OREANDA-NEWS. 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+).

The rating actions are as listed below:

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.

At 14 August 2015, 30+ days arrears represented 1.0% of the underlying mortgage balance, and the transaction had total losses of NZD7m. All losses to date have been covered by excess income.

RATING SENSITIVITIES
Westpac NZ Securitisation Limited's Fitch 'AAAsf' breakeven stressed default rate is 7.4%. The Class A notes can withstand an additional 4.16% in defaults at Fitch's 'AAAsf' loss severity. At the 'AAsf' breakeven stressed default rate, the Class B notes can withstand an additional 0.54% in defaults.

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 WNZL compared to WNZL'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.

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.