TEXT-Fitch Affirms 36 Ratings from 8 Crusade RMBS Transactions

Mon Feb 4, 2013 11:38pm EST

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(The following was released by the rating agency)

SYDNEY, February 04 (Fitch) Fitch Ratings has today affirmed 36 ratings from eight Crusade RMBS transactions. The transactions are securitisations backed by pools of Australian mortgages originated by Westpac Banking Corporation (Westpac, 'AA-'/Stable/F1+), which became successor in law to St. George Bank Ltd in March 2010. The full list of rating actions can be found at the end of this commentary.

The affirmations reflect Fitch's view that the credit enhancement levels are sufficient to support the current ratings. The credit quality and performance of the loans in the collateral pool remain in line with the agency's expectations.

All transactions except Crusade Trust No. 2P of 2008 are paying down on a modified pro-rata basis, with principal collections being allocated across all classes of notes so that specific levels of credit enhancement are maintained for senior notes. Crusade Trust No. 2P of 2008 remains within its substitution period with principal collections being used, at the trust manager's discretion, to purchase additional receivables or pay down the class A notes.

All Crusade transactions currently have arrears above Fitch's 30+ Day Dinkum Index of 1.36%, except Crusade Euro Trust No.1E of 2006 which was 1.35% as at 31 December 2012. Fitch expects seasonal spending to be partially offset by the rate decreases of October and December 2012.

All transactions have lender's mortgage insurance provided by one or more of the following issuers: QBE Lenders' Mortgage Insurance Limited ('AA-'/Stable), Westpac Lenders Mortgage Insurance Limited (WMLI, formerly St. George Insurance Australia Pty Limited, 'AA-'/Stable), Genworth Financial Mortgage Insurance Pty Ltd and Housing Loan Insurance Corporation.

Loans insured by WLMI with an original loan to value ratio over 80% have an aggregate cap on claims of 5% of the original loan balances. This cap is calculated on all loans originated by St. George Bank Ltd per financial year. As at 31 December 2012, the cap had not been breached for any year of origination. Excess spread for all Crusade transactions is expected to be sufficient to cover future losses.

Fitch will continue to monitor the impact of the recent Australian natural disasters on all Australian RMBS transactions.

The ratings of the currency swap obligations are based on Fitch's assessment that the currency swap payment obligations rank pro rata and equally with the referenced notes. Consequently, the credit profile of the currency swap payment obligations is consistent with the long-term ratings of the referenced note. The rating affirmations of and stable outlooks assigned to the currency swap obligations are consistent with the underlying notes trust's ability to meet its scheduled payments where due under the currency swap agreement.

Crusade Global Trust No.1 of 2005:

USD79.4m Class A-1 (ISIN US22882TAA16) affirmed at 'AAAsf'; Outlook Stable

EUR72.8m Class A-2 (ISIN XS0214391269) affirmed at 'AAAsf'; Outlook Stable

Class A-2 Currency Swap Obligations (ISIN US22882TAA16), affirmed at 'AAAsf'; Outlook Stable

AUD112.4m Class A-3 (ISIN AU300CRG8011) affirmed at 'AAAsf'; Outlook Stable

AUD12m Class B (ISIN AU300CRG8029) affirmed at 'AA+sf'; Outlook Stable

AUD2.8m Class C (ISIN AU300CRG8037) affirmed at 'BBBsf'; Outlook Stable

Crusade Global Trust No 2 of 2005:

USD166.2m Class A-1 (ISIN US22882VAA61) affirmed at 'AAAsf'; Outlook Stable

AUD149.6m Class A-2 (ISIN AU300CRG9019) affirmed at 'AAAsf'; Outlook Stable

AUD13.4m Class B (ISIN AU300CRG9027) affirmed at 'AA+sf'; Outlook Stable

AUD3.8m Class C (ISIN AU300CRG9035) affirmed at 'BBBsf'; Outlook Stable

Crusade Global Trust No.1 of 2006:

USD128.2m Class A-1 (ISIN US228816AA25) affirmed at 'AAAsf'; Outlook Stable;

EUR91.5m Class A-2 (ISIN XS0245228738) affirmed at 'AAAsf'; Outlook Stable

AUD238m Class A-3 (ISIN AU0000CTJHA3) affirmed at 'AAAsf'; Outlook Stable

AUD20m Class B (ISIN AU300CRGA025) affirmed at 'AA+sf'; Outlook Stable

AUD9.4m Class C (ISIN AU300CRGA033) affirmed at 'BBBsf'; Outlook Stable

Crusade Global Trust No. 2 of 2006:

USD290.7m Class A-1 (ISIN US22882WAA45) affirmed at 'AAAsf'; Outlook Stable

EUR109m Class A-2 (ISIN XS0268688669) affirmed at 'AAAsf'; Outlook Stable

AUD142.3m Class A-3 (ISIN AU0000CTUHB8) affirmed at 'AAAsf'; Outlook Stable

AUD27.6m Class B (ISIN AU3FN0000261) affirmed at 'AA+sf'; Outlook Stable

AUD12.1m Class C (ISIN AU3FN0000279) affirmed at 'BBBsf'; Outlook Stable

Crusade Euro Trust No. 1E of 2006:

EUR107.8m Class A-1 (ISIN XS0258982148) affirmed at 'AAAsf'; Outlook Stable

AUD248.9m Class A-2 (ISIN AU0000CTKHB9) affirmed at 'AAAsf'; Outlook Stable

AUD17.1m Class B (ISIN AU300CRE4020) affirmed at 'AA+sf'; Outlook Stable

AUD7.5m Class C (ISIN AU300CRE4038) affirmed at 'BBBsf'; Outlook Stable

Crusade Global Trust No. 1 of 2007:

USD370.3m Class A-1 (ISIN US228819AA63) affirmed at 'AAAsf'; Outlook Stable

Class A-1 Currency Swap Obligation (ISIN US228819AA63) affirmed at 'AAAsf'; Outlook Stable

EUR153.2m Class A-2 (ISIN XS0291457504) affirmedat 'AAAsf'; Outlook Stable

Class A-2 Currency Swap Obligation (ISIN XS0291457504), affirmed at 'AAAsf'; Outlook Stable

AUD178.8m Class A-3 (ISIN AU0000CTHHB5) affirmed at 'AAAsf'; Outlook Stable

AUD35.3m Class B (ISIN AU3FN0002028) affirmed at 'AA+sf'; Outlook Stable

AUD15.5m Class C (ISIN AU3FN0002036) affirmed at 'BBBsf'; Outlook Stable

Crusade Euro Trust No. 1E of 2007:

EUR139.1m Class A-1 (ISIN XS0305933839) affirmed at 'AAAsf'; Outlook Stable

AUD389.3m Class A-2 (ISIN AU0000CSNHB5) affirmed at 'AAAsf'; Outlook Stable

AUD21.8m Class B (ISIN AU3FN0003141) affirmed at 'AA+sf'; Outlook Stable

AUD10.3m Class C (ISIN AU3FN0003158) affirmed at 'BBBsf'; Outlook Stable

Crusade Trust No. 2P of 2008:

AUD6,851m Class A (AU3FN0008728) affirmed at 'AAAsf'; Outlook Stable

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