OREANDA-NEWS. Fitch Ratings has affirmed the ratings of eight tranches from three National RMBS Trust Series transactions. The transactions are securitisations of first-ranking Australian residential mortgages originated by Advantedge Financial Services Pty Limited and Challenger Mortgage Management Pty Limited: National 2011-1 and National 2012-2; and National Australia Bank Limited (NAB, AA-/Stable/F1+): National 2011-2. The rating actions are listed below.

National RMBS Trust 2011-1 (National 2011-1):
AUD183.2m Class A1 (ISIN AU0000NAHA8) affirmed at 'AAAsf'; Outlook Stable;
AUD172.5m Class A2-R (ISIN AU0000NAFB6) affirmed at 'AAAsf'; Outlook Stable; and
AUD21.3m Class B (ISIN AU3FN0013272) affirmed at 'AAAsf'; Outlook Stable.

National RMBS Trust 2011-2 (National 2011-2):
AUD259.7m Class A1-R (ISIN AU0000NAOHC6) affirmed at 'AAAsf'; Outlook Stable;
AUD286.3m Class A2 (ISIN AU0000NABHD1) affirmed at 'AAAsf'; Outlook Stable; and
AUD64.5m Class B (ISIN AU3FN0014221) affirmed at 'A+sf'; Outlook Stable.

National RMBS Trust 2012-2 (National 2012-2):
AUD398.1m Class A1 (ISIN AU0000NAHHA4) affirmed at 'AAAsf'; Outlook Stable; and
GBP85.0m Class A2 (ISIN XS0864194591) affirmed at 'AAAsf'; 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 Australia's economic conditions. The credit quality and performance of the loans in the collateral pools have remained in line with Fitch's expectations.

Arrears levels across the three transactions have been low since issuance. At December 2014, National 2012-2 had the highest proportion of 30+ days arrears at 0.77%, below Fitch's 3Q14 Dinkum Index of 1.08%. National 2011-1 and National 2011-2 each recorded 30+ days arrears levels of 0.55% and 0.47% respectively.

Two losses totalling AUD192,878 were recorded for National 2011-1, which were fully paid for by lenders' mortgage insurance (LMI). At the end of Dec 2014, no losses had been experienced on the other transactions.

All transactions have lenders mortgage insurance (LMI) cover, comprising of QBE Lenders Mortgage Insurance Limited (QBE LMI, AA-/Stable), Genworth Financial Mortgage Insurance Pty Limited (A+/Stable) and Royal & Sun Alliance Insurance Plc. At the end of December 2014, LMI covered 56.4% of National 2011-1, 15.3% of National 2011-2 and 21.2% of National 2012-2.

RATING SENSITIVITIES
Credit enhancement has continued to build across the transactions due to initial sequential amortisation. Sequential pay-down has increased credit enhancement for the senior notes of each transaction, with the 'AAAsf' rated notes able to withstand many multiples of the latest reported arrears.

All of the ratings are independent of LMI and therefore not sensitive to downgrades to the LMI providers' ratings.

The 'AAAsf' modelled loss severities after LMI ranged between 35.12% and 44.22%, with the senior notes of each transaction able to withstand default rates of between 26.5% - 40.4%, with LMI, at the current modelled 'AAAsf' loss severity levels. The Class B notes can withstand default rates between 16.5% - 17.7% at their respective loss severities. This analysis excludes credit to excess spread, and as a result, the agency considers that a downgrade of any senior notes rated 'AAAsf' to be unlikely.

Fitch's initial Key Rating Drivers and Rating Sensitivities are further discussed in the corresponding New Issue report listed under "Related Research".

A comparison of the transactions' representations, warranties and enforcement mechanisms (RW&Es) to those of typical RW&Es for this asset class is also available by accessing the reports and/or links given under Related Research below.