Fitch Assigns Final Ratings to PUMA Series 2015-1
AUD1,840m Class A notes: 'AAAsf'; Outlook Stable;
AUD120m Class B1 notes: 'AAsf'; Outlook Stable; and
AUD40m Class B2 notes: 'NRsf'.
The notes were issued by Perpetual Limited in its capacity as trustee of PUMA Series 2015-1.
At the cut-off date, the collateral pool consisted entirely of full-documentation mortgages. The pool has 100% lenders' mortgage insurance (LMI) cover. The weighted-average (WA) seasoning of the portfolio is 18 months, with a WA indexed LVR of 64.8% and WA unindexed loan/value ratio (LVR) of 65.9%. Loans with an LVR greater than 80% account for 16.9% of the pool, and 23.7% have a current loan balance greater than AUD500,000. The average current loan size is AUD310,034; investment loans represent 28.0% of the pool by balance, and staff loans represent 2.0%.
KEY RATING DRIVERS
Principal is paid sequentially throughout the life of the transaction, and does not switch to a pro rata paydown at any stage. Interest is paid sequentially (after expenses) towards the Class A and B1 notes; the Class B2 notes' interest is subordinate to other payments.
The Class A and B1 notes may be redeemed in full on any payment date on or after the scheduled maturity date of February 2020. The redemption of the notes will be funded through the issuance of refinancing notes to be known as Class A-R and/or B1-R. The Class B1 notes cannot be refinanced ahead of the Class A notes.
Liquidity support will be provided via excess spread, principal draws and a liquidity reserve sized at 1.3% of the mortgage balance, with a facility floor of AUD2.6m. The liquidity reserve will amortise, subject to the floor.
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 around 71,000 residential mortgages. Total RMBS issuance to date is about AUD49bn.
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 2015-1 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 medium (15% increase) and severe default (30% increase) scenarios. The Class A notes' ratings also remained stable under the medium (15% decrease) and severe (30% decrease) recovery rate scenarios. However the Class B1 notes' ratings were impacted under the severe (30% decrease) recovery rate scenario.
The Class A and B1 notes' ratings are not impacted by the rating sensitivity scenarios tested under a combination of both increased defaults and decreased recovery rates at 15% each. However, both were impacted by the combination scenario of 30% increased defaults and 30% decrease in recovery rates, with the rating at 'AAsf' for the Class A notes and 'BBBsf' for the Class B1 notes under this scenario.
Key Rating Drivers and Rating Sensitivities are further discussed in the corresponding new issue report entitled "PUMA Series 2015-1", published today. Included as an appendix to the report are a description of the representations, warranties, and enforcement mechanisms.