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Fitch Affirms 34 Classes from 13 Medallion Trust Transactions; Outlook Stable.

Sydney: Fitch Ratings has affirmed 34 classes from 13 Medallion Trust Series RMBS transactions. The transactions are securitisations of first-ranking Australian residential mortgages originated by Commonwealth Bank of Australia (CBA, AA-/Negative/F1+).

The 13 transactions are:

Medallion Trust Series 2011-1

Medallion Trust Series 2012-1

Medallion Trust Series 2013-1

Medallion Trust Series 2013-2

Medallion Trust Series 2014-1

Medallion Trust Series 2014-1P

Medallion Trust Series 2014-2

Medallion Trust Series 2015-1

Medallion Trust Series 2015-2

Medallion Trust Series 2016-1

Medallion Trust Series 2016-2

Medallion Trust Series 2017-1

Medallion Trust Series 2017-2

A full list of rating actions follows at the end of this rating action commentary.

KEY RATING DRIVERS

Operational Risk: CBA has a strong franchise in Australia and New Zealand, particularly in retail banking, resulting in a large market share, which allows the bank to operate a simple business model with stable earnings. CBA, as a regulated bank, is obliged to comply with the minimum lending standards set by the Australian Prudential Regulatory Authority, which are broadly consistent with market standards. The timelines, policies and procedures of CBA's collections are largely in line with other major banks in Australia, as evident from the historical performance of Medallion trusts.

Asset Analysis: In accordance with Fitch's criteria, the default model was not re-run for any of the 13 Medallion transactions, as all rated notes are rated at the highest possible level; asset composition and performance have not deteriorated materially since the last asset model analysis; and there have been no material changes to asset assumptions since the last asset model analysis.

At end-September 2018, 30+ day arrears for eight out of the 13 Medallion transactions tracked above Fitch's 2Q18 Dinkum RMBS Index of 1.09%, and nine transactions had 90+ day arrears above the index of 0.55%, partially due to lower bond factors and stable arrears by balance. The 30+ and 90+ day arrears ranged from Medallion 2017-2's 0.24% and 0.10%, respectively, to Medallion 2014-1's 1.97% and 1.09%, respectively. Transaction performance has been strong, with low levels of losses that have been covered by lenders' mortgage insurance (LMI) and excess spread. Losses ranged from nil (Medallion 2017-1) to AUD1.69 million (Medallion 2014-2).

Liability Analysis: Cash flow analysis was not performed for any of the transactions as all rated notes are rated at the highest possible

level; cash flow distributions have been within Fitch's expectations since the last cash flow model analysis; and there have been no material changes to cash flow assumptions since the last cash flow model analysis.

Macroeconomic Factors: Fitch expects stable mortgage performance, supported by sustained economic expansion in Australia. The economic outlook is driven by our forecast for stable GDP growth of 2.8% and one 25bp cash rate increase in 2019.

RATING SENSITIVITIES

Fitch does not expect the ratings to be affected by any foreseeable change in performance. The prospect of downgrade is remote, given the level of subordination available to all rated notes, pool performance and adequate excess spread.

The class B notes of Medallion 2015-1, Medallion 2015-2, Medallion 2016-1 and Medallion 2016-2 are LMI dependent and therefore sensitive to downgrades in the LMI providers' ratings. The remaining ratings are independent of downgrades in the LMI providers' ratings.

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 the transactions. There were no findings that were material to this analysis. Prior to the transactions' closing, Fitch reviewed the results of third-party assessment conducted on the asset portfolio information for all transactions except Medallion 2013-2 and 2015-2 and concluded that there were no findings that affected the rating analysis. Fitch sought to receive a third-party assessment conducted on the asset portfolio information prior to the closing of Medallion 2013-2 and Medallion 2015-2 but none was made available. Fitch has not reviewed the results of any third-party assessment of the asset portfolio as part of its ongoing monitoring.

As part of its ongoing monitoring, Fitch reviewed a small targeted sample of CBA's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices. In the agency's review, there were however instances where the security valuation data provided was not the same as the source data in CBA's loan system. In all cases identified, the data provided to Fitch was more conservative and as a result we have not made any further adjustment in our analysis for this portfolio. The other information provided to the agency about the asset portfolio was considered satisfactory.

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.

SOURCES OF INFORMATION

The information below was used in the analysis:

Loan-by-loan data provided by CBA as at end-September 2018

Transaction reporting data provided by CBA as at end-September 2018

Loan enforcement details provided by CBA as at end-September 2018

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:

Medallion Trust Series 2011-1:

AUD453.7 million Class A2-R (ISIN AU3FN0030771) notes affirmed at 'AAAsf'; Outlook Stable;

AUD12.6 million Class AB (ISIN AU3FN0012951) notes affirmed at 'AAAsf'; Outlook Stable; and

AUD6.3 million Class AC (ISIN AU3FN0012969) notes affirmed at 'AAAsf'; Outlook Stable.

Medallion Trust Series 2012-1:

AUD204.6 million Class A (ISIN AU3FN0016176) notes affirmed at 'AAAsf'; Outlook Stable; and

AUD19.3 million Class B (ISIN AU3FN0016184) notes affirmed at 'AAAsf'; Outlook Stable.

Medallion Trust Series 2013-1:

AUD30.0 million Class A1 (ISIN AU3FN0018024) notes affirmed at 'AAAsf'; Outlook Stable;

AUD236.8 million Class A2 (ISIN AU3FN0018032) notes affirmed at 'AAAsf'; Outlook Stable;

AUD250 million Class A3-R notes affirmed at 'AAAsf'; Outlook Stable; and

AUD50.2 million Class B (ISIN AU3FN0018040) notes affirmed at 'AAAsf'; Outlook Stable.

Medallion Trust Series 2013-2:

AUD224.4 million Class A1 (ISIN AU3FN0019972) notes affirmed at 'AAAsf'; Outlook Stable;

AUD136.0 million Class A2 (ISIN AU3FN0019980) notes affirmed at 'AAAsf'; Outlook Stable;

AUD400.0 million Class A3-R (ISIN AU3FN0043261) notes affirmed at 'AAAsf'; Outlook Stable; and

AUD87.8million Class B (ISIN AU3FN0019998) notes affirmed at 'AAAsf'; Outlook Stable.

Medallion Trust Series 2014-1:

AUD192.9million Class A1 (ISIN AU3FN0022109) notes affirmed at 'AAAsf'; Outlook Stable;

AUD176.9 million Class A2 (ISIN AU3FN0022117) notes affirmed at 'AAAsf'; Outlook Stable;

AUD300.0 million Class A3 (ISIN AU3CB0218733) notes affirmed at 'AAAsf'; Outlook Stable;

AUD0.0 million Class A3-R notes affirmed at 'AAAsf'; Outlook Stable; and

AUD81.2 million Class B (ISIN AU3FN0022208) notes affirmed at 'AAAsf'; Outlook Stable.

Medallion Trust Series 2014-1P:

AUD146.0 million Class A1 (ISIN AU3FN0023081) notes affirmed at 'AAAsf'; Outlook Stable, and

AUD17.0 million Class B (ISIN AU3FN0023099) notes affirmed at 'AAAsf'; Outlook Stable.

Medallion Trust Series 2014-2:

AUD1,206.9 million Class A1 (ISIN AU3FN0024501) notes affirmed at 'AAAsf'; Outlook Stable, and

AUD151.2 million Class B (ISIN AU3FN0024519) notes affirmed at 'AAAsf'; Outlook Stable.

Medallion Trust Series 2015-1:

AUD748.1 million Class A1 (ISIN AU3FN0026464) notes affirmed at 'AAAsf'; Outlook Stable, and

AUD104.8 million Class B (ISIN AU3FN0026472) notes affirmed at 'AAAsf'; Outlook Stable.

Medallion Trust Series 2015-2:

AUD809.9 million Class A1 (ISIN AU3FN0028726) notes affirmed at 'AAAsf'; Outlook Stable, and

AUD115.1 million Class B (ISIN AU3FN0028734) notes affirmed at 'AAAsf'; Outlook Stable.

Medallion Trust Series 2016-1:

AUD754.0 million Class A1a (ISIN AU3FN0030417) notes affirmed at 'AAAsf'; Outlook Stable, and

AUD94.5 million Class B (ISIN AU3FN0030433) notes affirmed at 'AAAsf'; Outlook Stable.

Medallion Trust Series 2016-2:

AUD1,166.1 million Class A1a (ISIN AU3FN0032272) notes affirmed at 'AAAsf'; Outlook Stable, and

AUD120.0 million Class B (ISIN AU3FN0032298) notes affirmed at 'AAAsf'; Outlook Stable.

Medallion Trust Series 2017-1:

AUD1,570.7 million Class A1 (ISIN AU3FN0035960) notes affirmed at 'AAAsf'; Outlook Stable, and

AUD93.6 million Class A2 (ISIN AU3FN0035978) notes affirmed at 'AAAsf'; Outlook Stable.

Medallion Trust Series 2017-2:

AUD1,959.8 million Class A1 (ISIN AU3FN0039269) notes affirmed at 'AAAsf'; Outlook Stable, and

AUD106.0 million Class A2 (ISIN AU3FN0039277) notes affirmed at 'AAAsf'; Outlook Stable.
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Date:Jan 17, 2019
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