(The following statement was released by the rating agency) Fitch Ratings-Sydney-February 12: Fitch Ratings has assigned final ratings to PUMA Series 2014-1's residential mortgage-backed floating-rate notes. The ratings are as follows: AUD248.98 million Class A-R notes: 'AAAsf'; Outlook Stable AUD84.00 million Class B1-R notes: 'NRsf' The full outstanding balance of the class A and B1 notes will be repaid with funds raised via the issuance of the class A-R and B1-R notes. A total of AUD1,372 million class A and B1 notes were issued in February 2014 as part of the PUMA Series 2014-1 AUD1,400 million RMBS issue by Macquarie Bank Limited (MBL, A/Stable/F1). The notes will be issued by Perpetual Limited in its capacity as trustee of PUMA Series 2014-1. KEY RATING DRIVERS Operational Risk: MBL is a registered authorised deposit-taking institution headquartered in Sydney. Fitch undertook an onsite operational review and found that the operations of the originator and servicer were comparable with market standards and that there were no material changes that may affect MBL's ability to undertake administration and collection activities. MBL's collection timelines, policies and procedures are in line with other conforming lenders in Australia, as evident from the historical performance of MBL conforming transactions. Asset Analysis: The 'AAAsf' weighted-average (WA) foreclosure frequency of 8.1% is driven by the WA unindexed loan/value ratio (LVR) of 57.4%, interest-only loans of 1.9% and investment loans of 24.0%. The 'AAAsf' WA recovery rate of 85.2% is driven by a WA indexed scheduled LVR of 55.4% and 'AAAsf' WA market value decline of 61.2%. Liability Analysis: The class A-R notes benefit from credit enhancement of 31.0%. Structural features include a liquidity reserve sized at 1.3% of the current asset balance and a sequential payment structure for the life of the transaction. The class A-R 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. Fitch forecasts steady GDP growth of 2.7% and one 25bp cash rate increase in 2019. FINAL 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 the recovery rate stress to the pre-LMI recovery rate to isolate the effect of a change in recovery proceeds at the borrower level. Rating sensitivity to increased defaults: Notes: A-R Rating: AAAsf Increase in defaults by 15%: AAAsf Increase in defaults by 30%: AAAsf Rating sensitivities to decreased recoveries: Notes: A-R Rating: AAAsf Reduce recoveries by 15%: AAAsf Reduce recoveries by 30%: AAAsf Rating sensitivity to multiple factors: Notes: A-R Rating: AAAsf Increase defaults by 15%, reduce recoveries by 15%: AAAsf Increase defaults by 30%, reduce recoveries by 30%: AAAsf The structure supports ratings on the class A-R notes that are independent of the ratings on the lenders' mortgage insurance (LMI) provider. LMI is not required to support the rating due to the level of credit support provided by the lower notes. 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 transaction's representations, warranties and enforcement mechanisms (RW&Es) is available by accessing the appendix referenced under "Related Research" below. The appendix also contains a comparison of these RW&Es with 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," dated 26 March 2015. DATA ADEQUACY Prior to the transaction closing, Fitch reviewed the results of a third-party assessment conducted on the asset portfolio information and concluded that there were no findings that affected the rating analysis.
Fitch reviewed a small targeted sample of MBL'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: Pricing term sheet provided by MBL as of 7 February 2019. Transaction reporting data provided by MBL as of the December 2018 payment date. The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is public. Contacts: Primary Analyst Tim Groombridge Associate Director +612 8256 0339 Fitch Australia Pty Ltd Level 15, 77 King St, Sydney NSW 2000 Secondary Analyst Brad Isaac Analyst +612 8256 0306 Committee Chairperson Natasha Vojvodic Senior Director +612 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. 11 Jan 2019) https://www.fitchratings.com/site/re/10057538 Fitch's Interest Rate Stress Assumptions for Structured Finance and Covered Bonds - Excel File (pub. 02 Feb 2018) https://www.fitchratings.com/site/re/10018863 Global Structured Finance Rating Criteria (pub. 15 May 2018) https://www.fitchratings.com/site/re/10029600 RMBS Lenders' Mortgage Insurance Rating Criteria (pub. 03 Apr 2018) https://www.fitchratings.com/site/re/10025397 Structured Finance and Covered Bonds Counterparty Rating Criteria (pub. 01 Aug 2018) https://www.fitchratings.com/site/re/10039504 Structured Finance and Covered Bonds Counterparty Rating Criteria: Derivative Addendum (pub. 01 Aug 2018) https://www.fitchratings.com/site/re/10039505 Structured Finance and Covered Bonds Interest Rate Stresses Rating Criteria (pub. 02 Feb 2018) https://www.fitchratings.com/site/re/10018549 Related Research PUMA Series 2014-1 Appendix https://www.fitchratings.com/site/re/733097 Additional Disclosures Dodd-Frank Rating Information Disclosure Form https://www.fitchratings.com/site/dodd-frank-disclosure/10061890 Solicitation Status https://www.fitchratings.com/site/pr/10061890#solicitation Endorsement Policy https://www.fitchratings.com/regulatory ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. 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