(Repeat for additional subscribers)
May 21 (The following statement was released by the rating agency)
Fitch Ratings has affirmed 20 classes of notes from ten
transactions from the PUMA Series of Australian residential mortgage-backed
securities (RMBS). Fitch also revised Rating Outlooks on three classes to
Positive from Stable. The transactions are backed by pools of Australian
conforming residential mortgages originated by managers and brokers under the
PUMA securitisation programme. The rating actions are listed at the end of this
KEY RATING DRIVERS
The affirmations reflect Fitch's view that available credit enhancement supports
the notes at their current ratings, the agency's expectations of Australia's
economic conditions, and that the credit quality and performance of the loans in
the collateral pools remain in line with the agency's expectations. The Outlook
Revisions on the junior notes reflect that credit enhancement is expected to
build to levels that could trigger positive rating actions on the notes in
future if performance remains within expectations.
The underlying pools of PUMA P-15, PUMA P-16, PUMA P-17, PUMA S-13, PUMA 2013-1
and PUMA 2014-1 consist of 100% full documentation mortgages. The underlying
pools of PUMA S-6 and PUMA S-7 consist of more than 90% of loans to
self-certified or stated income borrowers, while the proportion in PUMA S-9 and
PUMA S-10 is around 46%.
Of the pools backed by full-documentation loans, 30+ day arrears were highest in
PUMA P-16 (0.8% as at 31 March 2014), below Fitch's 4Q13 Dinkum Index of 1.21%.
The transactions which include low-doc/no-doc loans had 30+ day arrears levels
ranging from 1.6% (PUMA S 10) to 8.7% (PUMA S-7), compared to Fitch's Low-doc
RMBS Index of 5.7%.
All loans in the underlying portfolios have lenders' mortgage insurance (LMI) in
place, provided mainly by QBE Lenders Mortgage Insurance Ltd (Insurer Financial
Strength Rating: 'AA-'/Stable) and Genworth Financial Mortgage Insurance Pty
Ltd. Losses have remained within expectations, with all losses submitted to LMI.
At end-March 2014, PUMA S-7 had the greatest dollar amount of submitted claims,
totalling AUD4.6m, with 91.9% of claims paid by LMI. Excluding PUMA S-7, the
weighted average pay-out ratio across the transactions was 99%. All claims
reductions to date have been paid by excess spread.
The Fitch-calculated weighted average (WA) current LVR ranged from 55.2% (PUMA
S-6) to 70% (PUMA S-13). PUMA P-16 benefitted the most from indexation with WA
LVR improving to 50% from 59%. The least seasoned pools, PUMA 2013-1 (30 months)
and PUMA 2014 1 (23 months) had the highest WA indexed LVRs, at 64% and 65%
respectively. The WA seasoning across the remaining pools is at least seven
Principal is being allocated on a pro-rata basis in PUMA S-10 and PUMA S-13
according to the outstanding balance of the Class A, AB and B notes. As long as
the Class B1 notes are outstanding, it will receive the Class B2 notes' share of
principal collections. After the Class B1 note is paid in full, the Class AB
notes will receive Class B2's share of principal collections. The principal
repayment method would switch to sequential when either the collateral balance
reaches 10% of the original balance or the trust has sustained a loss which will
not be mitigated in a timely manner. This principal allocation mechanism has
resulted in increasing credit enhancement to the Class AB notes of each
transaction and is likely to see the respective notes' principal fully repaid
prior to full repayment of the senior notes.
A significant and unexpected increase in delinquencies, defaults and losses
would be necessary before any negative rating action would be considered. Credit
enhancement levels for the Class A notes across the transactions can support
many multiples of the arrears levels reported in the latest investor reports.
Credit enhancement to the 'A+sf' rated Class B notes of PUMA P-16 has increased
since issuance due to the presence of a non-amortising first loss reserve.
Credit enhancement is expected to continue to build as the transaction reduces
in size and may reach a level where an upgrade is considered appropriate, if
assets continue to perform as expected.
Credit enhancement to the Class B1 notes of PUMA S-10 and PUMA S-13 (each rated
A+sf) has been increasing since issuance due to receiving the Class B2 notes'
share of principal allocations, while Class A and Class AB's credit enhancement
has remained stable. The expected continued build-up of credit enhancement may
eventually result in consideration of positive rating actions on the Class B1
notes, if assets continue to perform as expected.
The ratings of most transactions' notes are independent of downgrades to the LMI
provider's ratings; the exceptions are Class B1 notes of PUMA S-10; Class AB and
B1 notes of PUMA S-13; and Class B notes of PUMA P-16.
Fitch's initial key rating drivers and rating sensitivities are further
discussed in the corresponding New Issue reports listed under "Related
A comparison of the transactions' representations, warranties and enforcement
mechanisms (RW&Es) to those of typical RW&Es for this asset class is also
available by accessing the reports and/or links given under Related Research
Individual representations, warranties, and enforcement mechanisms reports are
available for all structured finance transactions initially rated on or after 26
September 2011 at www.fitchratings.com.
The rating actions are as listed below.
PUMA Masterfund P-15 (PUMA P-15):
AUD63.4m Class A (ISIN AU3FN0006144) notes affirmed at 'AAAsf'; Outlook Stable.
PUMA Masterfund P-16 (PUMA P-16):
AUD8.4m Class A2 (ISIN AU3FN0011490) notes affirmed at 'AAAsf'; Outlook Stable;
AUD247.5m Class A3 (ISIN AU3FN0011508) notes affirmed at 'AAAsf'; Outlook
AUD32.4m Class AB (ISIN AU0000PUBHA0) notes affirmed at 'AAAsf'; Outlook Stable;
AUD13.6m Class B (ISIN AU3FN0011516) notes affirmed at 'A+sf'; Outlook revised
to Positive from Stable.
PUMA Masterfund P-17 (PUMA P-17):
AUD172.4m Class A1 (ISIN AU3FN0013017) notes affirmed at 'AAAsf'; Outlook
AUD122.9m Class A2 (ISIN AU3FN0013025) notes affirmed at 'AAAsf'; Outlook
AUD35.1m Class AB (ISIN AU3FN0013033) notes affirmed at 'AAAsf'; Outlook Stable.
PUMA Masterfund S-6 (PUMA S-6):
AUD49.1m Class A (ISIN AU0000PUDHA6) notes affirmed at 'AAAsf'; Outlook Stable.
PUMA Masterfund S-7 (PUMA S-7):
AUD82.8m Class A (ISIN AU3FN0006250) notes affirmed at 'AAAsf'; Outlook Stable.
PUMA Masterfund S-9 (PUMA S-9):
AUD171.4m Class A (ISIN AU3FN0012761) notes affirmed at 'AAAsf'; Outlook Stable;
AUD21.3m Class AB (ISIN AU3FN0012779) notes affirmed at 'AAAsf'; Outlook Stable.
PUMA Masterfund S-10 (PUMA S-10):
AUD82.7m Class A (ISIN AU3FN0014767) notes affirmed at 'AAAsf'; Outlook Stable;
AUD15.8m Class AB (ISIN AU3FN0014791) notes affirmed at 'AAAsf'; Outlook Stable;
AUD2.3m Class B1 (ISIN AU3FN0014809) notes affirmed at 'A+sf'; Outlook revised
to Positive from Stable.
PUMA Masterfund S-13 (PUMA S-13):
AUD157.1m Class A (ISIN AU3FN0017901) notes affirmed at 'AAAsf'; Outlook Stable;
AUD29.4m Class AB (ISIN AU3FN0017919) notes affirmed at 'AAAsf'; Outlook Stable;
AUD5.5m Class B1 (ISIN AU3FN0017927) notes affirmed at 'A+sf'; Outlook revised
to Positive from Stable.
PUMA Series 2013-1 (PUMA 2013-1)
AUD998m Class A (ISIN AU0000PUJHA3) notes affirmed at 'AAAsf'; Outlook Stable.
PUMA Series 2014-1 (PUMA 2014-1)
AUD1,247.7m Class A (ISIN AU0000PUKHA) notes affirmed at 'AAAsf'; Outlook