OREANDA-NEWS. Fitch Ratings has affirmed the ratings for PUMA Sub-Fund B1 Class A and AB notes. The transaction is a securitisation of Australian conforming residential mortgages originated by Macquarie Bank Limited. The rating action is as follows:

AUD 9,616.2m Class A (ISIN AU3FN0005427) notes affirmed at 'AAAsf'; Outlook Stable; and
AUD 633.8m Class AB (ISIN AU3FN0021721) notes affirmed at 'AAAsf'; Outlook Stable.

KEY RATING DRIVERS
The affirmations reflect Fitch's view that the available credit enhancement is sufficient to support the notes' current ratings, and can withstand deterioration from the current economic conditions in Australia in line with the agency's expectations. The credit quality and performance of the loans in the collateral pools have also remained in line with expectations.

As of November 2015, 30+ days arrears were 1.36% compared to Fitch's 3Q15 Dinkum RMBS Prime Index of 0.91%. The November report showed lenders' mortgage insurance (LMI) covered 95.1% of the pool; 90.8% Genworth Financial Mortgage Insurance Pty Limited (Insurer Financial Strength Rating A+/Stable) and 4.20% QBE Lenders Mortgage Insurance Ltd (Insurer Financial Strength Rating AA-/Stable).

The transaction remains within its 10-year substitution period which ends on 8 March 2018, and no amortisation of the notes has occurred to date. Fitch is comfortable with the long revolving period as the portfolio stratifications have not changed significantly since 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 currently independent of downgrades to the LMI provider's ratings. Due to the revolving nature of the transaction, Class A notes may become dependent on the LMI provider's ratings should the transaction's portfolio materially change. The Class AB notes can withstand a one notch downgrade to the LMI providers.

At Fitch's 'AAAsf' breakeven default rate of 16.18%, the Class A notes can withstand an additional 20.4% defaults at Fitch's 'AAAsf' loss severity. The Class AB notes can withstand an additional 2.4% defaults at Fitch's 'AAAsf' loss severity.

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 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.