OREANDA-NEWS. Fitch Ratings has assigned final ratings to SMART ABS Series 2015-1US Trust's automotive-backed fixed and floating-rate notes. The issuance consists of notes backed by automotive lease receivables originated by Macquarie Leasing Pty Limited (Macquarie Leasing). The ratings are as follows:

USD104.00m Class A-1 notes: 'F1+sf';
USD62.00m Class A-2a notes: 'AAAsf'; Outlook Stable;
USD65.00m Class A-2b notes: 'AAAsf'; Outlook Stable;
USD69.00m Class A-3a notes: 'AAAsf'; Outlook Stable;
USD50.00m Class A-3b notes: 'AAAsf'; Outlook Stable;
AUD197.00m Class A-4 notes: 'AAAsf'; Outlook Stable;
AUD15.095m Class B notes: 'AAsf'; Outlook Stable; and
AUD83.021m Seller notes: Not Rated

The notes are issued by Perpetual Trustee Company Limited as trustee for SMART ABS Series 2015-1US Trust. The latter is a legally distinct trust established pursuant to a master trust and security trust deed.

At 1 March 2015, the total collateral pool consisted of 22,086 lease receivables totaling AUD754.7m, averaging AUD34,172. The pool is made up of passenger and light commercial vehicle receivables from Australian residents across the country, and consists of amortising principal and interest leases with varying balloon amounts payable at maturity.

KEY RATING DRIVERS
The base case gross loss and recoveries for each asset class is unchanged from the most recent SMART transaction in 4Q14. Historical gross losses by quarterly vintage on novated leases (cars) range from 0.3%-1.5%; for non-novated leases (cars) the range is 1.0%-3.6%; and for trucks it is 0.5%-5.0%. Delinquencies of more than 30 days have traditionally tracked below 0.9% for the Macquarie Leasing book.

The SMART ABS Series 2015-1US Trust transaction incorporates a sequential pay/pro rata pay structure, consistent with prior transactions. Initial hard credit enhancement (CE) to the 'AAAsf' notes totals 13.0%. Pro rata paydown will commence when hard CE reaches 18.9%, if the transaction performs consistently well. Overall, CE is sufficient to cover the Fitch 'AAAsf' stressed cumulative net loss (CNL) assumption in all Fitch scenarios.

The collateral backing the SMART ABS Series 2015-1US transaction is of similar credit quality to prior pools securitised under the SMART programme. The pool comprises lease receivables backed by motor vehicles with weighted-average (WA) seasoning of 7.3 months and an average receivable size of AUD34,172. Novated contracts make up 62.3% of the pool and contributed to the relatively low arrears levels on prior SMART transactions.

The pool comprises amortising principal and interest lease and loan receivables, with varying balloon amounts payable at maturity. The WA balloon by original balance is 25.7%.

RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than Fitch's base case, and would likely result in a decline in CE and remaining loss-coverage levels available to the notes. Fitch has evaluated the sensitivity of the ratings assigned to SMART ABS Series 2015-1US Trust to increased gross default levels, and decreased recovery rates over the life of the transaction.

Its analysis found that all notes' ratings are not susceptible to downgrades under Fitch's mild (10% increase), moderate (25% increase) and severe default (50% increase) scenarios.

Recovery scenarios, whereby recovery rate assumptions are decreased, showed that no notes were impacted under each scenario tested. These include mild (10% decrease), moderate (25% decrease) and severe (50% decrease) stress scenarios. The analysis showed that under a combination of default and recovery stress scenarios, the class A-4 notes would be downgraded to 'AAsf' in a severe scenario (50% increase in defaults and 50% decrease in recovery rates). The remaining notes would not be impacted in a severe scenario.

Key Rating Drivers and Rating Sensitivities are further discussed in the corresponding new issue report entitled "SMART ABS Series 2015-1US Trust", published today. Included as an appendix to the report are a description of the representations, warranties, and enforcement mechanisms.