December 9, 2016 / 7:48 AM / 8 months ago

Fitch Affirms 13 SMART ABS Series Transactions

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(The following statement was released by the rating agency) SYDNEY, December 09 (Fitch) Fitch Ratings has affirmed 44 tranches from 13 SMART automotive and equipment-backed transactions. The ABS Series Trust transactions are securitisations of Australian auto and equipment receivables originated by Macquarie Leasing Pty Limited. The notes are issued by Perpetual Trustee Company Limited in its capacity as trustee of the series. KEY RATING DRIVERS The affirmations reflect Fitch's view that available credit enhancement is sufficient to support the notes at their current rating levels, the performance of the underlying assets, which remains within the agency's expectations, and Fitch's expectations of Australia's economic conditions. As at end-September 2016, 30+ day delinquencies for all transactions were tracking under 1.80%, compared to Fitch's 2Q16 Dinkum ABS Index of 1.5%. SMART ABS Series 2013-1US Trust had the highest levels of arrears, while SMART O Warehouse Trust had the lowest at 0.49%. Net losses experienced since closing have been below 1.44% after sale recoveries (lower when all recoveries are included). SMART ABS Series 2013-3 Trust had the highest levels of net losses, at 1.44% (1.23% net of all recoveries), while SMART O Warehouse Trust had the lowest at 0.04%. Total net losses have been in line with Fitch's base-case to date and excess spread has been more than sufficient to cover any losses incurred. As at the October 2016 payment date, all transactions were paying principal on a pro-rata basis, except SMART U Warehouse Trust and SMART O Warehouse Trust, and are expected to continue until their respective call. The two warehouse trusts' commitment limits are AUD500m and are still in their revolving period. The SMART U Warehouse Trust had a portfolio balance of AUD408.2m and the SMART O Warehouse Trust AUD456.0m. Six transactions are exposed to foreign-currency risk in the event that the Libor (SMART 2013-1US, 2013-2US, 2014-1US, 2015-1US and 2015-3US) and Euribor (SMART 2014-2E) turns negative and the affected trust has to make additional payments to the currency swap provider in the relevant foreign currencies. Excess spread is likely to be sufficient to cover any payments payable by the trust and as such, this risk has not impacted any of the transactions. RATING SENSITIVITIES Upgrades could be considered but have not been proposed, as the transactions have moved to pro-rata amortisation with no switch to sequential amortisation until call, as there are no performance-based triggers. The prospect for a downgrade is considered remote due to the level of subordination and excess spread available on all transactions. A significant and unexpected increase in delinquencies, defaults and losses would be necessary before any negative rating action would be considered. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and transactions. There were no findings material to this analysis. Fitch has not reviewed the results of any third-party assessment of the asset portfolios as part of its ongoing monitoring. As part of its ongoing monitoring, Fitch conducted a review of a small targeted sample of Macquarie Leasing's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio. Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. VARIATIONS FROM CRITERIA Notes in the following transactions pass 'AAAsf' stresses: SMART 2013-1 (class B, C and D), SMART 2013-2US (class B, C and D), SMART 2013-3 (class B), SMART 2013-4PP (class B), SMART 2014-1US (class B and C), SMART 2014-2E (class B), SMART 2015-1US (class B) and SMART 2015-3US (class B). The SMART 2014-4 class B notes pass 'AA+sf' stresses. The SMART 2014-1US class D notes pass 'AAsf' stresses. The SMART 2013-1US class E notes pass 'AA-sf' stresses. The SMART 2013-2US class E notes pass 'Asf' stresses. The SMART 2014-1US class E notes pass 'A-sf' stresses. Fitch, however, has not upgraded these notes due to the transactions' inability to switch off the pro-rata paydown, other than at call. The level of structural credit enhancement will not increase above the current level of credit enhancement during the pro-rata paydown period. These are variations from the "Global Consumer ABS Rating Criteria", as the difference between the current and model-implied ratings are greater than one notch. The cash flow model scenarios for SMART ABS Series 2015-2 Trust observed one minor (less than 1%) scenario fail for the class A notes. The stress scenario that incorporated a number of simultaneous variables is within the tolerance level of the assigned rating. This is a variation from the "Global Consumer ABS Rating Criteria", as even though the difference between the current and model-implied rating is one notch, the breakeven default multiple is not within +/- 0.1 of Fitch's applied default stress multiple. SOURCES OF INFORMATION The information below was used in the analysis: Loan-by-loan data provided by Macquarie Leasing as at end-September 2016 Transaction reporting data provided by Macquarie Leasing as at end-September 2016 Loan enforcement details provided by Macquarie Leasing as at end-September 2016 The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is public. The full list of rating actions is shown below (balances as at the October 2016 payment date): SMART ABS Series 2013-1US Trust: USD40.7Class A-4a affirmed at 'AAAsf'; Outlook Stable; USD9.6m Class A-4b affirmed at 'AAAsf'; Outlook Stable; AUD1.1m Class B affirmed at 'AAsf'; Outlook Stable; AUD3.7m Class C affirmed at 'Asf'; Outlook Stable; AUD2.5m Class D affirmed at 'BBBsf'; Outlook Stable; and AUD2.3m Class E affirmed at 'BBsf'; Outlook Stable. SMART ABS Series 2013-2US Trust: USD75.2m Class A-4a affirmed at 'AAAsf'; Outlook Stable; USD35.6m Class A-4b affirmed at 'AAAsf'; Outlook Stable; AUD2.6m Class B affirmed at 'AAsf'; Outlook Stable; AUD8.7m Class C affirmed at 'Asf'; Outlook Stable; AUD5.9m Class D affirmed at 'BBBsf'; Outlook Stable; and AUD5.3m Class E affirmed at 'BBsf'; Outlook Stable. SMART ABS Series 2013-3 Trust: AUD82.0m Class A affirmed at 'AAAsf'; Outlook Stable; and AUD3.1m Class B affirmed at 'AAsf'; Outlook Stable. SMART ABS Series 2013-4PP Trust: AUD166.7m Class A affirmed at 'AAAsf'; Outlook Stable; and AUD6.3m Class B affirmed at 'AAsf'; Outlook Stable. SMART ABS Series 2014-1US Trust: USD12.8m Class A-3a affirmed at 'AAAsf'; Outlook Stable; USD17.5m Class A-3b affirmed at 'AAAsf'; Outlook Stable; USD50.0m Class A-4a affirmed at 'AAAsf'; Outlook Stable; USD60.0m Class A-4b affirmed at 'AAAsf'; Outlook Stable; AUD4.5m Class B affirmed at 'AAsf'; Outlook Stable; AUD8.3m Class C affirmed at 'Asf'; Outlook Stable; AUD8.3m Class D affirmed at 'BBBsf'; Outlook Stable; and AUD7.6m Class E affirmed at 'BBsf'; Outlook Stable. SMART ABS Series 2014-2E Trust: AUD183.0m Class A-A affirmed at 'AAAsf'; Outlook Stable; EUR73.5m Class A-E affirmed at 'AAAsf'; Outlook Stable; and AUD12.9m Class B affirmed at 'AAsf'; Outlook Stable. SMART ABS Series 2014-3PP Trust: AUD245.7m Class A affirmed at 'AAAsf'; Outlook Stable; and AUD10.9m Class B affirmed at 'AAsf'; Outlook Stable. SMART ABS Series 2014-4 Trust: AUD487.8m Class A affirmed at 'AAAsf'; Outlook Stable; and AUD21.6m Class B affirmed at 'AAsf'; Outlook Stable. SMART ABS Series 2015-1US Trust: USD68.4m Class A-3a affirmed at 'AAAsf'; Outlook Stable; USD49.5m Class A-3b affirmed at 'AAAsf'; Outlook Stable; AUD197.0m Class A-4 affirmed at 'AAAsf'; Outlook Stable; and AUD12.6m Class B affirmed at 'AAsf'; Outlook Stable. SMART ABS Series 2015-2 Trust: AUD439.1m Class A affirmed at 'AAAsf'; Outlook Stable; and AUD19.5m Class B affirmed at 'AAsf'; Outlook Stable. SMART ABS Series 2015-3US Trust: USD69.4m Class A-2b affirmed at 'AAAsf'; Outlook Stable; USD95.0m Class A-3a affirmed at 'AAAsf'; Outlook Stable; USD25.0m Class A-3b affirmed at 'AAAsf'; Outlook Stable; AUD181.0m Class A-4 affirmed at 'AAAsf'; Outlook Stable; and AUD15.9m Class B affirmed at 'AAsf'; Outlook Stable. SMART U Warehouse Trust: AUD500.0m Class A notes: 'AAAsf'; Outlook Stable. SMART O Warehouse Trust: AUD500.0m Class A notes: 'AAAsf'; Outlook Stable. Contacts: Lead Surveillance Analyst Hai Duong Le Associate Director +61 2 8256 0358 Fitch Australia Pty Ltd Level 15, 77 King St, Sydney NSW 2000 Committee Chairperson Natasha Vojvodic Senior Director +61 2 8256 0350 Media Relations: Leslie Tan, Singapore, Tel: +65 67 96 7234, Email: leslie.tan@fitchratings.com. Additional information is available at www.fitchratings.com Applicable Criteria Counterparty Criteria for Structured Finance and Covered Bonds (pub. 01 Sep 2016) here Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum (pub. 18 Jul 2016) here Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 26 Oct 2016) here Fitch's Foreign-Currency Stress Assumptions for Residual Foreign-Exchange Exposures in Covered Bonds and Structured Finance - Excel File (pub. 26 Oct 2016) here Global Consumer ABS Rating Criteria (pub. 01 Dec 2016) here Global Structured Finance Rating Criteria (pub. 27 Jun 2016) here Related Research SMART ABS Series 2013-1US Trust here SMART ABS Series 2013-2US Trust here SMART ABS Series 2013-3 Trust here SMART ABS Series 2014-1US Trust - Amended here SMART ABS Series 2014-2E Trust here SMART ABS Series 2014-3PP Trust here SMART ABS Series 2014-4 Trust here SMART ABS Series 2015-1US Trust here SMART ABS Series 2015-2 Trust here SMART ABS Series 2015-3US Trust here Additional Disclosures Dodd-Frank Rating Information Disclosure Form here _id=1016191 Solicitation Status here Endorsement Policy here ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. 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