Tel: +65 6796 7229, Email: peter.hoflich@thefitchgroup.com. 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 Fitch Ratings Interest Rate Stress Assumptions for Structured Finance and Covered Bonds (pub. 08 Mar 2019) https://www.fitchratings.com/site/re/10065249 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 Structured Finance and Covered Bonds Interest Rate Stresses Rating Criteria (pub. 27 Jun 2019) https://www.fitchratings.com/site/re/10080349 Additional Disclosures Dodd-Frank Rating Information Disclosure Form https://www.fitchratings.com/site/dodd-frank-disclosure/10098726 Solicitation Status https://www.fitchratings.com/site/pr/10098726#solicitation Endorsement Policy https://www.fitchratings.com/regulatory ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. 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