OREANDA-NEWS. Fitch Ratings has affirmed 20 ratings from four Crusade Transactions. The transactions are securitisations of Australian conforming residential mortgages originated by St.George Bank Ltd, now part of Westpac Banking Corporation (Westpac, 'AA-'/Stable/F1+). A full list of rating actions follows at the end of this commentary.

KEY RATING DRIVERS
The affirmations reflect Fitch's view that the available credit enhancement and excess spread are able to support the current ratings, the stable credit quality and performance of the pools, and Fitch's expectations of Australia's economic conditions. The underlying pools are fully covered by lenders' mortgage insurance (LMI) provided by QBE Lenders Mortgage Insurance Ltd (Insurer Financial Strength Rating: AA-/Stable), Genworth Financial Mortgage Insurance Pty Ltd (Insurer Financial Strength Rating: A+/Stable), and Westpac Lenders Mortgage Insurance Limited (WMLI, formerly St.George Insurance Australia Pty Limited, Insurer Financial Strength Rating: 'AA-'/Stable).

Loans insured by WLMI with an original loan/ value ratio (LVR) over 80% have an aggregate cap on claims of 5% of the original loan balances. This cap is calculated on all loans originated by St.George Bank Ltd per financial year. At 30 September 2015, the cap had not been breached for any year of origination. Fitch considers that excess spread for all Crusade transactions will be sufficient to cover future losses.

At 30 September 2015, all Crusade transactions had arrears above Fitch's 2Q15 30+ day Dinkum Index of 1.12%, ranging from 2.2% (Crusade No1.E of 2006) to 3.5% (Crusade No.1 of 2007). The transactions are well seasoned, and Fitch's calculated WA indexed LVR ranged between 37.6% (Crusade Euro Trust No.1E of 2006) and 40.2% (Crusade Euro Trust No. 1E of 2007).

The ratings of the currency swap obligations are based on Fitch's assessment that the currency swap payment obligations rank pro rata and equally with the referenced notes. Consequently, the credit profile of the currency swap payment obligations is consistent with the Long-Term ratings of the referenced notes. The rating affirmations of the currency swap obligations are consistent with the underlying notes trust's ability to meet its scheduled payments, where due, under the currency swap agreement.

RATING SENSITIVITIES
For Crusade No.2 of 2006, Fitch's 'AAAsf' breakeven stressed default rate is 7.5%. The Class A notes can withstand an additional 21.96% in defaults at Fitch's 'AAAsf' loss severity. Fitch's 'AA+sf' breakeven stressed default rate is 6.94%. The Class B notes can withstand an additional 4.99% in defaults at Fitch's 'AA+sf' loss severity.

For Crusade No.1E of 2006, Fitch's 'AAAsf' breakeven stressed default rate is 7.32%. The Class A notes can withstand an additional 23.65% in defaults at Fitch's 'AAAsf' loss severity. Fitch's 'AA+sf' breakeven stressed default rate is 6.8%. The Class B notes can withstand an additional 5.49% in defaults at Fitch's 'AA+sf' loss severity.

For Crusade No.1E of 2007, Fitch's 'AAAsf' breakeven stressed default rate is 8.19%. The Class A notes can withstand an additional 19.66% in defaults at Fitch's 'AAAsf' loss severity. Fitch's 'AA+sf' breakeven stressed default rate is 7.64%. The Class B notes can withstand an additional 3.55% in defaults at Fitch's 'AA+sf' loss severity.

For Crusade No.1 of 2007, Fitch's 'AAAsf' breakeven stressed default rate is 8.47%. The Class A notes can withstand an additional 21.47% in defaults at Fitch's 'AAAsf' loss severity. Fitch's 'AA+sf' breakeven stressed default rate is 7.91%. The Class B notes can withstand an additional 3.67% in defaults at Fitch's 'AA+sf' loss severity.

The Class C notes' ratings are unlikely to be changed unless levels of excess spread are no longer adequate.

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 St.George Bank compared to its 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 full list of rating actions is shown below.

The ratings are as follows (note balances are as of 30 September 2015):

Crusade Euro Trust No. 1E of 2006:
EUR51.9m Class A-1 (ISIN XS0258982148) affirmed at 'AAAsf'; Outlook Stable;
AUD119.5m Class A-2 (ISIN AU0000CTKHB9) affirmed at 'AAAsf'; Outlook Stable;
AUD8.2m Class B (ISIN AU300CRE4020) affirmed at 'AA+sf'; Outlook Stable; and
AUD3.6m Class C (ISIN AU300CRE4038) affirmed at 'BBBsf'; Outlook Stable.

Crusade Global Trust No. 2 of 2006:
USD144.8m Class A-1 (ISIN US22882WAA45) affirmed at 'AAAsf'; Outlook Stable;
EUR54.3m Class A-2 (ISIN XS0268688669) affirmed at 'AAAsf'; Outlook Stable;
AUD70.2m Class A-3 (ISIN AU0000CTUHB8) affirmed at 'AAAsf'; Outlook Stable;
AUD13.7m Class B (ISIN AU3FN0000261) affirmed at 'AA+sf'; Outlook Stable; and
AUD6m Class C (ISIN AU3FN0000279) affirmed at 'BBBsf'; Outlook Stable.

Crusade Global Trust No. 1 of 2007:
USD188.9m Class A-1 (ISIN US228819AA63) affirmed at 'AAAsf'; Outlook Stable;
Class A-1 Currency Swap Obligation (ISIN US228819AA63) affirmed at 'AAAsf'; Outlook Stable;
EUR78.2m Class A-2 (ISIN XS0291457504) affirmed at 'AAAsf'; Outlook Stable;
Class A-2 Currency Swap Obligation (ISIN XS0291457504), affirmed at 'AAAsf'; Outlook Stable;
AUD91.2m Class A-3 (ISIN AU0000CTHHB5) affirmed at 'AAAsf'; Outlook Stable;
AUD18m Class B (ISIN AU3FN0002028) affirmed at 'AA+sf'; Outlook Stable; and
AUD7.9m Class C (ISIN AU3FN0002036) affirmed at 'BBBsf'; Outlook Stable.

Crusade Euro Trust No. 1E of 2007:
EUR70.0m Class A-1 (ISIN XS0305933839) affirmed at 'AAAsf'; Outlook Stable;
AUD191.9m Class A-2 (ISIN AU0000CSNHB5) affirmed at 'AAAsf'; Outlook Stable;
AUD11m Class B (ISIN AU3FN0003141) affirmed at 'AA+sf'; Outlook Stable; and
AUD5.2m Class C (ISIN AU3FN0003158) affirmed at 'BBBsf'; Outlook Stable.