OREANDA-NEWS. Fitch Ratings has assigned final ratings to PUMA Series 2015-2P's residential mortgage-backed floating-rate notes. The issuance consists of notes backed by first-ranking Australian residential, full documentation mortgage loans originated by Macquarie Bank Limited (MBL, A/Stable/F1). The ratings are as follows:

AUD500m Class A notes: 'AAAsf'; Outlook Stable;
AUD18m Class B1 notes: 'AAAsf'; Outlook Stable; and
AUD106.22m Class B2 notes: 'NRsf'.

The notes were issued by Perpetual Limited in its capacity as trustee of PUMA Series 2015-2P.

At the cut-off date, the collateral pool consisted of 78.9% full-documentation mortgages, 15.9% low-documentation mortgages and 5.2% no-documentation mortgages. The pool has 100% lenders' mortgage insurance (LMI) cover. The weighted-average (WA) seasoning of the portfolio is high at 75 months, with a WA indexed LVR of 63.9% and WA unindexed loan/value ratio (LVR) of 70.5%. Loans with an LVR greater than 80% account for 35.4% of the pool, and 28.7% have a current loan balance greater than AUD500,000. The average current loan size is AUD240,447; investment loans represent 43.8% of the pool by balance, staff loans represent 3.9% and SMSF loans represent 4.8%.

KEY RATING DRIVERS
The transaction includes a pass-through Class A note with actual credit enhancement of 19.9% from issuance. Principal is paid on a pro-rata basis (subject to certain conditions) throughout the life of the transaction, and will only switch to a sequential paydown if the Class A subordination is less than 19.9% and also after the 10% call date. Interest is paid sequentially (after expenses) towards the Class A and B1 notes; the Class B2 notes' interest is subordinate to other payments.

Liquidity support will be provided via excess spread, principal draws and a liquidity reserve sized at 1.3% of the mortgage balance, with a facility floor of 0.13% of the then outstanding principal balance of all approved mortgages. The liquidity reserve will amortise, subject to the floor.

MBL and its wholly owned servicing entity Macquarie Securitisation Limited (MSL), have been involved in the origination, servicing and management of housing loans since 1990. MSL services around 71,000 residential mortgages. Total RMBS issuance to date is about AUD49bn.

RATING SENSITIVITIES
The transaction structure supports LMI-independent ratings for the Class A and B1 notes; therefore LMI is not required to support the ratings.

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.

Fitch evaluated the sensitivity of the ratings assigned to PUMA Series 2015-2P to increased defaults and decreased recovery rates over the life of the transaction. Its analysis found that the Class A and B1 notes' ratings remained stable under Fitch's medium (15% increase) and severe default (30% increase) scenarios. The Class A and B1 notes' ratings also remained stable under the medium (15% decrease) recovery rate scenarios. However both notes' ratings are impacted under the severe (30% decrease) recovery rate scenario with the ratings decreasing to 'AAsf' in both instances.

The Class A notes' ratings are not impacted by the rating sensitivity scenarios tested under a combination of both increased defaults and decreased recovery rates in a medium scenario, the Class B1 notes' ratings are negatively impacted to 'AAsf'. Both notes' were impacted by the combination scenario of 30% increased defaults and 30% decrease in recovery rates, with the rating at 'AAsf' for the Class A notes and 'Asf' for the Class B1 notes under this scenario.

An appendix with a description of the representations, warranties, and enforcement mechanisms was published today entitled "PUMA Series 2015-2P".