OREANDA-NEWS. February 16, 2015. Fitch Ratings has affirmed BNZ RMBS Trust 2008-1's Class A notes. The transaction is a securitisation of first-ranking New Zealand conforming residential mortgages originated by Bank of New Zealand (BNZ, AA-/Stable/F1+).

NZD4,300m Class A (ISIN NZBNRDT001C6) notes affirmed at 'AAAsf'; Outlook Stable.

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

As of 23 January 2015, 30+ days arrears were tracking low at 0.08% of the total collateral pool. No losses have been recorded since the transaction closed in November 2008.

RATING SENSITIVITIES
The 'AAAsf' modeled loss severity was 51.8%. At this level the Class A notes could withstand default rates of up to 8.3%. This analysis excludes credit to excess spread, which has been strong and stable since the transaction closed.

This transaction has a 10 year revolving period ending in December 2018, which Fitch is comfortable with since the portfolio stratifications have not changed significantly since initial issue, BNZ's product mix has not materially changed over this time, and the portfolio is performing as expected.