Fitch Assigns Final Ratings to PUMA Series 2014-1

(The following statement was released by the rating agency)

Link to Fitch Ratings' Report: PUMA Series 2014-1 New Issue

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=736815

SYDNEY, February 19 (Fitch) Fitch Ratings has assigned final ratings and 
outlooks to PUMA Series 2014-1. The transaction is a securitisation of 
first-ranking Australian residential, full-documentation mortgage loans 
originated by Macquarie Bank Limited (MBL, A/Stable/F1), and due May 2045. The 
ratings are as follows:

AUD1,288m Class A notes: 'AAAsf'; Outlook Stable;

AUD84m Class B1 notes: Not Rated; and

AUD28m Class B2 notes: Not Rated.

The notes have been issued by Perpetual Limited, in its capacity as trustee of 
the Puma Series 2014-1. The transaction is a legally distinct trust established 
pursuant to a master trust deed.

At the cut-off date, the total collateral pool consisted of 4,709 loans 
totalling approximately AUD1,381.2m. The weighted-average (WA) seasoning of the 
portfolio is 21.2 months, with a WA current loan to value ratio (LVR) of 65.8%, 
and an indexed LVR of 65.3%. Each loan in the portfolio is comprised of 
full-documentation mortgages. Investment loans represent 23.5% of the pool by 
balance, while owner occupier mortgages make up the remainder. Fixed-rate and 
interest-only mortgages respectively account for 20.1% and 24.3% of the pool. 
All loans in the pool are covered by lenders' mortgage insurance (LMI), with 
96.9% covered by Genworth Financial Mortgage Insurance Pty Limited and the 
remainder by QBE Lenders' Mortgage Insurance Limited (Insurer Financial Strength 
Rating: AA-/Stable). The pool has geographic diversification, with the largest 
state concentration being New South Wales (34.9%). Fitch has incorporated all 
the above factors in its credit analysis of the transaction.

KEY RATING DRIVERS

Experienced Originator: MBL and its wholly owned servicing entity Macquarie 
Securitisation Limited (MSL) have been involved in the origination, servicing 
and management of housing loans since 1990. MSL services about 60,000 
residential mortgages. Total RMBS issuance to date is about AUD44.4bn.

Wholly Full-Documentation Loans: The weighted-average (WA) seasoning of the 
portfolio is 21.2 months, with a WA current loan to value ratio (LVR) of 65.8% 
and an indexed LVR of 65.3%. Each loan in the portfolio is comprised of 
full-documentation mortgages, while investment loans represent 23.5% of the pool 
by balance. 

Sequential Structure: Principal is paid sequentially throughout the deal and 
does not switch to pro-rata paydown at any stage. Interest is paid sequentially 
(after expenses) towards the Class A and B1 notes, with B2 note interest 
subordinated below other payments. 

Optional Redemption: Class A notes and/or Class B1 notes may be redeemed in full 
on any payment date after scheduled maturity in February 2019. The redemption 
will be funded through issuance of refinancing notes, to be known as Class A1-R 
and/or Class B1-R notes. Class B1 notes cannot be refinanced ahead of Class A 
notes. 

Typical Support Features: The final ratings are based on the pool, which has: 
100% lenders' mortgage insurance (LMI) cover; a liquidity reserve equivalent to 
1.3% of the aggregate invested balance of the notes; hedging arrangements the 
trustee has entered into; and MBL and MSL's mortgage underwriting and servicing 
capabilities.

RATING SENSITIVITY

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 potentially negative 
rating actions on the notes. Fitch evaluated the sensitivity of the ratings 
assigned to PUMA Series 2014-1 to increased defaults and decreased recovery 
rates over the life of the transaction. Its analysis found that collectively the 
Class A notes' ratings remained stable under Fitch's medium (15% increase) and 
severe default (30% increase) scenarios. The rating also remained stable under 
the medium recovery rate scenario (15% decrease), however was impacted by the 
severe (30% decrease) recovery rate scenario, with rating deterioration at AAsf.

The Class A notes' ratings are also not impacted by the rating sensitivity 
scenarios tested under a combination of both increased defaults and decreased 
recovery rates at 15% each. However the rating was impacted by the combination 
scenario of 30% increased defaults and 30% decrease in recovery rates, with the 
rating at AAsf under this scenario. 

Fitch's key rating drivers and rating sensitivities are discussed in the 
corresponding new issue report entitled "PUMA Series 2014-1", published today. 
Included as an appendix to the report are a description of the representations, 
warranties, and enforcement mechanisms

Contacts: 

Primary Analyst

Anthea Clark

Associate Director

+61 2 8256 0379

Fitch Australia Pty Ltd., Level 15, 77 King Street, Sydney NSW 2000

Secondary Analyst

David Carroll

Director

+61 2 8256 0333

Committee Chairperson

Natasha Vojvodic

Senior Director, 

+61 2 8256 0350

The source of information used to assess these ratings was Macquarie Bank 
Limited, Macquarie Securitisation Limited and their legal counsel, Allen and 
Overy. The issuer has informed Fitch that not all relevant information about the 
rated notes is public.

Applicable criteria, "Global Structured Finance Rating Criteria", dated 24 May 
2013; "Counterparty Criteria for Structured Finance and Covered Bonds", dated 13 
May 2013; "Counterparty Criteria for Structured Finance and Covered Bonds: 
Derivative Addendum", dated 13 May 2013; "Criteria for Servicing Continuity Risk 
in Structured Finance" dated 26 July 2013: "APAC Residential Mortgage Criteria", 
dated 1 August 2013; "APAC Residential Mortgage Criteria Addendum - Australia", 
dated 1 August 2013; and "Global Criteria for Lender's Mortgage Insurance in 
RMBS", dated 1 August 2013 are available at www.fitchratings.com.

Media Relations: Iselle Gonzalez, Sydney, Tel: +61 2 8256 0326, Email: 
iselle.gonzalez@fitchratings.com.

Additional information is available at www.fitchratings.com.

Applicable Criteria and Related Research: 

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=708661

Counterparty Criteria for Structured Finance and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=707155

Counterparty Criteria for Structured Finance and Covered Bonds: Derivative 
Addendum

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=707156

Criteria for Servicing Continuity Risk in Structured Finance

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=712935

APAC Residential Mortgage Criteria - Amended

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=709855

APAC Residential Mortgage Criteria Addendum – Australia - Amended

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=710259

Global Criteria for Lenders’ Mortgage Insurance in RMBS

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=709255

Additional Disclosure 

Solicitation Status 

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=820953

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licence no. 337123) which authorises it to provide credit ratings to wholesale 
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