OREANDA-NEWS. 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+). The rating actions are as follows:

NZD4.3bn 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. Credit quality and performance of the underlying loans have remained within the agency's expectations. The transaction remains within its substitution period with principal collections being used to purchase additional receivables.

At 31 July 2015, 30+ days arrears stood at 0.06% and have tracked below 0.3% since December 2010. No losses have been recorded since the transaction closed in November 2008.

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.

RATING SENSITIVITIES
Fitch's 'AAAsf' breakeven stressed default rate is 8.35%. The Class A notes can withstand an additional 18.25% in defaults at Fitch's 'AAAsf' loss severity.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
Fitch conducted a file review of 10 sample loan files focusing on the underwriting procedures conducted by Bank of New Zealand compared to Bank of New Zealand's credit policy at the time of underwriting. Fitch has checked the consistency and plausibility of the information and no material discrepancies were noted that would impact Fitch's rating analysis.

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