RPT-Fitch affirms Crusade Trust No.2P of 2008 at 'AAAsf'

Thu Feb 13, 2014 3:41am EST

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Feb 13 (Reuters) - (The following statement was released by the rating agency)

Fitch Ratings has affirmed Crusade Trust No.2P of 2008's residential mortgage-backed, pass-through floating rate notes at 'AAAsf'. The transaction is a securitisation backed by pools of Australian residential mortgages originated by Westpac Banking Corporation (Westpac, AA-/Stable/F1+), which became successor in law to St.George Bank Ltd in March 2010. The rating actions are as follows:

AUD21,735m Class A (AU3FN0019931) notes affirmed at 'AAAsf'; Outlook Stable.

KEY RATINGS DRIVERS

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.

At 31 December 2013, 30+ days arrears stood at 0.76%, below Fitch's Dinkum Index of 1.19%. 33% of the loans within the pool have lender's mortgage insurance (LMI) provided by either QBE Lenders' Mortgage Insurance Limited (AA-/Stable), Westpac Lenders Mortgage Insurance Limited (WLMI, formerly St.George Insurance Australia Pty Limited, AA-/Stable), or Genworth Financial Mortgage Insurance Pty Ltd.

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 St.George Bank branded loans originated by Westpac Banking Corporation per financial year. As at 31 December 2013, the cap had not been breached for any year of origination. Excess spread for this transaction is expected to be sufficient to cover any future losses.

This transaction currently has an 11 year revolving period ending in January 2019. Fitch is comfortable with the long revolving period because the portfolio stratifications have not changed significantly since issuance, Westpac's product mix has not materially changed over this same period, and the portfolio is performing as expected.

RATING SENSITIVITIES

A significant and unexpected increase in delinquencies, defaults and losses would be necessary before any negative rating action could be considered. Credit enhancement levels for the Class A notes can support multiples of the arrears levels reported in the latest investor reports.

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