OREANDA-NEWS. Fitch Ratings has assigned final ratings to PUMA Series 2015-5P'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;
AUD39.77m Class B1 notes: 'AAAsf'; Outlook Stable; and
AUD28.4m Class B2 notes: 'NRsf'.

The notes were issued by Perpetual Limited in its capacity as trustee of PUMA Series 2015-5P.

At the cut-off date, the pool has 100% lenders' mortgage insurance (LMI) cover. The weighted-average (WA) seasoning of the portfolio is 18.5 months, with a WA current unindexed loan to value ratio (CLVR) of 67.0% and an indexed WACLVR of 65.1%. Loans with an LVR greater than 80% account for 19.2% of the pool with 33.0% having a current loan balance greater than AUD500,000. The average current loan size is AUD359,052; investment loans represent 24.4% of the pool by balance, and staff loans represent 3.9%.

KEY RATING DRIVERS
Revolving Period: The transaction has an initial 12 month revolving period that may be extended by additional 12 month periods. The transaction includes rating and performance triggers to mitigate against potential portfolio deterioration. If an amortisation trigger is breached the revolving period will cease and the transaction will pay down.

Pro-rata Paydown: Principal will be allocated pro rata towards the Class A and B2 notes if certain conditions are met, otherwise sequentially. No principal allocation will be made to the Class B1 notes until Class A notes are repaid in full. The Class A2 notes cannot amortise below AUD4.5m until the Class A and B1 notes have paid in full.

Adequate Liquidity Support: Liquidity support will be provided via excess spread, principal draws and a liquidity reserve sized at 1.3% of the mortgage balance which will amortise to a reserve floor of 0.13% of the initial invested amount of the notes.

Experienced Originator: MBL and its wholly owned servicing entity, MSL, have been involved in the origination, servicing and management of housing loans since 1990. MSL services about 76,000 residential mortgages. Total RMBS issuance to date is about AUD52bn.

RATING SENSITIVITIES
The transaction structure supports an LMI Independent rating for the Class A notes; therefore LMI is not required to support the AAAsf rating. The Class B1 notes are dependent on LMI to support the AAAsf rating.

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 2015-5P 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 moderate (15% increase) and severe default (30% increase) scenarios. The Class A and B1 notes' ratings also remained stable under the moderate (15% decrease) and severe (30% decrease) recovery rate scenarios.

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. However, the Class B1 notes' ratings were impacted under a combination of the severe (30% increase) default and severe (30% decrease) recovery rate scenario, with the rating at 'AA+sf'.

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 MBL compared to MBL'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.