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Fitch Assigns Final Ratings to SMART ABS Series 2014-2E Trust
June 17, 2014 / 1:11 AM / 3 years ago

Fitch Assigns Final Ratings to SMART ABS Series 2014-2E Trust

(The following statement was released by the rating agency) Link to Fitch Ratings' Report: SMART ABS Series 2014-2E Trust here SYDNEY, June 16 (Fitch) Fitch Ratings has assigned final ratings to SMART ABS Series 2014-2E Trust's automotive and equipment lease-backed floating-rate notes. The issuance consists of notes backed by automotive and equipment lease receivables, originated by Macquarie Leasing Pty Limited (Macquarie Leasing). The ratings are as follows: AUD560.00m Class A-A notes: 'AAAsf'; Outlook Stable EUR225.00m Class A-E notes: 'AAAsf'; Outlook Stable AUD25.87m Class B notes: 'AAsf'; Outlook Stable AUD118.99m Seller notes: Not Rated The notes were issued by Perpetual Trustee Company Limited in its capacity as trustee of SMART ABS Series 2014-2E Trust. The latter is a legally distinct trust established pursuant to a master trust and security trust deed. At 31 May 2014, the total collateral pool consisted of 33,216 leases totaling AUD1,024m, averaging AUD30,839. The pool is made up of passenger, light commercial vehicle and equipment receivables from Australian residents across the country, and consists of amortising principal and interest lease and loan receivables, with varying balloon amounts payable at maturity. The WA balloon by original balance is 17.5%. KEY RATING DRIVERS This is the second SMART transaction to include both consumer and equipment receivables. Macquarie Leasing has been originating consumer loans and leases directly to individual retail consumers since 2008. Historical gross losses by quarterly vintage on novated leases (car) range from 0.3%-1.5%, non-novated leases (cars) 1.0%-3.6%, trucks 0.5%-5.0%, equipment 0.2%-5.0% and consumer 0.8%-5.0%. The SMART 2014-2E transaction incorporates a sequential pay/pro rata pay structure, consistent with prior transactions. Initial hard credit enhancement (CE) to the 'AAAsf' notes totals 14%. Pro rata paydown will commence when hard CE reaches 19.9% if the transaction performs consistently well. Overall, CE is sufficient to cover the Fitch 'AAAsf' stressed cumulative net loss (CNL) assumption in all of Fitch's scenarios. The collateral backing the SMART 2014-2E transaction is of similar credit quality to prior pools securitised under the SMART programme. The pool comprises loan/lease receivables backed by motor vehicles and equipment with weighted-average (WA) seasoning of 8.8 months and average receivable size of AUD30,839. Delinquencies more than 30 days have traditionally tracked below 1% for the Macquarie Leasing book. RATING SENSITIVITY Unexpected increases in the frequency of foreclosures, and the loss severity on defaulted loans, could produce loss levels higher than Fitch's base case, which could in turn result in potentially negative rating actions on the notes. Fitch has evaluated the sensitivity of the ratings assigned to SMART ABS Series 2014-2E Trust to increased gross default levels, and decreased recovery rates over the life of the transaction. Its analysis found that the class A and class B notes are susceptible to downgrades in all three scenarios; mild (10% increase), moderate (25% increase) and severe default (50% increase). Recovery scenarios, whereby recovery rate assumptions are decreased, showed that the class A and class B notes are impacted in moderate (25% decrease) and severe (50% decrease) stress scenarios and remain unchanged in a mild (10% decrease) scenario. The analysis also showed that all notes are susceptible to downgrades under a combination of default and mild, moderate and severe recovery stress scenarios. Key Rating Drivers and Rating Sensitivities are further discussed in the corresponding new issue report entitled "SMART ABS Series 2014-2E Trust", published today. Included as an appendix to the report are a description of the representations, warranties, and enforcement mechanisms. Contacts: Primary Analyst Courtney Miller Associate Director +612 8256 0347 Fitch Australia Pty Ltd., Level 15, 77 King St, Sydney, NSW 2000 Secondary Analyst Ben Newey Director +612 8256 0341 Committee Chairperson Natasha Vojvodic Senior Director +612 8256 0350 The source of information identified for this rating action was informed by information from Macquarie Bank Ltd, as arranger and the issuer's counsel Allen Overy. The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is public. Media Relations: Leni Vu, Sydney, Tel: +61 2 8256 0326, Email: Additional information is available at Applicable criteria, "Global Structured Finance Rating Criteria", dated 20 May 2014; "Counterparty Criteria for Structured Finance and Covered Bonds", dated 14 May 2014; "Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum", dated 14 May 2014; and "APAC Consumer ABS Rating Criteria", dated 24 July 2013; are available at Applicable Criteria and Related Research: Global Structured Finance Rating Criteria here Counterparty Criteria for Structured Finance and Covered Bonds here Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum here APAC Consumer ABS Rating Criteria here Additional Disclosure Solicitation Status here ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: here. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S FREE WEB SITE AT WWW.FITCHRATINGS.COM. PUBLISHED RATINGS, CRITERIA, AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE, AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE CODE OF CONDUCT SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE. Fitch Australia Pty Ltd holds an Australian financial services licence (AFS licence no. 337123) which authorises it to provide credit ratings to wholesale clients only. Credit ratings information published by Fitch is not intended to be used by persons who are retail clients within the meaning of the Corporations Act 2001.

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