OREANDA-NEWS. Fitch Ratings has assigned expected ratings to Series 2010-2 SWAN Trust's Class A3-R mortgage-backed floating-rate notes. The ratings are as follows:

AUD190m Class A3-R notes: 'AAAsf(EXP)'; Outlook Stable.

The Class A3-R notes are being issued to refinance the soft bullet Class A3 notes on the refinance date of 25 November 2015. The Class A3 notes (AUD210m) will be repaid from the monies held in the Guaranteed Investment Contract account (which totalled AUD20.4m at the payment date in October 2015), and the proposed issuance of Class A3-R notes.

The Class A3 notes were originally issued in November 2010 as part of an AUD1bn RMBS issue by Bank of Western Australia Limited (Bankwest), a division of Commonwealth Bank of Australia (CBA, AA-/Stable). The refinance of the Class A3 notes was contemplated in the original issuance and is detailed in Fitch's new issue report, dated 29 November 2010.

The transaction continues to perform in line with Fitch's expectations at origination. The transaction has paid down since issuance from AUD1bn to approximately AUD237m.

Ratings for the remaining rated notes are unchanged, and were affirmed on 2 July 2015 as follows (balances as at October 2015):

AUD17.8m Class AB notes affirmed at 'AAAsf'; Outlook Stable; and
AUD9.1m Class AC notes affirmed at 'AAAsf'; Outlook Stable.

The Class A3-R notes will be issued by Perpetual Trustee Company Limited in its capacity as trustee of Series 2010-2 SWAN Trust.

KEY RATING DRIVERS
The 'AAAsf(EXP)' expected rating assigned to the Class A3-R notes is supported by the credit enhancement provided by the subordinate Class AB, AC, and B notes; the lender's mortgage insurance (LMI) policies, the liquidity facility, which is equivalent to 1.6% of the outstanding note balance; and the mortgage underwriting and servicing capabilities of Bankwest and Commonwealth Bank of Australia.

EXPECTED 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 in turn result in a negative rating action on the notes.

Fitch's initial rating drivers and rating sensitivities analysis are discussed in the new issue report entitled, "Series 2010-2 SWAN Trust", available at www.fitchratings.com.

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 Bankwest compared to Bankwest'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.