Fitch Assigns Final Ratings to SMART ABS Series 2015-3US Trust

(The following statement was released by the rating agency)Link to Fitch Ratings' Report: SMART ABS Series 2015-3US Trusthttps://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=872966SYDNEY, October 29 (Fitch) Fitch Ratings has assigned final ratings to SMART ABS Series 2015-3US Trust's automotive and equipment-backed floating-rate notes. The issuance consists of notes backed by automotive and equipment leases and loans originated by Macquarie Leasing Pty Limited. The ratings are as follows:USD126.0m Class A-1 notes: 'F1+sf';USD124.0m Class A-2b notes: 'AAAsf'; Stable;USD95.0m Class A-3a notes: 'AAAsf'; Stable;USD25.0m Class A-3b notes: 'AAAsf'; Stable;AUD181.0m Class A-4 notes: 'AAAsf'; Stable;AUD15.97m Class B notes: 'AAsf'; Stable; andAUD87.84m Seller notes: 'NRsf'.The notes are issued by Perpetual Trustee Company Limited in its capacity as trustee of SMART ABS Series 2015-3US Trust. The collateral backing the SMART ABS Series 2015-3US Trust transaction is of similar credit quality to prior pools securitised under the SMART programme. The pool comprises lease and loan receivables, backed by motor vehicles with weighted-average (WA) seasoning of 8.7 months and an average receivable size of AUD30,180. Novated contracts make up 54.3% of the pool and contribute to the low arrears on prior SMART transactions.KEY RATING DRIVERS High-Quality Receivables: Historical gross losses by quarterly vintage for novated leases (car) range from 0.3% to 1.5%; non-novated leases (cars) from 1.0% to 3.2%; trucks 0.5%-5.0%; and consumer 0.8%-5.0%. Macquarie Leasing has originated consumer loans directly to individual retail consumers since 2008. Historical gross loss information for the consumer products is limited. Delinquencies more than 30 days have traditionally tracked below 0.9% for the Macquarie Leasing book. Sufficient Enhancement: The SMART ABS Series 2015-3US Trust transaction incorporates a sequential pay/pro rata pay structure, consistent with prior transactions. Initial hard credit enhancement (CE) to the 'AAAsf' notes totals 13.0%. Pro rata paydown will commence when hard CE reaches 18.9%. Overall, CE is sufficient to cover Fitch's 'AAAsf' stressed cumulative net loss (CNL) assumption in all of its scenarios.Adequate Liquidity: Liquidity support is provided by the liquidity reserve and will ensure stable cash flows for the required payments. The reserve will initially be funded at AUD8.0m on the closing date (funded by Macquarie Bank) and subsequently the greater of: 1) 1.0% of the aggregate invested amount of the notes for that payment date; and 2) AUD300,000.Balloon Loans in Portfolio: The pool comprises amortising principal, and interest lease and loan receivables, with varying balloon amounts payable at maturity. The WA balloon by original balance is 21.5%.RATING SENSITIVITIES Unexpected increases in the frequency of foreclosures, and the loss severity on defaulted loans could produce loss levels higher than Fitch's base case, which could in turn result in negative rating actions on the notes. Fitch has evaluated the sensitivity of the expected ratings assigned to SMART ABS Series 2015-3US Trust to increased gross default levels, and decreased recovery rates over the life of the transaction.Its analysis found that the Class A-1, A-2, A-3 and B notes were not susceptible to downgrades under Fitch's mild (10% increase), moderate (25% increase) and severe default (50% increase) scenarios. The Class A-4 notes are susceptible to a downgrade to 'AAsf' in a severe default scenario. Recovery scenarios, whereby recovery rate assumptions are decreased under mild (10% decrease), moderate (25% decrease) and severe (50% decrease) scenarios, showed that all notes were not susceptible to downgrades.The analysis also showed that under a combination of severe default and recovery scenarios, the Class A-4 and Class B notes would be downgraded to 'AAsf' and 'Asf', respectively. All other notes remain unchanged.DUE DILIGENCE USAGEFitch was provided with third party due diligence information from PricewaterhouseCoopers, Australia. The third-party due diligence focused on comparing or recomputing certain information with respect to 124 lease receivables from the pool data file. Fitch considered this information in its analysis, and the findings did not have an impact on our analysis. A copy of the ABS Due Diligence Form-15E received by Fitch in connection with this transaction may be obtained through the link contained below the related rating action commentary.DATA ADEQUACYFitch conducted a file review of 10 sample loan files focusing on the underwriting procedures conducted by Macquarie Leasing Pty 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.Fitch reviewed the results of the agreed-upon procedures (AUP) conducted on the portfolio. The AUP report indicated minor discrepancies related to the portfolio information. These findings were immaterial to this analysis.Key Rating Drivers and Rating Sensitivities are further discussed in the corresponding new issue report entitled, "SMART ABS Series 2015-3US Trust", published today. Included as an appendix to the report are a description of the representations, warranties, and enforcement mechanisms.Contacts: Primary Analyst James LeungDirectorPhone +612 8256 0322Fitch Australia Pty Ltd.Level 15, 77 King St, Sydney, NSW 2000Secondary Analyst Brenden Asplin AnalystPhone +612 8256 0340Committee Chairperson Ben McCarthyManaging DirectorPhone +612 8256 0388Media Relations: Leni Vu, Sydney, Tel: +61 2 8256 0304, Email: leni.vu@fitchratings.com.Additional information is available at www.fitchratings.com.The source of information identified for this rating action was Macquarie Bank Limited, as arranger and the issuer's counsel Allen Overy. The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is public.Applicable Criteria APAC Consumer ABS Rating Criteria (pub. 24 Jul 2014)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=752957Counterparty 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 Structured Finance Rating Criteria (pub. 06 Jul 2015)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952Additional Disclosures Dodd-Frank Rating Information Disclosure Form https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr _id=993152ABS Due Diligence Form 15E 1https://www.fitchratings.com/creditdesk/press_releases/content/ridf15E_frame.cfm ?pr_id=993152&flm_nm=15e_993152_1.pdfSolicitation Status https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=993152Endorsement 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.