OREANDA-NEWS. Fitch Ratings has assigned ratings to National RMBS Trust 2015-2's mortgage-backed floating-rate notes. The issuance consists of notes backed by Australian residential mortgages originated by National Australia Bank (NAB, AA-/Stable). The transaction is an internal securitisation. The ratings are as follows:

AUD920m Class A notes: 'AAAsf'; Outlook Stable

AUD80m Class B notes: 'NRsf'.

The notes are issued by Perpetual Trustee Company Limited in its capacity as trustee of National RMBS Trust 2015-2.

At the cut-off date, the total collateral pool consisted of 2,690 loans with an average current loan size of AUD371,744. Investment loans represented 27.9% of the pool; Fitch treats loans with multiple properties as investment loans leading to a difference from the investment loan balance reported by the issuer of 26.6%. The weighted-average loan-to-value ratio is 73.8% and the portfolio parameters permit 22% of the portfolio balance to have loan-to-value ratio of more than 90%.

KEY RATING DRIVERS

Sufficient Credit Support: The class A notes have credit enhancement of 8%, provided by the subordinate class B notes. The notes' ratings are dependent on credit to lenders' mortgage insurance provided by Genworth Financial Mortgage Insurance Pty Limited (Insurer Financial Strength Rating: A+/Stable) and QBE Lenders' Mortgage Insurance Limited (Insurer Financial Strength Rating: AA-/Stable).

Portfolio Parameters Included: The transaction allows for the addition of new receivables during the 10-year revolving period in accordance with the eligibility criteria and portfolio parameters. Structural features and performance-based triggers have been included to restrict the ability to add new receivables in certain circumstances.

Step-Down Triggers: Principal is allocated sequentially until the step-down triggers are met, increasing the percentage of credit support to a minimum of 18% for the class A notes and mitigating potential tail risk.

Adequate Liquidity Support: Liquidity support will be provided via excess spread, principal draws and a liquidity facility sized at 1.1% of the invested amount of the notes.

RATING SENSITIVITIES

Unexpected decreases in residential property value, increases in the frequency of foreclosures and loss severity on defaulted mortgages could produce loss levels higher than Fitch's base-case, which could result in negative rating actions on the notes. The notes' ratings are dependent on lenders mortgage insurance.

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) that are disclosed in the offering document and which relate to the underlying asset pool was not prepared for this transaction because it does not involve the use of offering documents. For further information, please see Fitch's Special Report titled "Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions," dated 31 May 2016.

DATA ADEQUACY

Fitch conducted a file review of 10 sample loan files focusing on the underwriting procedures conducted by NAB 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.