OREANDA-NEWS. August 24, 2015.Fitch Ratings has affirmed ten classes of notes issued from four ConQuest RMBS Series. The transaction is a securitisation of Australian conforming residential mortgages originated by MyState Bank Limited and The Rock Building Society.

A full list of rating actions follows at the end of this ratings action commentary.

KEY RATING DRIVERS
The affirmations reflect Fitch's view that available credit enhancement levels are sufficient to support the notes' current ratings, the agency's expectations of Australia's economic conditions and that the credit quality and performance of the loans in the collateral pools remain in line with its expectations.

ConQuest 2010-1R, ConQuest 2010-2, ConQuest 2013-1 and ConQuest 2014-2 are 100% comprised of full-doc loans. At 30 June 2015, 30+ arrears were 0.48%, 1.0%, 1.36% and 0.65% respectively, compared with Fitch's 30+ days Dinkum prime index of 1.17%.

Since closing in May 2010, ConQuest 2010-1R has experienced six defaults, resulting in four losses totalling AUD219,227. All losses have been covered by lenders' mortgage insurance (LMI) and excess spread. LMI covered 44.6% of the underlying portfolio, provided by Genworth Financial Mortgage Insurance Pty Ltd (26.7%; Insurer Financial Strength Rating: A+/Stable) and QBE Lenders' Mortgage Insurance Limited (17.9%; Insurer Financial Strength Rating: AA-/Stable). As of 30 June 2015, Conquest 2010-1R's Fitch weighted average (WA) loan to value ratio was 69.2%.

ConQuest 2010-2, ConQuest 2013-1 and ConQuest 2014-2 have 100% LMI coverage, with policies provided by QBE Lenders Mortgage Insurance Ltd and Genworth Financial Mortgage Insurance Pty Ltd. At 30 June 2015, three claims had been submitted to LMI in ConQuest 2010-2 Trust, all of which were paid in full. At end-June 2015, ConQuest 2010-2's Fitch WA LVR was 60.5%; Conquest 2013-1's Fitch WA LVR was 58.2% and ConQuest 2014-2's Fitch WA LVR was 65%.

RATING SENSITIVITIES
The ratings of all Class A notes for ConQuest 2010-2, ConQuest 2013-1and ConQuest 2014-2 are independent of any potential downgrades to the LMI provider's ratings. The Class AB notes of ConQuest 2014-2 can withstand a three notch downgrade to the LMI providers' ratings.

ConQuest's 2010-2 Fitch 'AAAsf' breakeven stressed default rate is 12.37%. The Class A3 notes can withstand an additional 52.7% in defaults at Fitch's 'AAAsf' loss severity. The Class AB notes can withstand an additional 49.9% in defaults at Fitch's 'AAAsf' loss severity.

ConQuest's 2013-1 Fitch 'AAA'sf breakeven stressed default rate is 9.7%. The Class A notes can withstand an additional 67.6% in defaults at Fitch's 'AAAsf' loss severity. The Class AB notes can withstand an additional 24.4% in defaults at Fitch's 'AAAsf' loss severity.

ConQuest's 2014-2 Fitch 'AAA'sf breakeven stressed default rate is 10.25%. The Class A1 notes can withstand an additional 47% in defaults at Fitch's 'AAAsf' loss severity. The Class A2 notes can withstand an additional 20.1% in defaults and the Class AB notes can withstand an additional 6.8% in defaults at Fitch's 'AAAsf' loss severity.

Fitch's 'AAAsf' breakeven stressed default rate is 18.76% for ConQuest 2010-1R. The Class A notes can withstand an additional 4.69% in defaults at Fitch's 'AAAsf' loss severity. The Class A note could withstand a two notch downgrade to the LMI provider.

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 MyState Bank Limited compared to MyState Bank Limited'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.

ConQuest 2010-1R remains within its 10 year substitution period, ending in August 2024, and no amortisation of the notes has occurred to date. Fitch is comfortable with the long revolving period because the portfolio stratifications have not changed significantly since initial issue, MyState's product mix has not materially changed over this time, and the portfolio is performing as expected.

The full list of rating actions is shown below:

ConQuest 2010-1R
AUD280m Class A notes (ISIN AU3FN0024428) affirmed at 'AAAsf'; Outlook Stable.

ConQuest 2010-2
AUD 65.5m Class A3 (ISIN AU3FN0011201) affirmed at 'AAAsf'; Outlook Stable; and
AUD 0.5mClass AB (ISIN AU3FN0011219) affirmed at 'AAAsf'; Outlook Stable.

ConQuest 2013-1
AUD 127.2m Class A (ISIN AU3FN0019907) affirmed at: 'AAAsf'; Outlook Stable; and
AUD 14.5m Class AB (ISIN AU3FN0019915) affirmed at: 'AAAsf'; Outlook Stable.

ConQuest 2014-2
AUD225.6m Class A1 (ISIN AU3FN0026076) affirmed at: 'AAAsf'; Outlook Stable
AUD16.2m Class A2 (ISIN AU3FN0026084) affirmed at: 'AAAsf'; Outlook Stable
AUD8.1m Class AB (ISIN AU3FN0026092) affirmed at: 'AAAsf'; Outlook Stable
AUD7.4m Class B1 (ISIN AU3FN0026100) affirmed at: 'AA-sf'; Outlook Stable
AUD1.8m Class B2 (ISIN AU3FN0026118) affirmed at: 'BBBsf'; Outlook Stable

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 given under Related Research below.