OREANDA-NEWS. Fitch Ratings has affirmed 22 and upgraded three classes of notes from thirteen transactions from the PUMA Series of Australian residential mortgage-backed securities (RMBS). The transactions are backed by pools of Australian conforming residential mortgages originated by managers and brokers under the PUMA securitisation programme. The rating actions are listed at the end of this commentary.

KEY RATING DRIVERS
The affirmations reflect Fitch's view that available credit enhancement supports the notes' current ratings, the agency's expectations of Australia's economic conditions and that the credit quality and performance of the loans in the collateral pools have remained within the agency's expectations. The upgrades of the class B1 notes of PUMA S-13, PUMA 2015-1 and PUMA 2015-3 reflect the build-up of credit enhancement sufficient to achieve higher ratings.

As per the APAC Residential Mortgage criteria, the default model was not run for PUMA P-15, PUMA P-17, PUMA 2013-1, PUMA 2014-1 and PUMA 2014-2, as a review of pre-determined performance triggers indicates that the transactions display stable asset performance. The default model was run for the remaining eight transactions.

The underlying pools of PUMA P-15, PUMA P-16, PUMA P-17, PUMA S-13, PUMA 2013-1, PUMA 2014-1, PUMA 2014-2, PUMA 2015-1 and PUMA 2015-3 consist of 100% full documentation mortgages. The underlying pool of PUMA S-6 consists of around 95% of loans to self-certified or stated income borrowers, while the proportion in PUMA S-9 and PUMA S-10 is around half of the pools. The proportion of self-certified or stated income borrowers for PUMA 2015-2P is around 20%.

Of the pools backed by full-documentation loans, 30+ day arrears were highest in PUMA P-17 (1.77% as at 29 February 2016), above Fitch's 4Q15 Dinkum Index of 0.95%. The transactions that include self-certified/stated income loans had 30+ day arrears levels ranging from 0.7% (PUMA 2015-2P) to 7.41% (PUMA S-9), compared to Fitch's low-doc RMBS Index of 7.29%.

All loans in the underlying portfolios have lenders' mortgage insurance (LMI) in place, provided mainly by QBE Lenders Mortgage Insurance Ltd (Insurer Financial Strength Rating: AA-/Stable) and Genworth Financial Mortgage Insurance Pty Ltd (Insurer Financial Strength Rating: A+/Stable). Losses have remained within expectations, with all losses submitted to LMI. At end-February 2016, PUMA S-9 had the greatest dollar amount of submitted claims, totalling AUD0.81m, with 98% of claims paid by LMI. All claim reductions to date have been paid by excess spread.

Principal is allocated on a semi pro-rata basis in PUMA S-10 and PUMA S-13 according to the outstanding balances of the class A, AB and B notes. As long as the class B1 notes are outstanding, they will receive the class B2 notes' share of principal collections. After the class B1 note is paid in full, the class AB notes will receive class B2's share of principal collections. The principal repayment method would switch to sequential either when the collateral balance reaches 10% of the original balance or the trust has sustained a loss that cannot be mitigated in a timely manner. This principal allocation mechanism has resulted in increasing credit enhancement to the class B1 notes of each transaction and is likely to see the respective notes' principal fully repaid prior to full repayment of the senior notes.

RATING SENSITIVITIES
Credit enhancement levels for the class A notes across the transactions can support many multiples of the arrears levels reported in the latest investor reports. The ratings are not expected to be affected by modest changes in performance.

All the class A notes of the transactions for which the default model was run can withstand a significant increase in foreclosure at their 'AAAsf' modelled loss severity, ranging from 85.44% of foreclosure (PUMA S-6) to 22.05% (PUMA 2015-3). The class AB notes of the PUMA P-16, S-9, S-10 and S-13 can withstand 19.82%, 28.44%, 0.79% and 8.55% of additional levels of 90+ days arrears at the current modelled loss severity in a 'AAAsf' scenario, respectively. The class B1 notes of the PUMA S-10 and 2015-2P can withstand 5.31% and 41.75% of additional foreclosures at their respective loss severities. The class B note of PUMA P-16 can withstand 10.97% of additional foreclosures at 'AAsf' rating level.

At their respective modelled loss severity, the upgraded notes can withstand additional foreclosures at their proposed rating levels ranging from 0.88% (PUMA 2015-3) to 8.12% (PUMA S-13).

The ratings of most transactions' notes are independent of downgrades to the LMI provider's ratings; the exceptions are the class AB and B1 notes of PUMA S-10, the class AB and B1 of PUMA S-13, the class B of PUMA P-16, the Class B1 of PUMA 2015-1 and the Class B1 of PUMA 2015-3.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
Fitch conducted a file review of 10 sample loan files focusing on the underwriting procedures conducted by Macquarie Bank Ltd 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.

A comparison of the transaction's representations, warranties and enforcement mechanisms (RW&Es) to those of typical RW&Es for this asset class is available by accessing the reports and/or links under Related Research below.

The rating actions are as follows (note balances as of 31 March 2016):

PUMA Masterfund P-15 (PUMA P-15):
AUD33.6m Class A notes affirmed at 'AAAsf'; Outlook Stable.

PUMA Masterfund P-16 (PUMA P-16):
AUD151.4m Class A3 notes affirmed at 'AAAsf'; Outlook Stable;
AUD19.2m Class AB notes affirmed at 'AAAsf'; Outlook Stable;
AUD8m Class B notes affirmed at 'AAsf'; Outlook Stable.

PUMA Masterfund P-17 (PUMA P-17):
AUD98.5m Class A-1 notes affirmed at 'AAAsf'; Outlook Stable;
AUD70m Class A-2 notes affirmed at 'AAAsf'; Outlook Stable;
AUD20m Class AB notes affirmed at 'AAAsf'; Outlook Stable.

PUMA Masterfund S-6 (PUMA S-6):
AUD26.9m Class A notes affirmed at 'AAAsf'; Outlook Stable.

PUMA Masterfund S-9 (PUMA S-9):
AUD100.1m Class A notes affirmed at 'AAAsf'; Outlook Stable;
AUD12.4m Class AB notes affirmed at 'AAAsf'; Outlook Stable.

PUMA Masterfund S-10 (PUMA S-10):
AUD48.4m Class A notes affirmed at 'AAAsf'; Outlook Stable;
AUD9.2m Class AB notes affirmed at 'AAAsf'; Outlook Stable;
AUD0.3m Class B1 notes affirmed at 'AAsf'; Outlook Stable;

PUMA Masterfund S-13 (PUMA S-13) (note balances as of 30 April 2016):
AUD94.3m Class A notes affirmed at 'AAAsf'; Outlook Stable;
AUD17.7m Class AB notes affirmed at 'AAAsf'; Outlook Stable;
AUD1.6m Class B1 notes upgraded to 'AA+sf' from 'AAsf'; Outlook Stable.

PUMA Series 2013-1 (PUMA 2013-1)
AUD532.2m Class A notes affirmed at 'AAAsf'; Outlook Stable.

PUMA Series 2014-1 (PUMA 2014-1)
AUD653m Class A notes affirmed at 'AAAsf'; Outlook Stable.

PUMA Series 2014-2 (PUMA 2014-2)
AUD535.3m Class A notes affirmed at 'AAAsf'; Outlook Stable.

PUMA Series 2015-1 (PUMA 2015-1)
AUD1,353.9m Class A notes affirmed at 'AAAsf'; Outlook Stable;
AUD120m Class B1 notes upgraded to 'AA+sf' from 'AAsf'; Outlook Stable.

PUMA Series 2015-2P (PUMA 2015-2P)
AUD391.6m Class A notes affirmed at 'AAAsf'; Outlook Stable;
AUD14.1m Class B1 notes affirmed at'AAAsf'; Outlook Stable.

PUMA Series 2015-3 (PUMA 2015-3)
AUD1,182.7m Class A notes affirmed at 'AAAsf'; Outlook Stable;
AUD90m Class B1 notes upgraded to 'AA+sf' from 'AAsf'; Outlook Stable.