OREANDA-NEWS. Fitch Ratings has assigned final ratings to SMART ABS Series 2015-4E Trust's automotive and equipment-backed floating-rate notes. The issuance consists of notes backed by automotive and equipment leases and loans originated by Macquarie Leasing Pty Limited. The ratings are as follows:

AUD600.0m Class A-A notes: 'AAAsf'; Outlook Stable;
EUR125.0m Class A-E notes: 'AAAsf'; Outlook Stable;
AUD22.87m Class B notes: 'AAsf'; Outlook Stable; and
AUD105.255m Seller notes: 'NRsf'.

The notes were issued by Perpetual Trustee Company Limited in its capacity as trustee of SMART ABS Series 2015-4E Trust.

The collateral backing the SMART ABS Series 2015-4E Trust transaction is of similar credit quality to prior pools securitised under the SMART programme. The pool comprises lease and loan receivables, backed by motor vehicles and equipment with weighted-average (WA) seasoning of 8.5 months and an average receivable size of AUD29,874. Novated contracts make up 40.8% of the pool and contribute to the low arrears on prior SMART transactions.

KEY RATING DRIVERS
Consumer/Equipment Included: This is the fifth SMART transaction to include both consumer and equipment receivables. Macquarie Leasing has originated consumer loans and leases directly to individual retail consumers since 2008. Historical gross losses by quarterly vintage for novated leases (cars) range from 0.3% to 1.5%; non-novated leases (cars) from 1.0% to 3.2%; trucks 0.5% to 5.0%; equipment 0.2% to 5.0%; and consumer 0.8% to 5.0%.

Sufficient Enhancement: The transaction incorporates a sequential pay/pro rata pay structure, consistent with prior transactions. Initial hard credit enhancement (CE) to the 'AAAsf' notes totals 14.0%. Pro rata paydown will commence when hard CE reaches 19.9%. Overall, CE is sufficient to cover Fitch's 'AAAsf' stressed cumulative net loss (CNL) assumption in all its scenarios.

Adequate Liquidity: Liquidity support is provided by the liquidity reserve, and will ensure stable cash flows for the required payments. The reserve will initially be funded at AUD9.2m on the closing date (funded by issuance proceeds) and subsequently the greater of: 1) 1.0% of the aggregate invested amount of the notes for that payment date; and 2) AUD300,000.

Balloon Loans in Portfolio: The pool comprises amortising principal and interest lease and loan receivables, with varying balloon amounts payable at maturity. The WA balloon by original balance is 16.7%.

RATING SENSITIVITIES
Unexpected increases in the frequency of foreclosures, and the loss severity on defaulted loans could produce loss levels higher than Fitch's base case, which could result in negative rating actions on the notes. Fitch has evaluated the sensitivity of the ratings assigned to SMART ABS Series 2015-4E Trust to increased gross default levels, and decreased recovery rates over the life of the transaction.

Its analysis found that the Class A notes were susceptible to downgrades under Fitch's moderate (25% increase) and severe default (50% increase) scenarios, with the ratings at 'AA+sf' and 'AAsf', respectively. The Class B notes are susceptible to a downgrade to 'AA-sf' in a severe default scenario. The notes' ratings are not susceptible to downgrades under Fitch's mild (10% increase) scenario.

Recovery scenarios, whereby recovery rate assumptions are decreased under mild (10% decrease), moderate (25% decrease) and severe (50% decrease) scenarios, showed that each note was not susceptible to downgrades.

The analysis also showed that under a combination of moderate and severe default and recovery scenarios, the Class A notes would be downgraded to 'AAsf' and 'A+sf', respectively. The Class B note would be downgraded under the severe combination scenario only, with the rating at 'Asf'.

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 15 sample loan files focusing on the underwriting procedures conducted by Macquarie Leasing Pty Limited 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.

Key Rating Drivers and Rating Sensitivities are further discussed in the corresponding new issue report entitled, "SMART ABS Series 2015-4E Trust", published today. Included as an appendix to the report are a description of the representations, warranties, and enforcement mechanisms.