At it again???..........This is the bank's first public term RMBS transaction since 2004..........Issuer: Perpetual Corporate Trust Limited as trustee of Kingfisher Trust 2016-1 ........Lenders Mortgage Insurance provided by ANZ Lenders Mortgage Insurance Pty Limited ......The portfolio has a relatively low exposure to investment loans (20.02%) and interest-only loans (14.55%),

Rating Action:

Moody's assigns provisional ratings to Australia and New Zealand Banking Group's First RMBS Transaction for 2016

Global Credit Research - 14 Nov 2016

https://www.moodys.com/research/Moodys-assigns-provisional-ratings-to-Australia-and-New-Zealand-Banking--PR_310474

Kingfisher Trust 2016-1 - AUD 747.0 million of debt securities rated

Sydney, November 14, 2016 -- Moody's Investors Service (Moody's) has assigned the following provisional long-term rating to notes to be issued by Perpetual Corporate Trust Limited as trustee of Kingfisher Trust 2016-1.

"IMPORTANT NOTICE: MOODY'S RATINGS AND PUBLICATIONS ARE NOT INTENDED FOR USE BY RETAIL INVESTORS. SUCH USE WOULD BE RECKLESS AND INAPPROPRIATE. SEE FULL DISCLAIMERS BELOW."

Issuer: Perpetual Corporate Trust Limited as trustee of Kingfisher Trust 2016-1

....AUD 690.00 million Class A1 Notes, Assigned (P)Aaa (sf)

....AUD 26.25 million Class A2 Notes, Assigned (P)Aaa (sf)

....AUD 18.00 million Class B Notes, Assigned (P)Aa2 (sf)

....AUD 5.25 million Class C Notes, Assigned (P)A2 (sf)

....AUD 4.50 million Class D Notes, Assigned (P)Baa2 (sf)

....AUD 3.00 million Class E Notes, Assigned (P)Ba2 (sf)

The AUD 3.00 million Class F Notes are not rated by Moody's.

The ratings address the expected loss posed to investors by the legal final maturity. The structure allows for timely payment of interest and ultimate payment of principal with respect to the Class A1, Class A2, Class B, Class C, Class D and Class E Notes by the legal final maturity. In the case of the Class B, Class C, Class D, Class E and Class F Notes, the coupon margin will decrease to 2.00% after the call option date. The difference between the relevant note margin and the step-down margin is the residual interest for each respective note. The residual interest amounts are subordinated in the interest waterfall. Moody's ratings do not address the timely payment of these residual interest amounts for the Class B, Class C, Class D, Class E and Class F Notes.

RATINGS RATIONALE

The subject transaction is an Australian prime RMBS. It is a cash securitisation of prime mortgage loans secured by residential properties. All receivables were originated and are serviced by Australia and New Zealand Banking Grp. Ltd. (ANZ, Aa2/P-1/Aa1(cr)/P-1(cr)). Lenders Mortgage Insurance provided by ANZ Lenders Mortgage Insurance Pty Limited (ANZ LMI, unrated) covers 12.19% of the loans in the pool. We give no benefit to mortgage insurance in our analysis as ANZ LMI is not rated by Moody's.

The provisional ratings takes account of, among other factors:

- The 8.00% and 4.50% initial subordination provided to the Class A1 and Class A2 Notes by the junior Notes is in excess of the 4.00% Moody's MILAN credit enhancement (MILAN CE). Moody's portfolio expected loss (Portfolio EL) for this transaction is 0.40%. The excess subordination provides additional rating stability if the underlying pool performance is worse than initially expected.

- A liquidity facility, provided by ANZ, equal to the greater of: (1) 1.0% of the aggregate outstanding principal of all loans at that time; and (2) AUD 750,000.

If the facility provider loses its P-1(cr) rating, it must within 30 days either: (1) Procure a replacement facility provider; or (2) make a collateral advance request for an amount equal to the liquidity limit minus the liquidity principal outstanding on that day.

- The experience of ANZ in servicing residential mortgage portfolios. This is the bank's first public term RMBS transaction since 2004. ANZ is a regular issuer under its AUD 30 billion residential covered bond program established in 2011. As of 30 September 2016, ANZ has an AUD 246 billion portfolio of Australian mortgage assets.

- A fixed rate swap that will be provided by ANZ to hedge any mismatch between the interest rates charged on the fixed rate loans and payable on the floating rate notes. Under the fixed rate swap agreement, the Trustee will pay the fixed rate received under the receivables to the swap provider and will receive an amount equal to the 30-day BBSW plus weighted average margin on the notes plus a margin.

- A basis swap that will be provided by ANZ to hedge any interest rate mismatch that arises when the movements of 30-day BBSW are not (simultaneously) passed on to the variable rate mortgage loans. Under the basis swap agreement, the Trustee will pay the swap provider the variable rate received under the mortgage loans, and will receive an amount equal to the 30-day BBSW, plus weighted average margin on the notes plus a margin.

The key transactional and pool features are as follows:

- The notes will initially be repaid on a sequential basis until, amongst other pro-rata criteria, the latter of: (1) the second anniversary from closing; or (2) the Class A1 subordination is at least 16%. After that point and subject to other pro-rata criteria, the Class A1, Class A2, Class B, Class C, Class D, Class E and Class F Notes will receive a pro-rata share of principal payments (subject to additional conditions). The principal pay-down switches back to sequential pay, once the aggregate loan amount falls below 10% of the aggregate loan amount at closing or upon any unreimbursed charge-offs or if the three month average of arrears greater than 60 days is greater than 4%.

- The transaction allows for permitted further advances to be funded within the trust, which could lead to a deterioration in the credit quality of the pool. Further advances are subject to certain conditions. They will be funded through principal collections, and if these are insufficient, through the issuance of redraw notes. These notes will sit senior to Class A1 Notes for principal payments and pari passu to Class A1 Notes for interest payments and charge-offs.

- The pool has a low weighted average scheduled LTV of 58.97% and only 7.64% of the loans have a scheduled LTV above 80%.

- The pool is well seasoned. Weighted average seasoning is 44.1 months.

- The portfolio has a relatively low exposure to investment loans (20.02%) and interest-only loans (14.55%), which is well below Australian mortgage market averages of 35.4% and 39.3% respectively as of June 2016.

- The mortgage portfolio is well diversified across geographical regions due to ANZ's wide distribution network.

- The portfolio has a high proportion of non-purchase loans (61.2%). This includes loans to obligors refinancing existing ANZ debt (37.5%).

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's Approach to Rating RMBS Using the MILAN Framework" published in September 2016. Please see the Rating Methodologies page on www.moodys.com for a copy of this methodology.

Factors that would lead to an upgrade or downgrade of the ratings:

Levels of credit protection that are greater than necessary to protect investors against current expectations of loss could lead to an upgrade of the rating. Moody's current expectations of loss could be better than its original expectations because of fewer defaults by underlying obligors or higher recoveries on defaulted loans. The Australian job market and the housing market are primary drivers of performance.

A factor that could lead to a downgrade of the notes is worse-than-expected collateral performance. Other reasons for worse performance than Moody's expects include poor servicing, error on the part of transaction parties, a deterioration in credit quality of transaction counterparties, lack of transactional governance and fraud.

Moody's Parameter Sensitivities:

Parameter Sensitivities are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process — here the Milan CE and Portfolio EL — differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint.

Based on the current structure, if the MILAN CE were to increase to 8.00% from 4.00%, and the Portfolio EL were to increase to 0.80% from 0.40%, the model-indicated rating for the Class A2 Notes would drop two notches to Aa2. The excess subordination at closing reduces the probability of ratings migration. Using these same assumptions, the ratings on the Class B and Class D Notes drop four notches to A3 and Ba3 respectively, whilst the Class C and Class E Notes drop five notches to Ba1 and Caa1 respectively. The Class A1 Notes are not sensitive to any rating migration using these same assumptions.

Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors. Moody's ratings are subject to revision, suspension or withdrawal at any time at our absolute discretion. The ratings are expressions of opinion and not recommendations to purchase, sell or hold securities. Moody's issues provisional ratings in advance of the final sale of securities and these ratings reflect Moody's preliminary credit opinion regarding the transaction. Upon a conclusive review of the final versions of all the documents and legal opinions, Moody's will endeavour to assign a definitive rating to the transaction. A definitive rating may differ from a provisional rating.

REGULATORY DISCLOSURES

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions of the disclosure form.

The analysis relies on an assessment of collateral characteristics to determine the collateral loss distribution, that is, the function that correlates to an assumption about the likelihood of occurrence to each level of possible losses in the collateral. As a second step, Moody's evaluates each possible collateral loss scenario using a model that replicates the relevant structural features to derive payments and therefore the ultimate potential losses for each rated instrument. The loss a rated instrument incurs in each collateral loss scenario, weighted by assumptions about the likelihood of events in that scenario occurring, results in the expected loss of the rated instrument.

Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody's weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.

For ratings issued on a program, series or category/class of debt, this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com  for additional regulatory disclosures for each credit rating.

Robert Baldi
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Pty. Ltd.
Level 10
1 O'Connell Street
Sydney NSW 2000
Australia
JOURNALISTS: (612) 9270-8102
SUBSCRIBERS: (852) 3551-3077

Jennifer Wu
Associate Managing Director
Structured Finance Group
JOURNALISTS: (612) 9270-8102
SUBSCRIBERS: (852) 3551-3077

Releasing Office:
Moody's Investors Service Pty. Ltd.
Level 10
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Sydney NSW 2000
Australia
JOURNALISTS: (612) 9270-8102
SUBSCRIBERS: (852) 3551-3077