07.07.2015, 09:19
Fitch Affirms PUMA Sub-Fund B-1; Outlook Stable
OREANDA-NEWS. Fitch Ratings has affirmed the ratings of PUMA Sub-Fund B-1 (the note balance is as of 30 June 2015). The transaction is a securitisation backed by a pool of Australian residential mortgages originated by Macquarie Bank Limited's (MBL, A/Stable/F1). The rating actions are as follows:
AUD8,865.1m Class A (ISIN AU3FN0005427) notes affirmed at 'AAAsf'; Outlook Stable; and
AUD584.3m Class AB (ISIN AU3FN0021721) notes affirmed at 'AAAsf'; Outlook Stable
KEY RATING DRIVERS
The affirmation reflects Fitch's view that the available credit enhancement is sufficient to support the notes' current rating, and the agency's expectations of Australia's economic conditions. Credit quality and performance of the underlying loans have remained within the agency's expectations.
At 31 May 2015, 30+ days arrears stood at 1.43%, above Fitch's 1Q15 Dinkum RMBS Index of 1.17%. The pool was covered by lenders' mortgage insurance (LMI) provided by Genworth Financial Mortgage Insurance Pty Limited (Insurer Financial Strength Rating: A+/Stable) (84.23%), QBE Lenders' Mortgage Insurance Ltd (Insurer Financial Strength Rating: AA-/Stable) (3.29%), and Housing Loans Insurance Corporation (0.07%).
PUMA Sub-Fund B-1 has a 10-year revolving period of which three years remain. Fitch is comfortable with the long revolving period as the portfolio stratifications have not changed significantly since the initial issue, Macquarie Bank's product mix has not materially changed over this time, and the portfolio is performing as expected.
RATING SENSITIVITIES
The Class A notes are LMI independent. The Class AB notes are LMI dependent and cannot withstand a downgrade of the rated LMI providers.
Fitch's 'AAAsf' breakeven stressed default rate is 17.23%. The Class A notes can withstand an additional 18.41% in defaults at Fitch's 'AAAsf' loss severity of 33.67%. The Class AB notes can withstand an additional 1.19% in defaults.
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 Limited compared to Macquarie Bank Limited's 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 given under Related Research below.
AUD8,865.1m Class A (ISIN AU3FN0005427) notes affirmed at 'AAAsf'; Outlook Stable; and
AUD584.3m Class AB (ISIN AU3FN0021721) notes affirmed at 'AAAsf'; Outlook Stable
KEY RATING DRIVERS
The affirmation reflects Fitch's view that the available credit enhancement is sufficient to support the notes' current rating, and the agency's expectations of Australia's economic conditions. Credit quality and performance of the underlying loans have remained within the agency's expectations.
At 31 May 2015, 30+ days arrears stood at 1.43%, above Fitch's 1Q15 Dinkum RMBS Index of 1.17%. The pool was covered by lenders' mortgage insurance (LMI) provided by Genworth Financial Mortgage Insurance Pty Limited (Insurer Financial Strength Rating: A+/Stable) (84.23%), QBE Lenders' Mortgage Insurance Ltd (Insurer Financial Strength Rating: AA-/Stable) (3.29%), and Housing Loans Insurance Corporation (0.07%).
PUMA Sub-Fund B-1 has a 10-year revolving period of which three years remain. Fitch is comfortable with the long revolving period as the portfolio stratifications have not changed significantly since the initial issue, Macquarie Bank's product mix has not materially changed over this time, and the portfolio is performing as expected.
RATING SENSITIVITIES
The Class A notes are LMI independent. The Class AB notes are LMI dependent and cannot withstand a downgrade of the rated LMI providers.
Fitch's 'AAAsf' breakeven stressed default rate is 17.23%. The Class A notes can withstand an additional 18.41% in defaults at Fitch's 'AAAsf' loss severity of 33.67%. The Class AB notes can withstand an additional 1.19% in defaults.
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 Limited compared to Macquarie Bank Limited's 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 given under Related Research below.
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