OREANDA-NEWS. February 16, 2015.  Fitch Ratings has affirmed the ratings of Westpac NZ Securitisation Limited, a securitisation of first-ranking New Zealand residential mortgages originated by Westpac New Zealand Limited (WNZL, AA-/Stable/F1+), as follows:

NZD4,750m Class A1 notes (ISIN NZWWAD0001W7) affirmed at 'AAAsf'; Outlook Stable; and
NZD125m Class B notes (ISIN NZWWBD0002W3) affirmed at 'AAsf'; Outlook Stable.

KEY RATING DRIVERS
The affirmations reflect Fitch's view that available credit enhancement is sufficient to support the notes' current ratings, and the agency's expectations of New Zealand's economic conditions. The credit quality and performance of the loans in the collateral pool have remained in line with expectations. The transaction is within its substitution period with principal collections being used to purchase additional receivables.

As at 14 November 2014, 30+ days arrears represented 1.04% of the underlying mortgage balance, and the transaction had total losses of NZD6.5m. All losses to date have been absorbed by excess income.

RATING SENSITIVITIES
The 'AAAsf' modeled loss severity was 42.9%. At this level, the Class A notes could withstand default rates of up to 11.7%. The Class B notes are relatively more sensitive to an increase in default rates given the lower level of credit enhancement. This analysis excludes credit to excess spread, which has been strong and stable since the transaction closed.

The transaction remains within its 10 year substitution period, ending in February 2019, and no amortisation of the notes has occurred to date. Fitch is comfortable with the length of the revolving period because the portfolio stratifications have not changed significantly since initial issue, WNZL's product mix has not materially changed over this time, and the portfolio is performing as expected.

Contacts:

Lead surveillance analyst
Katie Brookes
Analyst
+61 2 8256 0364
Fitch Australia Pty Ltd., Level 15, 77 King St, Sydney, NSW 2000

Committee Chairperson
Alison Ho
Senior Director
+852 2263 9937

The source of information used to assess these ratings was the servicer, Westpac New Zealand Limited. The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is public.

Applicable criteria, "Global Structured Finance Rating Criteria", dated 4 August 2014; "APAC Residential Mortgage Criteria" dated 23 June 2014, "APAC Residential Mortgage Criteria Addendum - New Zealand", dated 23 June 2014; "Counterparty Criteria for Structured Finance and Covered Bonds", dated 14 May 2014 and "Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum", dated 14 May 2014, are available at www.fitchratings.com.

Media Relations: Iselle Gonzalez, Sydney, Tel: +61 2 8256 0326, Email: iselle.gonzalez@fitchratings.com.